BRK-B 资产分析 - DOR 信号与波动率

Quick 总览

Timeframe	C-C DoR σ (Historical)	H-L DoR σ (Historical)	O-C DoR σ (Historical)	5Y ATRP (Avg)	Binomial IV (Period)	Yahoo IV (Period)	1σ 低er (68.27%)	1σ Upper	2σ 低er (95.45%)	2σ Upper
日度	1.40%	1.27%	1.22%	—	1.20%	1.33%	463.72	474.99	458.18	480.73
周度	3.08%	3.23%	3.02%	—	2.64%	2.92%	457.07	481.90	445.14	494.81
月度	5.48%	6.88%	5.40%	—	5.51%	6.08%	444.18	495.88	420.39	523.95
季度	8.70%	10.11%	8.46%	—	9.54%	10.54%	426.64	516.27	387.84	567.93
Annual	—	—	—	—	19.07%	21.08%	387.84	567.93	320.50	687.25
Option Time Horizon	—	—	—	—	7.27%	8.03%	436.42	504.70	405.83	542.74

Calculation Notes: Computed at 2026-04-26T02:43 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $469.32 | Strike (K): $470.00 (first OTM call ≥ spot) | Observed Mid-价格: $14.4000 (Bid $13.9500 / Ask $14.8500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 19.07% (CRR binomial tree, American, n=20 steps) | BS IV: 18.91% (European Black-Scholes) | Yahoo IV (Annual): 21.08% → period-scaled as σ_period = σ_annual·√h | 价格 bands: Upper = S·e^+σ√h, 低er = S·e^−σ√h

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.78. Further, an Excess 峰度 of 12.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.14%	56	0.74%	0.74%
-4.14% to -3.09%	65	0.86%	1.61%
-3.09% to -2.05%	209	2.77%	4.38%
-2.05% to -1.00%	800	10.61%	14.99%
-1.00% to 0.05%	2790	37.02%	52.01%
0.05% to 1.10%	2488	33.01%	85.02%
1.10% to 2.15%	767	10.18%	95.20%
2.15% to 3.19%	208	2.76%	97.96%
3.19% to 4.24%	75	1.00%	98.95%
Greater than 4.24%	79	1.05%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.35%	1.45%	80.55%	68.27%
±2σ	-2.74%	2.84%	95.13%	95.45%
±3σ	-4.14%	4.24%	98.21%	99.73%

Descriptive Statistics

均值	0.050%
Standard Error	0.016%
中位数	0.000%
Mode	0.000%
Standard Deviation	1.397%
Sample Variance	1.953%
峰度	12.42
偏度	0.78
Range	30.208%
Minimum	-10.944%
Maximum	19.264%
Count	7537

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	0.978%	3757	49.85%	0.488%
负向	-0.892%	3700	49.09%	-0.438%
Zero	0.000%	80	1.06%	0.000%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 4.61. Further, an Excess 峰度 of 47.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.21%	0	0.00%	0.00%
-2.21% to -1.25%	0	0.00%	0.00%
-1.25% to -0.30%	0	0.00%	0.00%
-0.30% to 0.66%	660	8.76%	8.76%
0.66% to 1.61%	4340	57.57%	66.33%
1.61% to 2.56%	1567	20.79%	87.12%
2.56% to 3.52%	527	6.99%	94.11%
3.52% to 4.47%	207	2.75%	96.86%
4.47% to 5.43%	91	1.21%	98.06%
Greater than 5.43%	146	1.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.34%	2.88%	89.80%	68.27%
±2σ	-0.94%	4.16%	96.11%	95.45%
±3σ	-2.21%	5.43%	98.06%	99.73%

Descriptive Statistics

均值	1.610%
Standard Error	0.015%
中位数	1.255%
Mode	0.718%
Standard Deviation	1.273%
Sample Variance	1.621%
峰度	47.53
偏度	4.61
Range	28.162%
Minimum	0.105%
Maximum	28.267%
Count	7538

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.610%	7538	100.00%	1.610%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Left Skewed (Extreme 负向 Tail Risk) with a 偏度 factor of -1.21. Further, an Excess 峰度 of 20.24 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.65%	72	0.96%	0.96%
-3.65% to -2.74%	62	0.82%	1.78%
-2.74% to -1.82%	197	2.61%	4.39%
-1.82% to -0.90%	805	10.68%	15.07%
-0.90% to 0.02%	2614	34.68%	49.75%
0.02% to 0.93%	2645	35.09%	84.84%
0.93% to 1.85%	785	10.41%	95.25%
1.85% to 2.77%	232	3.08%	98.33%
2.77% to 3.69%	75	0.99%	99.32%
Greater than 3.69%	51	0.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.21%	1.24%	80.38%	68.27%
±2σ	-2.43%	2.46%	95.36%	95.45%
±3σ	-3.65%	3.69%	98.37%	99.73%

Descriptive Statistics

均值	0.016%
Standard Error	0.014%
中位数	0.020%
Mode	0.000%
Standard Deviation	1.223%
Sample Variance	1.496%
峰度	20.24
偏度	-1.21
Range	30.049%
Minimum	-20.635%
Maximum	9.414%
Count	7538

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	0.814%	3820	50.68%	0.413%
负向	-0.826%	3616	47.97%	-0.396%
Zero	0.000%	102	1.35%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.05. Further, an Excess 峰度 of 4.66 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.99%	14	0.90%	0.90%
-8.99% to -6.68%	16	1.02%	1.92%
-6.68% to -4.38%	51	3.26%	5.18%
-4.38% to -2.07%	170	10.88%	16.06%
-2.07% to 0.24%	552	35.32%	51.38%
0.24% to 2.54%	495	31.67%	83.05%
2.54% to 4.85%	189	12.09%	95.14%
4.85% to 7.16%	44	2.82%	97.95%
7.16% to 9.47%	15	0.96%	98.91%
Greater than 9.47%	17	1.09%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.84%	3.31%	78.44%	68.27%
±2σ	-5.91%	6.39%	94.63%	95.45%
±3σ	-8.99%	9.47%	98.02%	99.73%

Descriptive Statistics

均值	0.238%
Standard Error	0.078%
中位数	0.165%
Mode	0.000%
Standard Deviation	3.076%
Sample Variance	9.463%
峰度	4.66
偏度	0.05
Range	35.882%
Minimum	-17.483%
Maximum	18.399%
Count	1563

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.223%	833	53.30%	1.185%
负向	-2.041%	725	46.38%	-0.947%
Zero	0.000%	5	0.32%	0.000%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.81. Further, an Excess 峰度 of 28.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.56%	0	0.00%	0.00%
-5.56% to -3.13%	0	0.00%	0.00%
-3.13% to -0.71%	0	0.00%	0.00%
-0.71% to 1.72%	173	11.06%	11.06%
1.72% to 4.14%	841	53.77%	64.83%
4.14% to 6.57%	335	21.42%	86.25%
6.57% to 8.99%	112	7.16%	93.41%
8.99% to 11.42%	46	2.94%	96.36%
11.42% to 13.84%	28	1.79%	98.15%
Greater than 13.84%	29	1.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.91%	7.38%	89.39%	68.27%
±2σ	-2.33%	10.61%	95.72%	95.45%
±3σ	-5.56%	13.84%	98.15%	99.73%

Descriptive Statistics

均值	4.142%
Standard Error	0.082%
中位数	3.242%
Mode	1.585%
Standard Deviation	3.234%
Sample Variance	10.457%
峰度	28.34
偏度	3.81
Range	45.917%
Minimum	0.383%
Maximum	46.300%
Count	1564

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.142%	1564	100.00%	4.142%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.59. Further, an Excess 峰度 of 4.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.12%	9	0.58%	0.58%
-9.12% to -6.85%	20	1.28%	1.85%
-6.85% to -4.59%	48	3.07%	4.92%
-4.59% to -2.33%	197	12.60%	17.52%
-2.33% to -0.06%	520	33.25%	50.77%
-0.06% to 2.20%	532	34.02%	84.78%
2.20% to 4.46%	154	9.85%	94.63%
4.46% to 6.72%	50	3.20%	97.83%
6.72% to 8.99%	16	1.02%	98.85%
Greater than 8.99%	18	1.15%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.08%	2.95%	78.01%	68.27%
±2σ	-6.10%	5.97%	94.05%	95.45%
±3σ	-9.12%	8.99%	98.27%	99.73%

Descriptive Statistics

均值	-0.064%
Standard Error	0.076%
中位数	-0.097%
Mode	0.000%
Standard Deviation	3.017%
Sample Variance	9.101%
峰度	4.60
偏度	0.59
Range	31.956%
Minimum	-13.227%
Maximum	18.729%
Count	1564

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.123%	747	47.76%	1.014%
负向	-2.087%	808	51.66%	-1.078%
Zero	0.000%	9	0.57%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.27. Further, an Excess 峰度 of 1.48 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.41%	0	0.00%	0.00%
-15.41% to -11.30%	7	1.95%	1.95%
-11.30% to -7.19%	14	3.90%	5.85%
-7.19% to -3.08%	48	13.37%	19.22%
-3.08% to 1.02%	115	32.03%	51.25%
1.02% to 5.13%	103	28.69%	79.94%
5.13% to 9.24%	48	13.37%	93.31%
9.24% to 13.35%	19	5.29%	98.61%
13.35% to 17.46%	3	0.84%	99.44%
Greater than 17.46%	2	0.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.45%	6.50%	72.42%	68.27%
±2σ	-9.93%	11.98%	94.71%	95.45%
±3σ	-15.41%	17.46%	99.44%	99.73%

Descriptive Statistics

均值	1.025%
Standard Error	0.289%
中位数	0.845%
Mode	-1.992%
Standard Deviation	5.479%
Sample Variance	30.020%
峰度	1.48
偏度	0.27
Range	40.650%
Minimum	-14.261%
Maximum	26.389%
Count	359

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.675%	201	55.99%	2.617%
负向	-3.641%	157	43.73%	-1.592%
Zero	0.000%	1	0.28%	0.000%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.68. Further, an Excess 峰度 of 20.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.34%	0	0.00%	0.00%
-11.34% to -6.18%	0	0.00%	0.00%
-6.18% to -1.02%	0	0.00%	0.00%
-1.02% to 4.14%	38	10.56%	10.56%
4.14% to 9.30%	199	55.28%	65.83%
9.30% to 14.46%	68	18.89%	84.72%
14.46% to 19.61%	36	10.00%	94.72%
19.61% to 24.77%	12	3.33%	98.06%
24.77% to 29.93%	0	0.00%	98.06%
Greater than 29.93%	7	1.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.42%	16.17%	90.00%	68.27%
±2σ	-4.46%	23.05%	97.50%	95.45%
±3σ	-11.34%	29.93%	98.06%	99.73%

Descriptive Statistics

均值	9.296%
Standard Error	0.363%
中位数	7.291%
Mode	5.438%
Standard Deviation	6.879%
Sample Variance	47.319%
峰度	20.56
偏度	3.68
Range	59.871%
Minimum	2.063%
Maximum	61.934%
Count	360

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.296%	360	100.00%	9.296%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.19. Further, an Excess 峰度 of 1.16 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.81%	1	0.28%	0.28%
-16.81% to -12.76%	3	0.83%	1.11%
-12.76% to -8.71%	19	5.28%	6.39%
-8.71% to -4.66%	51	14.17%	20.56%
-4.66% to -0.61%	107	29.72%	50.28%
-0.61% to 3.44%	114	31.67%	81.94%
3.44% to 7.49%	41	11.39%	93.33%
7.49% to 11.54%	14	3.89%	97.22%
11.54% to 15.59%	7	1.94%	99.17%
Greater than 15.59%	3	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.01%	4.79%	72.50%	68.27%
±2σ	-11.41%	10.19%	94.72%	95.45%
±3σ	-16.81%	15.59%	98.89%	99.73%

Descriptive Statistics

均值	-0.610%
Standard Error	0.285%
中位数	-0.662%
Mode	-21.044%
Standard Deviation	5.400%
Sample Variance	29.156%
峰度	1.16
偏度	0.19
Range	38.076%
Minimum	-21.044%
Maximum	17.032%
Count	360

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.863%	163	45.28%	1.749%
负向	-4.333%	196	54.44%	-2.359%
Zero	0.000%	1	0.28%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.25. Further, an Excess 峰度 of 2.11 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.06%	0	0.00%	0.00%
-23.06% to -16.54%	2	1.68%	1.68%
-16.54% to -10.01%	5	4.20%	5.88%
-10.01% to -3.49%	12	10.08%	15.97%
-3.49% to 3.03%	42	35.29%	51.26%
3.03% to 9.55%	35	29.41%	80.67%
9.55% to 16.07%	17	14.29%	94.96%
16.07% to 22.59%	4	3.36%	98.32%
22.59% to 29.11%	1	0.84%	99.16%
Greater than 29.11%	1	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.67%	11.72%	70.59%	68.27%
±2σ	-14.36%	20.42%	94.12%	95.45%
±3σ	-23.06%	29.11%	99.16%	99.73%

Descriptive Statistics

均值	3.029%
Standard Error	0.797%
中位数	2.753%
Mode	16.403%
Standard Deviation	8.695%
Sample Variance	75.608%
峰度	2.11
偏度	0.25
Range	59.013%
Minimum	-22.161%
Maximum	36.852%
Count	119

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.796%	85	71.43%	4.854%
负向	-6.386%	34	28.57%	-1.825%
Zero	0.000%	0	0.00%	0.000%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 2.22. Further, an Excess 峰度 of 6.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.08%	0	0.00%	0.00%
-14.08% to -6.50%	0	0.00%	0.00%
-6.50% to 1.09%	0	0.00%	0.00%
1.09% to 8.67%	19	15.83%	15.83%
8.67% to 16.26%	56	46.67%	62.50%
16.26% to 23.84%	32	26.67%	89.17%
23.84% to 31.43%	5	4.17%	93.33%
31.43% to 39.01%	2	1.67%	95.00%
39.01% to 46.60%	3	2.50%	97.50%
Greater than 46.60%	3	2.50%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.14%	26.37%	87.50%	68.27%
±2σ	-3.97%	36.48%	95.00%	95.45%
±3σ	-14.08%	46.60%	97.50%	99.73%

Descriptive Statistics

均值	16.258%
Standard Error	0.923%
中位数	13.444%
Mode	4.570%
Standard Deviation	10.113%
Sample Variance	102.268%
峰度	6.19
偏度	2.22
Range	57.364%
Minimum	4.570%
Maximum	61.934%
Count	120

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.258%	120	100.00%	16.258%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.75. Further, an Excess 峰度 of 2.50 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.33%	0	0.00%	0.00%
-27.33% to -20.99%	1	0.83%	0.83%
-20.99% to -14.64%	3	2.50%	3.33%
-14.64% to -8.30%	19	15.83%	19.17%
-8.30% to -1.95%	43	35.83%	55.00%
-1.95% to 4.40%	34	28.33%	83.33%
4.40% to 10.74%	13	10.83%	94.17%
10.74% to 17.09%	3	2.50%	96.67%
17.09% to 23.43%	2	1.67%	98.33%
Greater than 23.43%	2	1.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.41%	6.51%	71.67%	68.27%
±2σ	-18.87%	14.97%	94.17%	95.45%
±3σ	-27.33%	23.43%	98.33%	99.73%

Descriptive Statistics

均值	-1.950%
Standard Error	0.772%
中位数	-2.479%
Mode	-26.231%
Standard Deviation	8.461%
Sample Variance	71.597%
峰度	2.50
偏度	0.75
Range	56.243%
Minimum	-26.231%
Maximum	30.012%
Count	120

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.447%	41	34.17%	2.203%
负向	-6.307%	79	65.83%	-4.152%
Zero	0.000%	0	0.00%	0.000%

BRK-B 深度分析报告