CPRT 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	2.35%	2.42%	2.17%	2.23%	2.36%	2.63%	32.30	33.86	31.55	34.67
周度	4.95%	5.77%	4.96%	5.19%	5.19%	5.80%	31.40	34.83	29.81	36.69
月度	10.48%	12.35%	10.25%	11.54%	10.80%	12.07%	29.68	36.84	26.65	41.04
季度	15.80%	22.95%	16.12%	20.00%	18.70%	20.90%	27.43	39.87	22.75	48.07
Annual	—	—	—	—	37.41%	41.80%	22.75	48.07	15.65	69.88
Option Time Horizon	—	—	—	—	14.25%	15.93%	28.68	38.14	24.87	43.98

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $33.07 | Strike (K): $35.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.1750 (Bid $1.0000 / Ask $1.3500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 37.41% (CRR binomial tree, American, n=20 steps) | BS IV: 37.29% (European Black-Scholes) | Yahoo IV (Annual): 41.80% → 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 0.01. Further, an Excess 峰度 of 15.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.96%	63	0.78%	0.78%
-6.96% to -5.20%	67	0.83%	1.62%
-5.20% to -3.43%	214	2.66%	4.28%
-3.43% to -1.67%	785	9.77%	14.05%
-1.67% to 0.10%	3046	37.92%	51.97%
0.10% to 1.86%	2791	34.74%	86.72%
1.86% to 3.62%	687	8.55%	95.27%
3.62% to 5.39%	225	2.80%	98.07%
5.39% to 7.15%	74	0.92%	98.99%
Greater than 7.15%	81	1.01%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.26%	2.45%	82.00%	68.27%
±2σ	-4.61%	4.80%	95.26%	95.45%
±3σ	-6.96%	7.15%	98.21%	99.73%

Descriptive Statistics

均值	0.095%
Standard Error	0.026%
中位数	0.027%
Mode	0.000%
Standard Deviation	2.352%
Sample Variance	5.531%
峰度	15.18
偏度	0.01
Range	50.804%
Minimum	-29.167%
Maximum	21.637%
Count	8033

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.580%	4034	50.22%	0.793%
负向	-1.508%	3721	46.32%	-0.699%
Zero	0.000%	278	3.46%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.37%
20	1 Month	2.29%
60	1 Quarter	2.86%
250	1 Year	2.24%
750	3 Years	2.05%
1,250	5 Years	2.23%
2,500	10 Years	2.25%
5,000	20 Years	2.25%
12,500	50 Years	3.02%

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 3.58. Further, an Excess 峰度 of 22.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.32%	0	0.00%	0.00%
-4.32% to -2.50%	0	0.00%	0.00%
-2.50% to -0.68%	0	0.00%	0.00%
-0.68% to 1.14%	795	9.90%	9.90%
1.14% to 2.96%	4517	56.22%	66.12%
2.96% to 4.78%	1617	20.13%	86.25%
4.78% to 6.59%	591	7.36%	93.60%
6.59% to 8.41%	241	3.00%	96.60%
8.41% to 10.23%	111	1.38%	97.98%
Greater than 10.23%	162	2.02%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.53%	5.38%	89.35%	68.27%
±2σ	-1.89%	7.80%	95.68%	95.45%
±3σ	-4.32%	10.23%	97.98%	99.73%

Descriptive Statistics

均值	2.957%
Standard Error	0.027%
中位数	2.231%
Mode	2.778%
Standard Deviation	2.424%
Sample Variance	5.877%
峰度	22.21
偏度	3.58
Range	35.318%
Minimum	0.267%
Maximum	35.585%
Count	8034

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.957%	8034	100.00%	2.957%
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 0.40. Further, an Excess 峰度 of 10.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.53%	77	0.96%	0.96%
-6.53% to -4.91%	85	1.06%	2.02%
-4.91% to -3.28%	198	2.46%	4.48%
-3.28% to -1.65%	785	9.77%	14.25%
-1.65% to -0.03%	2844	35.40%	49.65%
-0.03% to 1.60%	2889	35.96%	85.61%
1.60% to 3.22%	770	9.58%	95.20%
3.22% to 4.85%	230	2.86%	98.06%
4.85% to 6.48%	81	1.01%	99.07%
Greater than 6.48%	75	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.20%	2.14%	80.74%	68.27%
±2σ	-4.36%	4.31%	94.70%	95.45%
±3σ	-6.53%	6.48%	98.11%	99.73%

Descriptive Statistics

均值	-0.028%
Standard Error	0.024%
中位数	-0.007%
Mode	0.000%
Standard Deviation	2.168%
Sample Variance	4.700%
峰度	10.26
偏度	0.40
Range	38.533%
Minimum	-16.250%
Maximum	22.283%
Count	8034

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.481%	3750	46.68%	0.691%
负向	-1.439%	4017	50.00%	-0.720%
Zero	0.000%	267	3.32%	0.000%

收盘-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 5.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.42%	11	0.66%	0.66%
-14.42% to -10.70%	30	1.79%	2.45%
-10.70% to -6.99%	44	2.63%	5.07%
-6.99% to -3.27%	183	10.93%	16.00%
-3.27% to 0.44%	576	34.39%	50.39%
0.44% to 4.16%	576	34.39%	84.78%
4.16% to 7.87%	161	9.61%	94.39%
7.87% to 11.59%	64	3.82%	98.21%
11.59% to 15.30%	17	1.01%	99.22%
Greater than 15.30%	13	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.51%	5.40%	78.33%	68.27%
±2σ	-9.47%	10.35%	93.97%	95.45%
±3σ	-14.42%	15.30%	98.57%	99.73%

Descriptive Statistics

均值	0.442%
Standard Error	0.121%
中位数	0.428%
Mode	0.000%
Standard Deviation	4.954%
Sample Variance	24.540%
峰度	5.35
偏度	0.16
Range	64.000%
Minimum	-28.328%
Maximum	35.672%
Count	1675

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.499%	918	54.81%	1.918%
负向	-3.358%	736	43.94%	-1.476%
Zero	0.000%	21	1.25%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	4.16%
12	1 Quarter	6.92%
52	1 Year	5.00%
156	3 Years	4.76%
260	5 Years	5.19%
520	10 Years	5.25%
1,040	20 Years	5.19%
2,600	50 Years	6.88%

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 3.21. Further, an Excess 峰度 of 18.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.10%	0	0.00%	0.00%
-10.10% to -5.77%	0	0.00%	0.00%
-5.77% to -1.44%	0	0.00%	0.00%
-1.44% to 2.88%	206	12.29%	12.29%
2.88% to 7.21%	901	53.76%	66.05%
7.21% to 11.54%	318	18.97%	85.02%
11.54% to 15.87%	137	8.17%	93.20%
15.87% to 20.19%	59	3.52%	96.72%
20.19% to 24.52%	23	1.37%	98.09%
Greater than 24.52%	32	1.91%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.44%	12.98%	88.13%	68.27%
±2σ	-4.33%	18.75%	95.70%	95.45%
±3σ	-10.10%	24.52%	98.09%	99.73%

Descriptive Statistics

均值	7.212%
Standard Error	0.141%
中位数	5.365%
Mode	3.279%
Standard Deviation	5.769%
Sample Variance	33.277%
峰度	18.28
偏度	3.21
Range	69.422%
Minimum	0.749%
Maximum	70.171%
Count	1676

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.212%	1676	100.00%	7.212%
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 1.07. Further, an Excess 峰度 of 7.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.03%	5	0.30%	0.30%
-15.03% to -11.31%	20	1.19%	1.49%
-11.31% to -7.59%	54	3.22%	4.71%
-7.59% to -3.87%	190	11.34%	16.05%
-3.87% to -0.15%	617	36.81%	52.86%
-0.15% to 3.57%	545	32.52%	85.38%
3.57% to 7.29%	150	8.95%	94.33%
7.29% to 11.01%	50	2.98%	97.32%
11.01% to 14.73%	24	1.43%	98.75%
Greater than 14.73%	21	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.11%	4.81%	78.52%	68.27%
±2σ	-10.07%	9.77%	94.51%	95.45%
±3σ	-15.03%	14.73%	98.45%	99.73%

Descriptive Statistics

均值	-0.149%
Standard Error	0.121%
中位数	-0.406%
Mode	0.000%
Standard Deviation	4.959%
Sample Variance	24.590%
峰度	7.21
偏度	1.07
Range	63.902%
Minimum	-22.188%
Maximum	41.714%
Count	1676

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.585%	753	44.93%	1.611%
负向	-3.262%	904	53.94%	-1.759%
Zero	0.000%	19	1.13%	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 4.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.48%	1	0.26%	0.26%
-29.48% to -21.63%	6	1.56%	1.82%
-21.63% to -13.77%	13	3.38%	5.19%
-13.77% to -5.91%	53	13.77%	18.96%
-5.91% to 1.95%	122	31.69%	50.65%
1.95% to 9.81%	123	31.95%	82.60%
9.81% to 17.67%	46	11.95%	94.55%
17.67% to 25.52%	13	3.38%	97.92%
25.52% to 33.38%	5	1.30%	99.22%
Greater than 33.38%	3	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.53%	12.43%	75.58%	68.27%
±2σ	-19.01%	22.91%	94.81%	95.45%
±3σ	-29.48%	33.38%	98.96%	99.73%

Descriptive Statistics

均值	1.950%
Standard Error	0.534%
中位数	1.846%
Mode	-1.775%
Standard Deviation	10.478%
Sample Variance	109.789%
峰度	4.73
偏度	0.69
Range	104.923%
Minimum	-37.615%
Maximum	67.308%
Count	385

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.913%	233	60.52%	4.789%
负向	-7.286%	150	38.96%	-2.839%
Zero	0.000%	2	0.52%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	13.90%
12	1 Year	11.42%
36	3 Years	10.86%
60	5 Years	11.54%
120	10 Years	11.94%
240	20 Years	11.55%
600	50 Years	15.21%

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 2.78. Further, an Excess 峰度 of 12.07 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.14%	0	0.00%	0.00%
-20.14% to -10.88%	0	0.00%	0.00%
-10.88% to -1.62%	0	0.00%	0.00%
-1.62% to 7.65%	61	15.80%	15.80%
7.65% to 16.91%	190	49.22%	65.03%
16.91% to 26.17%	76	19.69%	84.72%
26.17% to 35.44%	33	8.55%	93.26%
35.44% to 44.70%	14	3.63%	96.89%
44.70% to 53.96%	4	1.04%	97.93%
Greater than 53.96%	8	2.07%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.56%	29.26%	87.56%	68.27%
±2σ	-7.79%	41.61%	95.34%	95.45%
±3σ	-20.14%	53.96%	97.93%	99.73%

Descriptive Statistics

均值	16.911%
Standard Error	0.629%
中位数	13.358%
Mode	6.667%
Standard Deviation	12.351%
Sample Variance	152.540%
峰度	12.07
偏度	2.78
Range	103.239%
Minimum	3.761%
Maximum	107.000%
Count	386

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.911%	386	100.00%	16.911%
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 0.84. Further, an Excess 峰度 of 4.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.56%	1	0.26%	0.26%
-31.56% to -23.87%	3	0.78%	1.04%
-23.87% to -16.18%	11	2.85%	3.89%
-16.18% to -8.49%	53	13.73%	17.62%
-8.49% to -0.80%	147	38.08%	55.70%
-0.80% to 6.89%	103	26.68%	82.38%
6.89% to 14.57%	41	10.62%	93.01%
14.57% to 22.26%	16	4.15%	97.15%
22.26% to 29.95%	6	1.55%	98.70%
Greater than 29.95%	5	1.30%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.06%	9.45%	75.65%	68.27%
±2σ	-21.31%	19.70%	94.56%	95.45%
±3σ	-31.56%	29.95%	98.45%	99.73%

Descriptive Statistics

均值	-0.803%
Standard Error	0.522%
中位数	-1.599%
Mode	-7.692%
Standard Deviation	10.252%
Sample Variance	105.096%
峰度	4.02
偏度	0.84
Range	100.778%
Minimum	-41.954%
Maximum	58.824%
Count	386

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.362%	153	39.64%	3.314%
负向	-6.821%	233	60.36%	-4.117%
Zero	0.000%	0	0.00%	0.000%

收盘-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 0.35 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.89%	0	0.00%	0.00%
-41.89% to -30.03%	3	2.34%	2.34%
-30.03% to -18.18%	8	6.25%	8.59%
-18.18% to -6.33%	13	10.16%	18.75%
-6.33% to 5.53%	38	29.69%	48.44%
5.53% to 17.38%	41	32.03%	80.47%
17.38% to 29.24%	15	11.72%	92.19%
29.24% to 41.09%	9	7.03%	99.22%
41.09% to 52.94%	1	0.78%	100.00%
Greater than 52.94%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.28%	21.33%	72.66%	68.27%
±2σ	-26.08%	37.14%	95.31%	95.45%
±3σ	-41.89%	52.94%	100.00%	99.73%

Descriptive Statistics

均值	5.528%
Standard Error	1.397%
中位数	5.761%
Mode	-41.284%
Standard Deviation	15.805%
Sample Variance	249.802%
峰度	0.35
偏度	-0.11
Range	89.110%
Minimum	-41.284%
Maximum	47.826%
Count	128

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.458%	82	64.06%	9.262%
负向	-10.622%	45	35.16%	-3.734%
Zero	0.000%	1	0.78%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	21.08%
12	3 Years	19.13%
20	5 Years	20.00%
40	10 Years	21.56%
80	20 Years	20.48%
200	50 Years	27.47%

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 2.50. Further, an Excess 峰度 of 9.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.58%	0	0.00%	0.00%
-36.58% to -19.37%	0	0.00%	0.00%
-19.37% to -2.16%	0	0.00%	0.00%
-2.16% to 15.05%	20	15.50%	15.50%
15.05% to 32.26%	66	51.16%	66.67%
32.26% to 49.47%	20	15.50%	82.17%
49.47% to 66.68%	16	12.40%	94.57%
66.68% to 83.89%	4	3.10%	97.67%
83.89% to 101.10%	1	0.78%	98.45%
Greater than 101.10%	2	1.55%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	9.32%	55.21%	86.05%	68.27%
±2σ	-13.63%	78.16%	95.35%	95.45%
±3σ	-36.58%	101.10%	98.45%	99.73%

Descriptive Statistics

均值	32.263%
Standard Error	2.020%
中位数	24.052%
Mode	8.512%
Standard Deviation	22.946%
Sample Variance	526.521%
峰度	9.36
偏度	2.50
Range	152.481%
Minimum	8.512%
Maximum	160.993%
Count	129

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	32.263%	129	100.00%	32.263%
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 1.32. Further, an Excess 峰度 of 3.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -51.24%	0	0.00%	0.00%
-51.24% to -39.15%	0	0.00%	0.00%
-39.15% to -27.06%	3	2.33%	2.33%
-27.06% to -14.96%	22	17.05%	19.38%
-14.96% to -2.87%	49	37.98%	57.36%
-2.87% to 9.22%	35	27.13%	84.50%
9.22% to 21.32%	9	6.98%	91.47%
21.32% to 33.41%	6	4.65%	96.12%
33.41% to 45.51%	3	2.33%	98.45%
Greater than 45.51%	2	1.55%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.00%	13.25%	75.97%	68.27%
±2σ	-35.12%	29.38%	96.12%	95.45%
±3σ	-51.24%	45.51%	98.45%	99.73%

Descriptive Statistics

均值	-2.870%
Standard Error	1.420%
中位数	-5.955%
Mode	-31.066%
Standard Deviation	16.125%
Sample Variance	260.018%
峰度	3.12
偏度	1.32
Range	99.816%
Minimum	-31.066%
Maximum	68.750%
Count	129

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.856%	48	37.21%	4.784%
负向	-12.189%	81	62.79%	-7.654%
Zero	0.000%	0	0.00%	0.000%

CPRT 深度分析报告