CHWY 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	3.87%	2.91%	3.41%	5.22%	3.61%	3.70%	25.10	26.98	24.21	27.97
周度	8.41%	7.12%	8.02%	12.28%	7.94%	8.15%	24.03	28.17	22.20	30.50
月度	16.27%	15.80%	15.67%	27.85%	16.54%	16.97%	22.05	30.70	18.69	36.22
季度	30.28%	35.34%	30.09%	49.27%	28.65%	29.39%	19.54	34.65	14.67	46.14
Annual	—	—	—	—	57.29%	58.79%	14.67	46.14	8.27	81.83
Option Time Horizon	—	—	—	—	21.83%	22.40%	20.92	32.37	16.81	40.27

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $26.02 | Strike (K): $27.50 (first OTM call ≥ spot) | Observed Mid-价格: $1.7400 (Bid $1.5700 / Ask $1.9100) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 57.29% (CRR binomial tree, American, n=20 steps) | BS IV: 57.97% (European Black-Scholes) | Yahoo IV (Annual): 58.79% → 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 0.65. Further, an Excess 峰度 of 4.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.54%	7	0.41%	0.41%
-11.54% to -8.64%	15	0.87%	1.28%
-8.64% to -5.74%	68	3.94%	5.22%
-5.74% to -2.84%	232	13.46%	18.68%
-2.84% to 0.06%	573	33.24%	51.91%
0.06% to 2.96%	502	29.12%	81.03%
2.96% to 5.86%	227	13.17%	94.20%
5.86% to 8.76%	62	3.60%	97.80%
8.76% to 11.66%	23	1.33%	99.13%
Greater than 11.66%	15	0.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.81%	3.92%	75.23%	68.27%
±2σ	-7.68%	7.79%	95.30%	95.45%
±3σ	-11.54%	11.66%	98.72%	99.73%

Descriptive Statistics

均值	0.057%
Standard Error	0.093%
中位数	-0.051%
Mode	0.000%
Standard Deviation	3.867%
Sample Variance	14.950%
峰度	4.11
偏度	0.65
Range	43.747%
Minimum	-16.603%
Maximum	27.144%
Count	1724

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.934%	845	49.01%	1.438%
负向	-2.731%	872	50.58%	-1.381%
Zero	0.000%	7	0.41%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.66%
20	1 Month	4.51%
60	1 Quarter	4.84%
250	1 Year	3.85%
750	3 Years	4.60%
1,250	5 Years	5.22%
2,500	10 Years	5.40%
5,000	20 Years	5.40%
12,500	50 Years	5.40%

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 3.02. Further, an Excess 峰度 of 22.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.42%	0	0.00%	0.00%
-3.42% to -1.24%	0	0.00%	0.00%
-1.24% to 0.94%	0	0.00%	0.00%
0.94% to 3.12%	323	18.72%	18.72%
3.12% to 5.31%	743	43.07%	61.80%
5.31% to 7.49%	378	21.91%	83.71%
7.49% to 9.67%	167	9.68%	93.39%
9.67% to 11.85%	57	3.30%	96.70%
11.85% to 14.04%	29	1.68%	98.38%
Greater than 14.04%	28	1.62%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.40%	8.22%	81.51%	68.27%
±2σ	-0.51%	11.13%	95.59%	95.45%
±3σ	-3.42%	14.04%	98.38%	99.73%

Descriptive Statistics

均值	5.306%
Standard Error	0.070%
中位数	4.609%
Mode	2.577%
Standard Deviation	2.910%
Sample Variance	8.467%
峰度	22.88
偏度	3.02
Range	42.833%
Minimum	1.182%
Maximum	44.015%
Count	1725

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.306%	1725	100.00%	5.306%
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 -0.11. Further, an Excess 峰度 of 1.46 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.12%	11	0.64%	0.64%
-10.12% to -7.57%	25	1.45%	2.09%
-7.57% to -5.01%	66	3.83%	5.91%
-5.01% to -2.45%	236	13.68%	19.59%
-2.45% to 0.11%	520	30.14%	49.74%
0.11% to 2.67%	524	30.38%	80.12%
2.67% to 5.23%	245	14.20%	94.32%
5.23% to 7.79%	73	4.23%	98.55%
7.79% to 10.35%	18	1.04%	99.59%
Greater than 10.35%	7	0.41%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.30%	3.52%	72.99%	68.27%
±2σ	-6.71%	6.94%	94.43%	95.45%
±3σ	-10.12%	10.35%	98.96%	99.73%

Descriptive Statistics

均值	0.112%
Standard Error	0.082%
中位数	0.120%
Mode	0.000%
Standard Deviation	3.412%
Sample Variance	11.642%
峰度	1.46
偏度	-0.11
Range	31.464%
Minimum	-14.444%
Maximum	17.020%
Count	1725

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.593%	896	51.94%	1.347%
负向	-2.583%	825	47.83%	-1.235%
Zero	0.000%	4	0.23%	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 0.72. Further, an Excess 峰度 of 1.75 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.98%	1	0.28%	0.28%
-24.98% to -18.66%	0	0.00%	0.28%
-18.66% to -12.35%	19	5.31%	5.59%
-12.35% to -6.04%	55	15.36%	20.95%
-6.04% to 0.27%	115	32.12%	53.07%
0.27% to 6.58%	95	26.54%	79.61%
6.58% to 12.89%	50	13.97%	93.58%
12.89% to 19.20%	14	3.91%	97.49%
19.20% to 25.52%	5	1.40%	98.88%
Greater than 25.52%	4	1.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.14%	8.68%	71.79%	68.27%
±2σ	-16.56%	17.10%	96.09%	95.45%
±3σ	-24.97%	25.51%	98.60%	99.73%

Descriptive Statistics

均值	0.270%
Standard Error	0.445%
中位数	-0.548%
Mode	6.724%
Standard Deviation	8.415%
Sample Variance	70.812%
峰度	1.75
偏度	0.72
Range	61.505%
Minimum	-27.166%
Maximum	34.339%
Count	358

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.012%	172	48.05%	3.369%
负向	-5.964%	186	51.95%	-3.099%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	10.92%
12	1 Quarter	11.87%
52	1 Year	9.09%
156	3 Years	10.82%
260	5 Years	12.28%
520	10 Years	12.69%
1,040	20 Years	12.69%
2,600	50 Years	12.69%

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 1.72. Further, an Excess 峰度 of 4.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.74%	0	0.00%	0.00%
-7.74% to -2.40%	0	0.00%	0.00%
-2.40% to 2.94%	0	0.00%	0.00%
2.94% to 8.28%	78	21.73%	21.73%
8.28% to 13.62%	137	38.16%	59.89%
13.62% to 18.97%	81	22.56%	82.45%
18.97% to 24.31%	33	9.19%	91.64%
24.31% to 29.65%	17	4.74%	96.38%
29.65% to 34.99%	7	1.95%	98.33%
Greater than 34.99%	6	1.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.50%	20.75%	75.21%	68.27%
±2σ	-0.62%	27.87%	95.54%	95.45%
±3σ	-7.74%	34.99%	98.33%	99.73%

Descriptive Statistics

均值	13.625%
Standard Error	0.376%
中位数	12.084%
Mode	5.562%
Standard Deviation	7.123%
Sample Variance	50.738%
峰度	4.48
偏度	1.72
Range	51.188%
Minimum	3.419%
Maximum	54.607%
Count	359

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.625%	359	100.00%	13.625%
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 0.16. Further, an Excess 峰度 of 1.15 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.52%	1	0.28%	0.28%
-23.52% to -17.50%	5	1.39%	1.67%
-17.50% to -11.49%	16	4.46%	6.13%
-11.49% to -5.48%	51	14.21%	20.33%
-5.48% to 0.54%	107	29.81%	50.14%
0.54% to 6.55%	105	29.25%	79.39%
6.55% to 12.56%	49	13.65%	93.04%
12.56% to 18.57%	22	6.13%	99.16%
18.57% to 24.59%	2	0.56%	99.72%
Greater than 24.59%	1	0.28%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.48%	8.55%	72.14%	68.27%
±2σ	-15.50%	16.57%	95.54%	95.45%
±3σ	-23.52%	24.59%	99.44%	99.73%

Descriptive Statistics

均值	0.535%
Standard Error	0.423%
中位数	0.526%
Mode	0.414%
Standard Deviation	8.017%
Sample Variance	64.272%
峰度	1.15
偏度	0.16
Range	62.520%
Minimum	-24.304%
Maximum	38.216%
Count	359

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.435%	190	52.92%	3.406%
负向	-6.134%	168	46.80%	-2.871%
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 0.47. Further, an Excess 峰度 of -0.29 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -47.90%	0	0.00%	0.00%
-47.90% to -35.70%	0	0.00%	0.00%
-35.70% to -23.50%	5	6.10%	6.10%
-23.50% to -11.30%	14	17.07%	23.17%
-11.30% to 0.90%	30	36.59%	59.76%
0.90% to 13.11%	13	15.85%	75.61%
13.11% to 25.31%	12	14.63%	90.24%
25.31% to 37.51%	6	7.32%	97.56%
37.51% to 49.71%	2	2.44%	100.00%
Greater than 49.71%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.37%	17.17%	71.95%	68.27%
±2σ	-31.63%	33.44%	95.12%	95.45%
±3σ	-47.90%	49.71%	100.00%	99.73%

Descriptive Statistics

均值	0.903%
Standard Error	1.797%
中位数	-1.389%
Mode	-29.263%
Standard Deviation	16.269%
Sample Variance	264.675%
峰度	-0.29
偏度	0.47
Range	70.757%
Minimum	-29.263%
Maximum	41.494%
Count	82

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.509%	37	45.12%	6.998%
负向	-11.106%	45	54.88%	-6.095%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	19.06%
12	1 Year	19.03%
36	3 Years	25.31%
60	5 Years	27.85%
120	10 Years	27.84%
240	20 Years	27.84%
600	50 Years	27.84%

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 1.52. Further, an Excess 峰度 of 2.59 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.10%	0	0.00%	0.00%
-15.10% to -3.24%	0	0.00%	0.00%
-3.24% to 8.61%	0	0.00%	0.00%
8.61% to 20.46%	18	21.69%	21.69%
20.46% to 32.31%	35	42.17%	63.86%
32.31% to 44.16%	13	15.66%	79.52%
44.16% to 56.01%	12	14.46%	93.98%
56.01% to 67.87%	2	2.41%	96.39%
67.87% to 79.72%	1	1.20%	97.59%
Greater than 79.72%	2	2.41%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.51%	48.11%	79.52%	68.27%
±2σ	0.71%	63.91%	95.18%	95.45%
±3σ	-15.09%	79.72%	97.59%	99.73%

Descriptive Statistics

均值	32.311%
Standard Error	1.734%
中位数	26.343%
Mode	12.452%
Standard Deviation	15.802%
Sample Variance	249.705%
峰度	2.59
偏度	1.52
Range	79.740%
Minimum	12.452%
Maximum	92.192%
Count	83

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	32.311%	83	100.00%	32.311%
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 0.28. Further, an Excess 峰度 of -0.22 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -44.96%	0	0.00%	0.00%
-44.96% to -33.21%	0	0.00%	0.00%
-33.21% to -21.46%	3	3.61%	3.61%
-21.46% to -9.70%	20	24.10%	27.71%
-9.70% to 2.05%	20	24.10%	51.81%
2.05% to 13.80%	22	26.51%	78.31%
13.80% to 25.56%	12	14.46%	92.77%
25.56% to 37.31%	4	4.82%	97.59%
37.31% to 49.06%	2	2.41%	100.00%
Greater than 49.06%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.62%	17.72%	69.88%	68.27%
±2σ	-29.29%	33.39%	96.39%	95.45%
±3σ	-44.96%	49.06%	100.00%	99.73%

Descriptive Statistics

均值	2.049%
Standard Error	1.720%
中位数	1.718%
Mode	-29.750%
Standard Deviation	15.671%
Sample Variance	245.581%
峰度	-0.22
偏度	0.28
Range	71.560%
Minimum	-29.750%
Maximum	41.810%
Count	83

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.992%	47	56.63%	7.357%
负向	-12.238%	36	43.37%	-5.308%
Zero	0.000%	0	0.00%	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 0.63. Further, an Excess 峰度 of -0.13 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -87.67%	0	0.00%	0.00%
-87.67% to -64.95%	0	0.00%	0.00%
-64.95% to -42.24%	1	3.70%	3.70%
-42.24% to -19.53%	5	18.52%	22.22%
-19.53% to 3.19%	9	33.33%	55.56%
3.19% to 25.90%	7	25.93%	81.48%
25.90% to 48.61%	2	7.41%	88.89%
48.61% to 71.33%	3	11.11%	100.00%
71.33% to 94.04%	0	0.00%	100.00%
Greater than 94.04%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.10%	33.47%	66.67%	68.27%
±2σ	-57.38%	63.75%	96.30%	95.45%
±3σ	-87.67%	94.04%	100.00%	99.73%

Descriptive Statistics

均值	3.186%
Standard Error	5.828%
中位数	-2.133%
Mode	-42.979%
Standard Deviation	30.284%
Sample Variance	917.145%
峰度	-0.13
偏度	0.63
Range	108.271%
Minimum	-42.979%
Maximum	65.292%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.683%	12	44.44%	13.192%
负向	-18.012%	15	55.56%	-10.007%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	28.15%
12	3 Years	46.71%
20	5 Years	49.27%
40	10 Years	51.47%
80	20 Years	51.47%
200	50 Years	51.47%

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 1.21. Further, an Excess 峰度 of 0.83 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.93%	0	0.00%	0.00%
-40.93% to -14.42%	0	0.00%	0.00%
-14.42% to 12.08%	0	0.00%	0.00%
12.08% to 38.59%	6	21.43%	21.43%
38.59% to 65.09%	12	42.86%	64.29%
65.09% to 91.60%	4	14.29%	78.57%
91.60% to 118.10%	3	10.71%	89.29%
118.10% to 144.61%	2	7.14%	96.43%
144.61% to 171.11%	1	3.57%	100.00%
Greater than 171.11%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	29.75%	100.43%	71.43%	68.27%
±2σ	-5.59%	135.77%	96.43%	95.45%
±3σ	-40.93%	171.11%	100.00%	99.73%

Descriptive Statistics

均值	65.092%
Standard Error	6.679%
中位数	50.926%
Mode	27.613%
Standard Deviation	35.340%
Sample Variance	1248.934%
峰度	0.83
偏度	1.21
Range	135.687%
Minimum	27.613%
Maximum	163.300%
Count	28

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	65.092%	28	100.00%	65.092%
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 0.63. Further, an Excess 峰度 of 0.02 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -85.19%	0	0.00%	0.00%
-85.19% to -62.63%	0	0.00%	0.00%
-62.63% to -40.06%	0	0.00%	0.00%
-40.06% to -17.50%	6	21.43%	21.43%
-17.50% to 5.07%	9	32.14%	53.57%
5.07% to 27.63%	7	25.00%	78.57%
27.63% to 50.20%	3	10.71%	89.29%
50.20% to 72.76%	2	7.14%	96.43%
72.76% to 95.32%	1	3.57%	100.00%
Greater than 95.32%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.02%	35.15%	64.29%	68.27%
±2σ	-55.11%	65.24%	96.43%	95.45%
±3σ	-85.19%	95.32%	100.00%	99.73%

Descriptive Statistics

均值	5.066%
Standard Error	5.686%
中位数	0.370%
Mode	-38.981%
Standard Deviation	30.086%
Sample Variance	905.189%
峰度	0.02
偏度	0.63
Range	112.287%
Minimum	-38.981%
Maximum	73.306%
Count	28

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.722%	14	50.00%	13.861%
负向	-17.589%	14	50.00%	-8.794%
Zero	0.000%	0	0.00%	0.000%

CHWY 深度分析报告