BSX 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	2.38%	1.96%	2.00%	2.12%	2.17%	2.31%	60.74	63.43	59.43	64.83
周度	5.30%	5.16%	5.35%	4.87%	4.78%	5.09%	59.17	65.11	56.41	68.30
月度	9.99%	10.87%	10.05%	10.14%	9.96%	10.60%	56.19	68.57	50.86	75.75
季度	18.52%	20.92%	19.63%	17.52%	17.25%	18.36%	52.24	73.75	43.96	87.64
Annual	—	—	—	—	34.49%	36.72%	43.96	87.64	31.14	123.73
Option Time Horizon	—	—	—	—	13.14%	13.99%	54.43	70.79	47.72	80.73

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $62.07 | Strike (K): $65.00 (first OTM call ≥ spot) | Observed Mid-价格: $2.2000 (Bid $2.1000 / Ask $2.3000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 34.49% (CRR binomial tree, American, n=20 steps) | BS IV: 34.64% (European Black-Scholes) | Yahoo IV (Annual): 36.72% → 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 Fairly Symmetrical with a 偏度 factor of -0.21. Further, an Excess 峰度 of 11.71 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.08%	54	0.63%	0.63%
-7.08% to -5.29%	90	1.05%	1.69%
-5.29% to -3.51%	231	2.70%	4.39%
-3.51% to -1.72%	955	11.18%	15.57%
-1.72% to 0.06%	3104	36.34%	51.91%
0.06% to 1.84%	2759	32.30%	84.22%
1.84% to 3.63%	916	10.72%	94.94%
3.63% to 5.41%	266	3.11%	98.06%
5.41% to 7.20%	92	1.08%	99.13%
Greater than 7.20%	74	0.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.32%	2.44%	79.84%	68.27%
±2σ	-4.70%	4.82%	95.07%	95.45%
±3σ	-7.08%	7.20%	98.50%	99.73%

Descriptive Statistics

均值	0.060%
Standard Error	0.026%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.379%
Sample Variance	5.662%
峰度	11.71
偏度	-0.21
Range	52.828%
Minimum	-26.699%
Maximum	26.129%
Count	8541

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.691%	4172	48.85%	0.826%
负向	-1.600%	4092	47.91%	-0.767%
Zero	0.000%	277	3.24%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.59%
20	1 Month	3.84%
60	1 Quarter	3.39%
250	1 Year	2.35%
750	3 Years	2.04%
1,250	5 Years	2.12%
2,500	10 Years	2.20%
5,000	20 Years	2.65%
12,500	50 Years	3.00%

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 3.09. Further, an Excess 峰度 of 19.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.01%	0	0.00%	0.00%
-3.01% to -1.54%	0	0.00%	0.00%
-1.54% to -0.07%	0	0.00%	0.00%
-0.07% to 1.39%	1386	16.23%	16.23%
1.39% to 2.86%	4033	47.21%	63.44%
2.86% to 4.32%	1875	21.95%	85.39%
4.32% to 5.79%	700	8.19%	93.58%
5.79% to 7.26%	264	3.09%	96.68%
7.26% to 8.72%	119	1.39%	98.07%
Greater than 8.72%	165	1.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.90%	4.81%	85.55%	68.27%
±2σ	-1.05%	6.77%	95.86%	95.45%
±3σ	-3.01%	8.72%	98.08%	99.73%

Descriptive Statistics

均值	2.858%
Standard Error	0.021%
中位数	2.365%
Mode	1.754%
Standard Deviation	1.955%
Sample Variance	3.823%
峰度	19.55
偏度	3.09
Range	32.460%
Minimum	0.334%
Maximum	32.794%
Count	8542

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.858%	8542	100.00%	2.858%
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 0.13. Further, an Excess 峰度 of 5.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.99%	64	0.75%	0.75%
-5.99% to -4.49%	102	1.19%	1.94%
-4.49% to -2.98%	282	3.30%	5.24%
-2.98% to -1.48%	1005	11.77%	17.01%
-1.48% to 0.02%	2944	34.46%	51.48%
0.02% to 1.52%	2717	31.81%	83.28%
1.52% to 3.02%	991	11.60%	94.88%
3.02% to 4.52%	266	3.11%	98.00%
4.52% to 6.02%	105	1.23%	99.23%
Greater than 6.02%	66	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.98%	2.02%	77.62%	68.27%
±2σ	-3.99%	4.02%	94.81%	95.45%
±3σ	-5.99%	6.02%	98.48%	99.73%

Descriptive Statistics

均值	0.018%
Standard Error	0.022%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.002%
Sample Variance	4.010%
峰度	5.68
偏度	0.13
Range	36.061%
Minimum	-17.083%
Maximum	18.978%
Count	8542

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.463%	4145	48.52%	0.710%
负向	-1.442%	4101	48.01%	-0.692%
Zero	0.000%	296	3.46%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.18. Further, an Excess 峰度 of 4.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.60%	17	0.96%	0.96%
-15.60% to -11.63%	17	0.96%	1.92%
-11.63% to -7.66%	51	2.88%	4.80%
-7.66% to -3.68%	211	11.92%	16.72%
-3.68% to 0.29%	589	33.28%	50.00%
0.29% to 4.26%	594	33.56%	83.56%
4.26% to 8.23%	196	11.07%	94.63%
8.23% to 12.21%	60	3.39%	98.02%
12.21% to 16.18%	20	1.13%	99.15%
Greater than 16.18%	15	0.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.01%	5.59%	77.01%	68.27%
±2σ	-10.30%	10.88%	94.75%	95.45%
±3σ	-15.60%	16.18%	98.19%	99.73%

Descriptive Statistics

均值	0.290%
Standard Error	0.126%
中位数	0.290%
Mode	0.000%
Standard Deviation	5.297%
Sample Variance	28.061%
峰度	4.38
偏度	-0.18
Range	63.176%
Minimum	-35.765%
Maximum	27.411%
Count	1770

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.816%	930	52.54%	2.005%
负向	-3.707%	819	46.27%	-1.715%
Zero	0.000%	21	1.19%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	7.33%
12	1 Quarter	8.09%
52	1 Year	5.52%
156	3 Years	4.67%
260	5 Years	4.87%
520	10 Years	5.09%
1,040	20 Years	6.07%
2,600	50 Years	7.09%

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 3.37. Further, an Excess 峰度 of 21.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.11%	0	0.00%	0.00%
-8.11% to -4.24%	0	0.00%	0.00%
-4.24% to -0.37%	0	0.00%	0.00%
-0.37% to 3.50%	255	14.40%	14.40%
3.50% to 7.37%	876	49.46%	63.86%
7.37% to 11.24%	387	21.85%	85.71%
11.24% to 15.12%	143	8.07%	93.79%
15.12% to 18.99%	57	3.22%	97.01%
18.99% to 22.86%	21	1.19%	98.19%
Greater than 22.86%	32	1.81%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.21%	12.54%	87.24%	68.27%
±2σ	-2.95%	17.70%	95.88%	95.45%
±3σ	-8.11%	22.86%	98.19%	99.73%

Descriptive Statistics

均值	7.374%
Standard Error	0.123%
中位数	6.107%
Mode	9.091%
Standard Deviation	5.161%
Sample Variance	26.633%
峰度	21.69
偏度	3.37
Range	67.702%
Minimum	1.068%
Maximum	68.770%
Count	1771

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.374%	1771	100.00%	7.374%
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 Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.45. Further, an Excess 峰度 of 10.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.01%	7	0.40%	0.40%
-16.01% to -11.99%	15	0.85%	1.24%
-11.99% to -7.98%	50	2.82%	4.07%
-7.98% to -3.97%	220	12.42%	16.49%
-3.97% to 0.05%	670	37.83%	54.32%
0.05% to 4.06%	537	30.32%	84.64%
4.06% to 8.07%	171	9.66%	94.30%
8.07% to 12.09%	61	3.44%	97.74%
12.09% to 16.10%	22	1.24%	98.98%
Greater than 16.10%	18	1.02%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.30%	5.40%	79.33%	68.27%
±2σ	-10.66%	10.75%	94.86%	95.45%
±3σ	-16.01%	16.10%	98.59%	99.73%

Descriptive Statistics

均值	0.046%
Standard Error	0.127%
中位数	-0.289%
Mode	0.000%
Standard Deviation	5.351%
Sample Variance	28.638%
峰度	10.37
偏度	1.45
Range	74.898%
Minimum	-20.319%
Maximum	54.579%
Count	1771

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.988%	815	46.02%	1.835%
负向	-3.379%	938	52.96%	-1.790%
Zero	0.000%	18	1.02%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.17. Further, an Excess 峰度 of 1.96 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.83%	1	0.25%	0.25%
-28.83% to -21.34%	8	1.97%	2.21%
-21.34% to -13.85%	15	3.69%	5.90%
-13.85% to -6.35%	60	14.74%	20.64%
-6.35% to 1.14%	120	29.48%	50.12%
1.14% to 8.63%	124	30.47%	80.59%
8.63% to 16.13%	53	13.02%	93.61%
16.13% to 23.62%	20	4.91%	98.53%
23.62% to 31.11%	5	1.23%	99.75%
Greater than 31.11%	1	0.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.85%	11.13%	71.74%	68.27%
±2σ	-18.84%	21.12%	94.10%	95.45%
±3σ	-28.83%	31.11%	99.51%	99.73%

Descriptive Statistics

均值	1.140%
Standard Error	0.495%
中位数	1.016%
Mode	-1.210%
Standard Deviation	9.991%
Sample Variance	99.819%
峰度	1.96
偏度	0.17
Range	84.974%
Minimum	-31.672%
Maximum	53.302%
Count	407

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.977%	224	55.04%	4.390%
负向	-7.268%	182	44.72%	-3.250%
Zero	0.000%	1	0.25%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	18.43%
12	1 Year	12.11%
36	3 Years	10.20%
60	5 Years	10.14%
120	10 Years	10.83%
240	20 Years	12.76%
600	50 Years	15.20%

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 2.35. Further, an Excess 峰度 of 8.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.67%	0	0.00%	0.00%
-15.67% to -7.52%	0	0.00%	0.00%
-7.52% to 0.63%	0	0.00%	0.00%
0.63% to 8.78%	74	18.14%	18.14%
8.78% to 16.93%	185	45.34%	63.48%
16.93% to 25.08%	87	21.32%	84.80%
25.08% to 33.23%	35	8.58%	93.38%
33.23% to 41.38%	11	2.70%	96.08%
41.38% to 49.53%	9	2.21%	98.28%
Greater than 49.53%	7	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.06%	27.79%	84.31%	68.27%
±2σ	-4.81%	38.66%	94.61%	95.45%
±3σ	-15.67%	49.53%	98.28%	99.73%

Descriptive Statistics

均值	16.927%
Standard Error	0.538%
中位数	13.906%
Mode	8.889%
Standard Deviation	10.867%
Sample Variance	118.102%
峰度	8.28
偏度	2.35
Range	83.488%
Minimum	4.209%
Maximum	87.697%
Count	408

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.927%	408	100.00%	16.927%
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 0.80. Further, an Excess 峰度 of 1.99 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.28%	1	0.25%	0.25%
-30.28% to -22.73%	1	0.25%	0.49%
-22.73% to -15.19%	12	2.94%	3.43%
-15.19% to -7.65%	67	16.42%	19.85%
-7.65% to -0.11%	140	34.31%	54.17%
-0.11% to 7.43%	111	27.21%	81.37%
7.43% to 14.97%	49	12.01%	93.38%
14.97% to 22.51%	13	3.19%	96.57%
22.51% to 30.05%	8	1.96%	98.53%
Greater than 30.05%	6	1.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.17%	9.94%	75.00%	68.27%
±2σ	-20.22%	20.00%	94.61%	95.45%
±3σ	-30.28%	30.05%	98.28%	99.73%

Descriptive Statistics

均值	-0.111%
Standard Error	0.498%
中位数	-0.948%
Mode	0.000%
Standard Deviation	10.055%
Sample Variance	101.095%
峰度	1.99
偏度	0.80
Range	77.851%
Minimum	-32.308%
Maximum	45.543%
Count	408

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.298%	183	44.85%	3.722%
负向	-7.044%	222	54.41%	-3.833%
Zero	0.000%	3	0.73%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.41. Further, an Excess 峰度 of 1.83 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -52.02%	0	0.00%	0.00%
-52.02% to -38.12%	1	0.74%	0.74%
-38.12% to -24.23%	8	5.93%	6.67%
-24.23% to -10.34%	17	12.59%	19.26%
-10.34% to 3.56%	44	32.59%	51.85%
3.56% to 17.45%	42	31.11%	82.96%
17.45% to 31.34%	15	11.11%	94.07%
31.34% to 45.23%	2	1.48%	95.56%
45.23% to 59.13%	5	3.70%	99.26%
Greater than 59.13%	1	0.74%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.97%	22.08%	75.56%	68.27%
±2σ	-33.49%	40.60%	91.11%	95.45%
±3σ	-52.02%	59.13%	99.26%	99.73%

Descriptive Statistics

均值	3.555%
Standard Error	1.594%
中位数	2.797%
Mode	-50.231%
Standard Deviation	18.524%
Sample Variance	343.148%
峰度	1.83
偏度	0.41
Range	124.846%
Minimum	-50.231%
Maximum	74.615%
Count	135

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.593%	79	58.52%	8.540%
负向	-12.018%	56	41.48%	-4.985%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	21.11%
12	3 Years	19.25%
20	5 Years	17.52%
40	10 Years	18.53%
80	20 Years	22.05%
200	50 Years	26.78%

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 2.17. Further, an Excess 峰度 of 6.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.18%	0	0.00%	0.00%
-30.18% to -14.49%	0	0.00%	0.00%
-14.49% to 1.21%	0	0.00%	0.00%
1.21% to 16.90%	23	16.91%	16.91%
16.90% to 32.59%	64	47.06%	63.97%
32.59% to 48.28%	29	21.32%	85.29%
48.28% to 63.98%	10	7.35%	92.65%
63.98% to 79.67%	5	3.68%	96.32%
79.67% to 95.36%	3	2.21%	98.53%
Greater than 95.36%	2	1.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.67%	53.52%	83.82%	68.27%
±2σ	-9.26%	74.44%	93.38%	95.45%
±3σ	-30.18%	95.36%	98.53%	99.73%

Descriptive Statistics

均值	32.592%
Standard Error	1.794%
中位数	26.524%
Mode	22.727%
Standard Deviation	20.924%
Sample Variance	437.796%
峰度	6.41
偏度	2.17
Range	130.514%
Minimum	8.632%
Maximum	139.146%
Count	136

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	32.592%	136	100.00%	32.592%
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 Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.58. Further, an Excess 峰度 of 5.07 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -59.07%	0	0.00%	0.00%
-59.07% to -44.35%	0	0.00%	0.00%
-44.35% to -29.63%	6	4.41%	4.41%
-29.63% to -14.90%	18	13.24%	17.65%
-14.90% to -0.18%	53	38.97%	56.62%
-0.18% to 14.54%	40	29.41%	86.03%
14.54% to 29.27%	9	6.62%	92.65%
29.27% to 43.99%	5	3.68%	96.32%
43.99% to 58.71%	4	2.94%	99.26%
Greater than 58.71%	1	0.74%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.81%	19.45%	78.68%	68.27%
±2σ	-39.44%	39.08%	94.12%	95.45%
±3σ	-59.07%	58.71%	99.26%	99.73%

Descriptive Statistics

均值	-0.180%
Standard Error	1.683%
中位数	-3.661%
Mode	-43.025%
Standard Deviation	19.631%
Sample Variance	385.365%
峰度	5.07
偏度	1.58
Range	141.167%
Minimum	-43.025%
Maximum	98.142%
Count	136

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.311%	59	43.38%	6.642%
负向	-12.050%	77	56.62%	-6.822%
Zero	0.000%	0	0.00%	0.000%

BSX 深度分析报告