CHKP 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	3.10%	3.14%	2.75%	2.26%	2.96%	3.31%	130.75	138.71	126.94	142.87
周度	6.74%	8.52%	6.70%	5.12%	6.51%	7.29%	126.19	143.72	118.24	153.38
月度	13.17%	19.08%	13.22%	10.75%	13.54%	15.18%	117.61	154.20	102.72	176.56
季度	23.61%	38.67%	20.06%	18.04%	23.45%	26.29%	106.51	170.27	84.24	215.28
Annual	—	—	—	—	46.91%	52.58%	84.24	215.28	52.70	344.13
Option Time Horizon	—	—	—	—	17.88%	20.03%	112.63	161.03	94.19	192.55

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $134.67 | Strike (K): $140.00 (first OTM call ≥ spot) | Observed Mid-价格: $7.7500 (Bid $6.9000 / Ask $8.6000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 46.91% (CRR binomial tree, American, n=20 steps) | BS IV: 47.48% (European Black-Scholes) | Yahoo IV (Annual): 52.58% → 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 0.67. Further, an Excess 峰度 of 13.20 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.20%	67	0.89%	0.89%
-9.20% to -6.88%	73	0.97%	1.87%
-6.88% to -4.55%	185	2.47%	4.33%
-4.55% to -2.23%	620	8.26%	12.60%
-2.23% to 0.10%	2938	39.16%	51.76%
0.10% to 2.42%	2738	36.50%	88.26%
2.42% to 4.74%	529	7.05%	95.31%
4.74% to 7.07%	172	2.29%	97.60%
7.07% to 9.39%	95	1.27%	98.87%
Greater than 9.39%	85	1.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.00%	3.19%	82.96%	68.27%
±2σ	-6.10%	6.29%	94.60%	95.45%
±3σ	-9.20%	9.39%	97.97%	99.73%

Descriptive Statistics

均值	0.095%
Standard Error	0.036%
中位数	0.021%
Mode	0.000%
Standard Deviation	3.099%
Sample Variance	9.604%
峰度	13.20
偏度	0.67
Range	59.392%
Minimum	-27.057%
Maximum	32.335%
Count	7502

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.950%	3781	50.40%	0.983%
负向	-1.834%	3635	48.45%	-0.889%
Zero	0.000%	86	1.15%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.49%
20	1 Month	3.82%
60	1 Quarter	3.56%
250	1 Year	2.77%
750	3 Years	2.31%
1,250	5 Years	2.26%
2,500	10 Years	2.17%
5,000	20 Years	2.33%
12,500	50 Years	3.58%

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 3.10. Further, an Excess 峰度 of 15.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.94%	0	0.00%	0.00%
-5.94% to -3.58%	0	0.00%	0.00%
-3.58% to -1.22%	0	0.00%	0.00%
-1.22% to 1.13%	530	7.06%	7.06%
1.13% to 3.49%	4654	62.03%	69.09%
3.49% to 5.85%	1217	16.22%	85.31%
5.85% to 8.20%	531	7.08%	92.39%
8.20% to 10.56%	277	3.69%	96.08%
10.56% to 12.92%	152	2.03%	98.11%
Greater than 12.92%	142	1.89%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.35%	6.63%	88.23%	68.27%
±2σ	-2.80%	9.78%	95.18%	95.45%
±3σ	-5.94%	12.92%	98.11%	99.73%

Descriptive Statistics

均值	3.490%
Standard Error	0.036%
中位数	2.396%
Mode	1.924%
Standard Deviation	3.143%
Sample Variance	9.878%
峰度	15.81
偏度	3.10
Range	39.427%
Minimum	0.311%
Maximum	39.738%
Count	7503

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.490%	7503	100.00%	3.490%
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 0.95. Further, an Excess 峰度 of 15.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.23%	69	0.92%	0.92%
-8.23% to -6.16%	82	1.09%	2.01%
-6.16% to -4.09%	169	2.25%	4.26%
-4.09% to -2.03%	615	8.20%	12.46%
-2.03% to 0.04%	3007	40.08%	52.54%
0.04% to 2.10%	2613	34.83%	87.37%
2.10% to 4.17%	568	7.57%	94.94%
4.17% to 6.24%	213	2.84%	97.77%
6.24% to 8.30%	82	1.09%	98.87%
Greater than 8.30%	85	1.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.72%	2.79%	82.59%	68.27%
±2σ	-5.47%	5.55%	94.46%	95.45%
±3σ	-8.23%	8.30%	97.95%	99.73%

Descriptive Statistics

均值	0.039%
Standard Error	0.032%
中位数	-0.043%
Mode	0.000%
Standard Deviation	2.755%
Sample Variance	7.592%
峰度	15.80
偏度	0.95
Range	63.982%
Minimum	-25.587%
Maximum	38.395%
Count	7503

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.806%	3610	48.11%	0.869%
负向	-1.628%	3824	50.97%	-0.830%
Zero	0.000%	69	0.92%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.69. Further, an Excess 峰度 of 7.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.77%	10	0.64%	0.64%
-19.77% to -14.72%	22	1.41%	2.06%
-14.72% to -9.66%	49	3.15%	5.21%
-9.66% to -4.61%	130	8.35%	13.56%
-4.61% to 0.45%	589	37.85%	51.41%
0.45% to 5.50%	556	35.73%	87.15%
5.50% to 10.56%	111	7.13%	94.28%
10.56% to 15.62%	48	3.08%	97.37%
15.62% to 20.67%	24	1.54%	98.91%
Greater than 20.67%	17	1.09%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.29%	7.19%	82.07%	68.27%
±2σ	-13.03%	13.93%	93.96%	95.45%
±3σ	-19.77%	20.67%	98.26%	99.73%

Descriptive Statistics

均值	0.449%
Standard Error	0.171%
中位数	0.303%
Mode	0.000%
Standard Deviation	6.741%
Sample Variance	45.441%
峰度	7.56
偏度	0.69
Range	87.413%
Minimum	-34.187%
Maximum	53.226%
Count	1556

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.446%	825	53.02%	2.357%
负向	-4.120%	721	46.34%	-1.909%
Zero	0.000%	10	0.64%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.52%
12	1 Quarter	8.28%
52	1 Year	6.12%
156	3 Years	5.21%
260	5 Years	5.12%
520	10 Years	4.89%
1,040	20 Years	5.25%
2,600	50 Years	8.38%

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 2.69. Further, an Excess 峰度 of 9.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.59%	0	0.00%	0.00%
-16.59% to -10.20%	0	0.00%	0.00%
-10.20% to -3.81%	0	0.00%	0.00%
-3.81% to 2.58%	83	5.33%	5.33%
2.58% to 8.96%	1007	64.68%	70.01%
8.96% to 15.35%	230	14.77%	84.78%
15.35% to 21.74%	118	7.58%	92.36%
21.74% to 28.12%	52	3.34%	95.70%
28.12% to 34.51%	30	1.93%	97.62%
Greater than 34.51%	37	2.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.45%	17.48%	87.28%	68.27%
±2σ	-8.07%	25.99%	94.80%	95.45%
±3σ	-16.59%	34.51%	97.62%	99.73%

Descriptive Statistics

均值	8.963%
Standard Error	0.216%
中位数	5.837%
Mode	2.494%
Standard Deviation	8.516%
Sample Variance	72.528%
峰度	9.67
偏度	2.69
Range	71.060%
Minimum	1.447%
Maximum	72.507%
Count	1557

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.963%	1557	100.00%	8.963%
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 1.21. Further, an Excess 峰度 of 9.64 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.03%	10	0.64%	0.64%
-20.03% to -15.00%	18	1.16%	1.80%
-15.00% to -9.98%	51	3.28%	5.07%
-9.98% to -4.95%	109	7.00%	12.07%
-4.95% to 0.07%	656	42.13%	54.21%
0.07% to 5.10%	517	33.20%	87.41%
5.10% to 10.12%	114	7.32%	94.73%
10.12% to 15.15%	41	2.63%	97.37%
15.15% to 20.18%	19	1.22%	98.59%
Greater than 20.18%	22	1.41%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.63%	6.77%	82.72%	68.27%
±2σ	-13.33%	13.47%	94.16%	95.45%
±3σ	-20.03%	20.18%	97.94%	99.73%

Descriptive Statistics

均值	0.073%
Standard Error	0.170%
中位数	-0.307%
Mode	-2.833%
Standard Deviation	6.701%
Sample Variance	44.902%
峰度	9.64
偏度	1.21
Range	89.216%
Minimum	-34.211%
Maximum	55.005%
Count	1557

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.563%	722	46.37%	2.116%
负向	-3.824%	832	53.44%	-2.043%
Zero	0.000%	3	0.19%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.88. Further, an Excess 峰度 of 6.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -37.69%	1	0.28%	0.28%
-37.69% to -27.81%	7	1.96%	2.23%
-27.81% to -17.93%	11	3.07%	5.31%
-17.93% to -8.06%	32	8.94%	14.25%
-8.06% to 1.82%	143	39.94%	54.19%
1.82% to 11.70%	112	31.28%	85.47%
11.70% to 21.58%	31	8.66%	94.13%
21.58% to 31.45%	10	2.79%	96.93%
31.45% to 41.33%	8	2.23%	99.16%
Greater than 41.33%	3	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.35%	14.99%	79.89%	68.27%
±2σ	-24.52%	28.16%	93.02%	95.45%
±3σ	-37.69%	41.33%	98.88%	99.73%

Descriptive Statistics

均值	1.821%
Standard Error	0.696%
中位数	1.200%
Mode	-40.296%
Standard Deviation	13.170%
Sample Variance	173.449%
峰度	6.02
偏度	0.88
Range	125.404%
Minimum	-40.296%
Maximum	85.108%
Count	358

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.098%	208	58.10%	5.286%
负向	-8.271%	150	41.90%	-3.465%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	18.07%
12	1 Year	13.09%
36	3 Years	11.25%
60	5 Years	10.75%
120	10 Years	10.40%
240	20 Years	10.84%
600	50 Years	17.79%

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 2.16. Further, an Excess 峰度 of 4.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.70%	0	0.00%	0.00%
-36.70% to -22.39%	0	0.00%	0.00%
-22.39% to -8.08%	0	0.00%	0.00%
-8.08% to 6.23%	24	6.69%	6.69%
6.23% to 20.54%	227	63.23%	69.92%
20.54% to 34.85%	50	13.93%	83.84%
34.85% to 49.16%	23	6.41%	90.25%
49.16% to 63.47%	16	4.46%	94.71%
63.47% to 77.78%	10	2.79%	97.49%
Greater than 77.78%	9	2.51%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.46%	39.62%	86.35%	68.27%
±2σ	-17.62%	58.70%	94.15%	95.45%
±3σ	-36.70%	77.78%	97.49%	99.73%

Descriptive Statistics

均值	20.540%
Standard Error	1.007%
中位数	12.917%
Mode	7.769%
Standard Deviation	19.081%
Sample Variance	364.083%
峰度	4.98
偏度	2.16
Range	118.182%
Minimum	3.657%
Maximum	121.839%
Count	359

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.540%	359	100.00%	20.540%
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 1.33. Further, an Excess 峰度 of 5.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.81%	1	0.28%	0.28%
-39.81% to -29.90%	2	0.56%	0.84%
-29.90% to -19.99%	14	3.90%	4.74%
-19.99% to -10.08%	33	9.19%	13.93%
-10.08% to -0.17%	157	43.73%	57.66%
-0.17% to 9.75%	109	30.36%	88.02%
9.75% to 19.66%	22	6.13%	94.15%
19.66% to 29.57%	7	1.95%	96.10%
29.57% to 39.48%	5	1.39%	97.49%
Greater than 39.48%	9	2.51%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.38%	13.05%	81.34%	68.27%
±2σ	-26.60%	26.27%	93.31%	95.45%
±3σ	-39.81%	39.48%	97.21%	99.73%

Descriptive Statistics

均值	-0.165%
Standard Error	0.698%
中位数	-1.386%
Mode	1.915%
Standard Deviation	13.216%
Sample Variance	174.667%
峰度	5.23
偏度	1.33
Range	107.858%
Minimum	-43.671%
Maximum	64.187%
Count	359

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.118%	149	41.50%	4.199%
负向	-7.496%	209	58.22%	-4.364%
Zero	0.000%	1	0.28%	0.000%

收盘-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 1.89. 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 -65.23%	0	0.00%	0.00%
-65.23% to -47.52%	1	0.84%	0.84%
-47.52% to -29.81%	2	1.68%	2.52%
-29.81% to -12.10%	13	10.92%	13.45%
-12.10% to 5.61%	59	49.58%	63.03%
5.61% to 23.31%	31	26.05%	89.08%
23.31% to 41.02%	6	5.04%	94.12%
41.02% to 58.73%	2	1.68%	95.80%
58.73% to 76.44%	2	1.68%	97.48%
Greater than 76.44%	3	2.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.01%	29.22%	85.71%	68.27%
±2σ	-41.62%	52.83%	93.28%	95.45%
±3σ	-65.23%	76.44%	97.48%	99.73%

Descriptive Statistics

均值	5.605%
Standard Error	2.164%
中位数	2.995%
Mode	-50.274%
Standard Deviation	23.611%
Sample Variance	557.486%
峰度	6.19
偏度	1.89
Range	163.461%
Minimum	-50.274%
Maximum	113.187%
Count	119

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.636%	69	57.98%	10.226%
负向	-10.997%	50	42.02%	-4.621%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	21.93%
12	3 Years	20.42%
20	5 Years	18.04%
40	10 Years	17.35%
80	20 Years	18.56%
200	50 Years	31.31%

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 1.85. Further, an Excess 峰度 of 2.56 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -76.48%	0	0.00%	0.00%
-76.48% to -47.48%	0	0.00%	0.00%
-47.48% to -18.47%	0	0.00%	0.00%
-18.47% to 10.53%	7	5.83%	5.83%
10.53% to 39.53%	80	66.67%	72.50%
39.53% to 68.54%	12	10.00%	82.50%
68.54% to 97.54%	6	5.00%	87.50%
97.54% to 126.55%	7	5.83%	93.33%
126.55% to 155.55%	5	4.17%	97.50%
Greater than 155.55%	3	2.50%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.86%	78.21%	85.00%	68.27%
±2σ	-37.81%	116.88%	93.33%	95.45%
±3σ	-76.48%	155.55%	97.50%	99.73%

Descriptive Statistics

均值	39.535%
Standard Error	3.530%
中位数	23.237%
Mode	7.764%
Standard Deviation	38.671%
Sample Variance	1495.411%
峰度	2.56
偏度	1.85
Range	159.219%
Minimum	7.764%
Maximum	166.983%
Count	120

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	39.535%	120	100.00%	39.535%
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 1.15. Further, an Excess 峰度 of 5.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -61.30%	0	0.00%	0.00%
-61.30% to -46.25%	3	2.50%	2.50%
-46.25% to -31.20%	4	3.33%	5.83%
-31.20% to -16.16%	10	8.33%	14.17%
-16.16% to -1.11%	49	40.83%	55.00%
-1.11% to 13.93%	38	31.67%	86.67%
13.93% to 28.98%	9	7.50%	94.17%
28.98% to 44.02%	4	3.33%	97.50%
44.02% to 59.06%	1	0.83%	98.33%
Greater than 59.06%	2	1.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.17%	18.95%	83.33%	68.27%
±2σ	-41.23%	39.00%	91.67%	95.45%
±3σ	-61.29%	59.06%	98.33%	99.73%

Descriptive Statistics

均值	-1.115%
Standard Error	1.831%
中位数	-2.364%
Mode	-52.577%
Standard Deviation	20.060%
Sample Variance	402.401%
峰度	5.53
偏度	1.15
Range	149.822%
Minimum	-52.577%
Maximum	97.245%
Count	120

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.319%	51	42.50%	6.086%
负向	-12.523%	69	57.50%	-7.201%
Zero	0.000%	0	0.00%	0.000%

CHKP 深度分析报告