CRM 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	2.62%	2.08%	2.23%	2.96%	3.14%	3.17%	172.65	183.84	167.31	189.71
周度	5.68%	5.39%	5.61%	7.20%	6.91%	6.99%	166.26	190.91	155.15	204.58
月度	10.99%	10.64%	10.52%	15.24%	14.39%	14.54%	154.28	205.74	133.60	237.59
季度	20.91%	25.45%	20.73%	25.47%	24.93%	25.19%	138.85	228.60	108.21	293.32
Annual	—	—	—	—	49.86%	50.39%	108.21	293.32	65.73	482.92
Option Time Horizon	—	—	—	—	19.00%	19.20%	147.33	215.44	121.84	260.52

Calculation Notes: Computed at 2026-04-26T02:44 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $178.16 | Strike (K): $180.00 (first OTM call ≥ spot) | Observed Mid-价格: $12.9250 (Bid $12.6000 / Ask $13.2500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.96% | Binomial IV (Annual): 49.86% (CRR binomial tree, American, n=20 steps) | BS IV: 49.76% (European Black-Scholes) | Yahoo IV (Annual): 50.39% → period-scaled as σ_period = σ_annual·√h | 价格 bands: Upper = S·e^+σ√h, 低er = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2026-04-09	$0.4400
2025-12-18	$0.4160
2025-09-17	$0.4160
2025-06-18	$0.4160
2025-04-10	$0.4160
2024-12-18	$0.4000
2024-09-18	$0.4000
2024-07-09	$0.4000
2024-03-13	$0.4000

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.34. Further, an Excess 峰度 of 9.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.76%	33	0.60%	0.60%
-7.76% to -5.79%	46	0.84%	1.44%
-5.79% to -3.83%	192	3.49%	4.93%
-3.83% to -1.86%	642	11.69%	16.62%
-1.86% to 0.10%	1893	34.46%	51.07%
0.10% to 2.07%	1828	33.27%	84.35%
2.07% to 4.03%	600	10.92%	95.27%
4.03% to 6.00%	157	2.86%	98.13%
6.00% to 7.96%	51	0.93%	99.05%
Greater than 7.96%	52	0.95%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.52%	2.72%	79.01%	68.27%
±2σ	-5.14%	5.34%	95.23%	95.45%
±3σ	-7.76%	7.96%	98.45%	99.73%

Descriptive Statistics

均值	0.102%
Standard Error	0.035%
中位数	0.056%
Mode	0.000%
Standard Deviation	2.620%
Sample Variance	6.862%
峰度	9.93
偏度	0.34
Range	53.193%
Minimum	-27.148%
Maximum	26.045%
Count	5494

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.835%	2813	51.20%	0.940%
负向	-1.728%	2663	48.47%	-0.838%
Zero	0.000%	18	0.33%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.95%
20	1 Month	4.21%
60	1 Quarter	4.45%
250	1 Year	3.06%
750	3 Years	2.76%
1,250	5 Years	2.96%
2,500	10 Years	2.75%
5,000	20 Years	3.21%
12,500	50 Years	3.30%

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 3.92. Further, an Excess 峰度 of 42.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.13%	0	0.00%	0.00%
-3.13% to -1.56%	0	0.00%	0.00%
-1.56% to -0.00%	0	0.00%	0.00%
-0.00% to 1.56%	891	16.21%	16.21%
1.56% to 3.12%	2576	46.88%	63.09%
3.12% to 4.68%	1228	22.35%	85.44%
4.68% to 6.25%	448	8.15%	93.59%
6.25% to 7.81%	187	3.40%	97.00%
7.81% to 9.37%	71	1.29%	98.29%
Greater than 9.37%	94	1.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.04%	5.21%	86.10%	68.27%
±2σ	-1.04%	7.29%	96.27%	95.45%
±3σ	-3.13%	9.37%	98.29%	99.73%

Descriptive Statistics

均值	3.123%
Standard Error	0.028%
中位数	2.605%
Mode	1.694%
Standard Deviation	2.083%
Sample Variance	4.340%
峰度	42.13
偏度	3.92
Range	45.173%
Minimum	0.528%
Maximum	45.701%
Count	5495

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.123%	5495	100.00%	3.123%
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 0.86. Further, an Excess 峰度 of 18.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.74%	34	0.62%	0.62%
-6.74% to -5.06%	67	1.22%	1.84%
-5.06% to -3.39%	166	3.02%	4.86%
-3.39% to -1.71%	663	12.07%	16.92%
-1.71% to -0.04%	1835	33.39%	50.32%
-0.04% to 1.64%	1819	33.10%	83.42%
1.64% to 3.32%	622	11.32%	94.74%
3.32% to 4.99%	191	3.48%	98.22%
4.99% to 6.67%	64	1.16%	99.38%
Greater than 6.67%	34	0.62%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.27%	2.20%	77.82%	68.27%
±2σ	-4.50%	4.43%	94.98%	95.45%
±3σ	-6.74%	6.67%	98.76%	99.73%

Descriptive Statistics

均值	-0.035%
Standard Error	0.030%
中位数	-0.047%
Mode	0.000%
Standard Deviation	2.235%
Sample Variance	4.996%
峰度	18.47
偏度	0.86
Range	50.929%
Minimum	-13.322%
Maximum	37.607%
Count	5495

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.558%	2658	48.37%	0.754%
负向	-1.539%	2814	51.21%	-0.788%
Zero	0.000%	23	0.42%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.44. Further, an Excess 峰度 of 3.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.54%	5	0.44%	0.44%
-16.54% to -12.28%	17	1.49%	1.93%
-12.28% to -8.02%	37	3.25%	5.18%
-8.02% to -3.77%	156	13.70%	18.88%
-3.77% to 0.49%	354	31.08%	49.96%
0.49% to 4.75%	372	32.66%	82.62%
4.75% to 9.01%	130	11.41%	94.03%
9.01% to 13.27%	49	4.30%	98.33%
13.27% to 17.53%	10	0.88%	99.21%
Greater than 17.53%	9	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.19%	6.17%	75.42%	68.27%
±2σ	-10.86%	11.85%	94.56%	95.45%
±3σ	-16.54%	17.53%	98.77%	99.73%

Descriptive Statistics

均值	0.494%
Standard Error	0.168%
中位数	0.517%
Mode	0.605%
Standard Deviation	5.679%
Sample Variance	32.255%
峰度	3.15
偏度	0.44
Range	51.818%
Minimum	-21.026%
Maximum	30.792%
Count	1139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.253%	619	54.35%	2.311%
负向	-3.988%	519	45.57%	-1.817%
Zero	0.000%	1	0.09%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.85%
12	1 Quarter	9.57%
52	1 Year	7.13%
156	3 Years	6.69%
260	5 Years	7.20%
520	10 Years	6.56%
1,040	20 Years	7.60%
2,600	50 Years	7.88%

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 2.24. Further, an Excess 峰度 of 7.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.94%	0	0.00%	0.00%
-7.94% to -3.89%	0	0.00%	0.00%
-3.89% to 0.15%	0	0.00%	0.00%
0.15% to 4.19%	215	18.86%	18.86%
4.19% to 8.23%	506	44.39%	63.25%
8.23% to 12.28%	234	20.53%	83.77%
12.28% to 16.32%	103	9.04%	92.81%
16.32% to 20.36%	47	4.12%	96.93%
20.36% to 24.40%	11	0.96%	97.89%
Greater than 24.40%	24	2.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.84%	13.62%	84.04%	68.27%
±2σ	-2.55%	19.01%	95.96%	95.45%
±3σ	-7.94%	24.40%	97.89%	99.73%

Descriptive Statistics

均值	8.233%
Standard Error	0.160%
中位数	6.779%
Mode	6.573%
Standard Deviation	5.390%
Sample Variance	29.054%
峰度	7.77
偏度	2.24
Range	45.159%
Minimum	1.266%
Maximum	46.425%
Count	1140

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.233%	1140	100.00%	8.233%
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 0.41. Further, an Excess 峰度 of 2.92 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.00%	6	0.53%	0.53%
-17.00% to -12.79%	8	0.70%	1.23%
-12.79% to -8.59%	49	4.30%	5.53%
-8.59% to -4.38%	146	12.81%	18.33%
-4.38% to -0.17%	394	34.56%	52.89%
-0.17% to 4.04%	334	29.30%	82.19%
4.04% to 8.25%	138	12.11%	94.30%
8.25% to 12.46%	37	3.25%	97.54%
12.46% to 16.67%	18	1.58%	99.12%
Greater than 16.67%	10	0.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.78%	5.45%	75.79%	68.27%
±2σ	-11.39%	11.06%	94.47%	95.45%
±3σ	-17.00%	16.67%	98.60%	99.73%

Descriptive Statistics

均值	-0.167%
Standard Error	0.166%
中位数	-0.445%
Mode	-7.935%
Standard Deviation	5.612%
Sample Variance	31.499%
峰度	2.92
偏度	0.41
Range	51.291%
Minimum	-24.799%
Maximum	26.492%
Count	1140

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.337%	511	44.83%	1.944%
负向	-3.838%	627	55.00%	-2.111%
Zero	0.000%	2	0.17%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.44. Further, an Excess 峰度 of 1.06 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.94%	1	0.38%	0.38%
-30.94% to -22.69%	0	0.00%	0.38%
-22.69% to -14.45%	12	4.58%	4.96%
-14.45% to -6.20%	45	17.18%	22.14%
-6.20% to 2.04%	80	30.53%	52.67%
2.04% to 10.29%	71	27.10%	79.77%
10.29% to 18.54%	35	13.36%	93.13%
18.54% to 26.78%	10	3.82%	96.95%
26.78% to 35.03%	6	2.29%	99.24%
Greater than 35.03%	2	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.95%	13.04%	71.76%	68.27%
±2σ	-19.94%	24.03%	95.80%	95.45%
±3σ	-30.94%	35.03%	98.85%	99.73%

Descriptive Statistics

均值	2.045%
Standard Error	0.679%
中位数	1.274%
Mode	7.928%
Standard Deviation	10.994%
Sample Variance	120.863%
峰度	1.06
偏度	0.44
Range	76.296%
Minimum	-36.033%
Maximum	40.263%
Count	262

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.425%	146	55.73%	5.252%
负向	-7.242%	116	44.27%	-3.206%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	16.45%
12	1 Year	14.25%
36	3 Years	14.42%
60	5 Years	15.24%
120	10 Years	13.94%
240	20 Years	16.26%
600	50 Years	17.05%

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 2.49. 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 -13.05%	0	0.00%	0.00%
-13.05% to -5.07%	0	0.00%	0.00%
-5.07% to 2.91%	0	0.00%	0.00%
2.91% to 10.89%	54	20.53%	20.53%
10.89% to 18.87%	105	39.92%	60.46%
18.87% to 26.85%	60	22.81%	83.27%
26.85% to 34.83%	23	8.75%	92.02%
34.83% to 42.81%	12	4.56%	96.58%
42.81% to 50.79%	5	1.90%	98.48%
Greater than 50.79%	4	1.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	8.23%	29.51%	79.85%	68.27%
±2σ	-2.41%	40.15%	96.20%	95.45%
±3σ	-13.05%	50.79%	98.48%	99.73%

Descriptive Statistics

均值	18.871%
Standard Error	0.656%
中位数	16.210%
Mode	11.123%
Standard Deviation	10.640%
Sample Variance	113.202%
峰度	12.42
偏度	2.49
Range	93.925%
Minimum	4.845%
Maximum	98.770%
Count	263

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.871%	263	100.00%	18.871%
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 0.51. Further, an Excess 峰度 of 2.42 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.50%	0	0.00%	0.00%
-32.50% to -24.60%	4	1.52%	1.52%
-24.60% to -16.71%	9	3.42%	4.94%
-16.71% to -8.82%	45	17.11%	22.05%
-8.82% to -0.93%	74	28.14%	50.19%
-0.93% to 6.97%	78	29.66%	79.85%
6.97% to 14.86%	36	13.69%	93.54%
14.86% to 22.75%	14	5.32%	98.86%
22.75% to 30.65%	2	0.76%	99.62%
Greater than 30.65%	1	0.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.45%	9.60%	70.72%	68.27%
±2σ	-21.97%	20.12%	95.44%	95.45%
±3σ	-32.50%	30.65%	99.62%	99.73%

Descriptive Statistics

均值	-0.925%
Standard Error	0.649%
中位数	-1.295%
Mode	-2.567%
Standard Deviation	10.524%
Sample Variance	110.761%
峰度	2.42
偏度	0.51
Range	82.722%
Minimum	-28.458%
Maximum	54.264%
Count	263

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.270%	113	42.97%	3.553%
负向	-7.852%	150	57.03%	-4.478%
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 0.55. Further, an Excess 峰度 of 1.17 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -55.99%	0	0.00%	0.00%
-55.99% to -40.30%	1	1.15%	1.15%
-40.30% to -24.62%	2	2.30%	3.45%
-24.62% to -8.94%	15	17.24%	20.69%
-8.94% to 6.74%	30	34.48%	55.17%
6.74% to 22.42%	26	29.89%	85.06%
22.42% to 38.10%	6	6.90%	91.95%
38.10% to 53.78%	3	3.45%	95.40%
53.78% to 69.47%	4	4.60%	100.00%
Greater than 69.47%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.17%	27.65%	73.56%	68.27%
±2σ	-35.08%	48.56%	93.10%	95.45%
±3σ	-55.99%	69.47%	100.00%	99.73%

Descriptive Statistics

均值	6.740%
Standard Error	2.242%
中位数	5.434%
Mode	-51.466%
Standard Deviation	20.909%
Sample Variance	437.198%
峰度	1.17
偏度	0.55
Range	115.732%
Minimum	-51.466%
Maximum	64.266%
Count	87

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.518%	57	65.52%	11.477%
负向	-13.739%	30	34.48%	-4.738%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	19.81%
12	3 Years	24.89%
20	5 Years	25.47%
40	10 Years	23.52%
80	20 Years	28.52%
200	50 Years	30.35%

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 3.46. Further, an Excess 峰度 of 17.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.57%	0	0.00%	0.00%
-39.57% to -20.48%	0	0.00%	0.00%
-20.48% to -1.40%	0	0.00%	0.00%
-1.40% to 17.69%	10	11.36%	11.36%
17.69% to 36.78%	47	53.41%	64.77%
36.78% to 55.87%	20	22.73%	87.50%
55.87% to 74.95%	7	7.95%	95.45%
74.95% to 94.04%	2	2.27%	97.73%
94.04% to 113.13%	0	0.00%	97.73%
Greater than 113.13%	2	2.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.33%	62.23%	87.50%	68.27%
±2σ	-14.12%	87.68%	97.73%	95.45%
±3σ	-39.57%	113.13%	97.73%	99.73%

Descriptive Statistics

均值	36.778%
Standard Error	2.713%
中位数	29.526%
Mode	10.269%
Standard Deviation	25.450%
Sample Variance	647.715%
峰度	17.42
偏度	3.46
Range	183.665%
Minimum	10.269%
Maximum	193.934%
Count	88

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	36.778%	88	100.00%	36.778%
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 1.79. Further, an Excess 峰度 of 8.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -64.44%	0	0.00%	0.00%
-64.44% to -48.89%	0	0.00%	0.00%
-48.89% to -33.34%	5	5.68%	5.68%
-33.34% to -17.79%	9	10.23%	15.91%
-17.79% to -2.24%	37	42.05%	57.95%
-2.24% to 13.31%	24	27.27%	85.23%
13.31% to 28.86%	8	9.09%	94.32%
28.86% to 44.41%	3	3.41%	97.73%
44.41% to 59.96%	1	1.14%	98.86%
Greater than 59.96%	1	1.14%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.97%	18.50%	79.55%	68.27%
±2σ	-43.70%	39.23%	97.73%	95.45%
±3σ	-64.44%	59.96%	98.86%	99.73%

Descriptive Statistics

均值	-2.238%
Standard Error	2.210%
中位数	-5.169%
Mode	-39.099%
Standard Deviation	20.733%
Sample Variance	429.866%
峰度	8.08
偏度	1.79
Range	146.237%
Minimum	-39.099%
Maximum	107.138%
Count	88

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.961%	33	37.50%	6.360%
负向	-13.758%	55	62.50%	-8.599%
Zero	0.000%	0	0.00%	0.000%

CRM 深度分析报告