CRWD 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	3.52%	2.50%	3.01%	4.39%	3.33%	3.37%	433.46	463.30	419.26	478.98
周度	8.51%	7.58%	8.83%	10.55%	7.33%	7.42%	416.46	482.21	387.03	518.88
月度	15.03%	15.10%	15.67%	22.17%	15.26%	15.45%	384.72	521.99	330.28	608.03
季度	29.30%	28.79%	29.08%	40.62%	26.43%	26.77%	344.06	583.67	264.17	760.21
Annual	—	—	—	—	52.85%	53.53%	264.17	760.21	155.72	1289.61
Option Time Horizon	—	—	—	—	20.14%	20.40%	366.39	548.11	299.56	670.39

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $448.13 | Strike (K): $450.00 (first OTM call ≥ spot) | Observed Mid-价格: $35.9000 (Bid $34.3000 / Ask $37.5000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 52.85% (CRR binomial tree, American, n=20 steps) | BS IV: 52.42% (European Black-Scholes) | Yahoo IV (Annual): 53.53% → 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 0.16. Further, an Excess 峰度 of 2.73 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.39%	11	0.64%	0.64%
-10.39% to -7.75%	22	1.27%	1.91%
-7.75% to -5.11%	64	3.71%	5.62%
-5.11% to -2.46%	229	13.27%	18.89%
-2.46% to 0.18%	531	30.76%	49.65%
0.18% to 2.82%	557	32.27%	81.92%
2.82% to 5.47%	222	12.86%	94.79%
5.47% to 8.11%	56	3.24%	98.03%
8.11% to 10.75%	17	0.98%	99.02%
Greater than 10.75%	17	0.98%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.34%	3.70%	75.67%	68.27%
±2σ	-6.87%	7.23%	94.38%	95.45%
±3σ	-10.39%	10.75%	98.38%	99.73%

Descriptive Statistics

均值	0.180%
Standard Error	0.085%
中位数	0.218%
Mode	-0.889%
Standard Deviation	3.524%
Sample Variance	12.416%
峰度	2.73
偏度	0.16
Range	33.953%
Minimum	-16.536%
Maximum	17.417%
Count	1726

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.606%	908	52.61%	1.371%
负向	-2.515%	817	47.34%	-1.190%
Zero	0.000%	1	0.06%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.80%
20	1 Month	5.09%
60	1 Quarter	5.11%
250	1 Year	3.76%
750	3 Years	3.93%
1,250	5 Years	4.39%
2,500	10 Years	4.86%
5,000	20 Years	4.86%
12,500	50 Years	4.86%

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 1.84. Further, an Excess 峰度 of 5.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.84%	0	0.00%	0.00%
-2.84% to -0.97%	0	0.00%	0.00%
-0.97% to 0.90%	0	0.00%	0.00%
0.90% to 2.78%	355	20.56%	20.56%
2.78% to 4.65%	723	41.86%	62.42%
4.65% to 6.52%	346	20.03%	82.46%
6.52% to 8.39%	165	9.55%	92.01%
8.39% to 10.27%	72	4.17%	96.18%
10.27% to 12.14%	35	2.03%	98.20%
Greater than 12.14%	31	1.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.15%	7.15%	79.10%	68.27%
±2σ	-0.34%	9.64%	95.19%	95.45%
±3σ	-2.84%	12.14%	98.20%	99.73%

Descriptive Statistics

均值	4.649%
Standard Error	0.060%
中位数	4.006%
Mode	2.141%
Standard Deviation	2.497%
Sample Variance	6.236%
峰度	5.14
偏度	1.84
Range	19.180%
Minimum	0.905%
Maximum	20.085%
Count	1727

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.649%	1727	100.00%	4.649%
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 1.85 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.00%	7	0.41%	0.41%
-9.00% to -6.75%	23	1.33%	1.74%
-6.75% to -4.49%	65	3.76%	5.50%
-4.49% to -2.24%	234	13.55%	19.05%
-2.24% to 0.02%	574	33.24%	52.29%
0.02% to 2.27%	498	28.84%	81.12%
2.27% to 4.53%	209	12.10%	93.23%
4.53% to 6.78%	78	4.52%	97.74%
6.78% to 9.03%	25	1.45%	99.19%
Greater than 9.03%	14	0.81%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.99%	3.02%	74.23%	68.27%
±2σ	-6.00%	6.03%	94.33%	95.45%
±3σ	-9.00%	9.03%	98.78%	99.73%

Descriptive Statistics

均值	0.016%
Standard Error	0.072%
中位数	-0.089%
Mode	-2.393%
Standard Deviation	3.006%
Sample Variance	9.036%
峰度	1.85
偏度	0.11
Range	29.485%
Minimum	-16.065%
Maximum	13.420%
Count	1727

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.344%	826	47.83%	1.121%
负向	-2.123%	899	52.06%	-1.105%
Zero	0.000%	2	0.12%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.35. Further, an Excess 峰度 of 5.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.64%	3	0.84%	0.84%
-24.64% to -18.26%	6	1.68%	2.51%
-18.26% to -11.88%	10	2.79%	5.31%
-11.88% to -5.50%	46	12.85%	18.16%
-5.50% to 0.88%	102	28.49%	46.65%
0.88% to 7.26%	126	35.20%	81.84%
7.26% to 13.64%	47	13.13%	94.97%
13.64% to 20.02%	13	3.63%	98.60%
20.02% to 26.39%	4	1.12%	99.72%
Greater than 26.39%	1	0.28%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.63%	9.38%	76.54%	68.27%
±2σ	-16.13%	17.89%	94.97%	95.45%
±3σ	-24.64%	26.39%	98.88%	99.73%

Descriptive Statistics

均值	0.879%
Standard Error	0.450%
中位数	1.143%
Mode	-8.551%
Standard Deviation	8.505%
Sample Variance	72.341%
峰度	5.57
偏度	0.35
Range	85.928%
Minimum	-30.066%
Maximum	55.862%
Count	358

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.271%	202	56.42%	3.538%
负向	-6.102%	156	43.58%	-2.659%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	11.55%
12	1 Quarter	12.43%
52	1 Year	8.61%
156	3 Years	9.63%
260	5 Years	10.55%
520	10 Years	11.64%
1,040	20 Years	11.64%
2,600	50 Years	11.64%

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 2.58. Further, an Excess 峰度 of 10.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.22%	0	0.00%	0.00%
-10.22% to -4.54%	0	0.00%	0.00%
-4.54% to 1.14%	0	0.00%	0.00%
1.14% to 6.83%	55	15.32%	15.32%
6.83% to 12.51%	175	48.75%	64.07%
12.51% to 18.19%	78	21.73%	85.79%
18.19% to 23.87%	25	6.96%	92.76%
23.87% to 29.55%	13	3.62%	96.38%
29.55% to 35.24%	6	1.67%	98.05%
Greater than 35.24%	7	1.95%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.93%	20.08%	85.24%	68.27%
±2σ	-2.64%	27.66%	94.71%	95.45%
±3σ	-10.22%	35.24%	98.05%	99.73%

Descriptive Statistics

均值	12.508%
Standard Error	0.400%
中位数	10.568%
Mode	6.139%
Standard Deviation	7.576%
Sample Variance	57.397%
峰度	10.42
偏度	2.58
Range	63.140%
Minimum	2.744%
Maximum	65.884%
Count	359

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.508%	359	100.00%	12.508%
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 5.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.40%	1	0.28%	0.28%
-26.40% to -19.78%	0	0.00%	0.28%
-19.78% to -13.16%	10	2.79%	3.06%
-13.16% to -6.54%	56	15.60%	18.66%
-6.54% to 0.08%	133	37.05%	55.71%
0.08% to 6.70%	100	27.86%	83.57%
6.70% to 13.32%	38	10.58%	94.15%
13.32% to 19.94%	10	2.79%	96.94%
19.94% to 26.55%	6	1.67%	98.61%
Greater than 26.55%	5	1.39%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.75%	8.90%	78.83%	68.27%
±2σ	-17.57%	17.73%	95.82%	95.45%
±3σ	-26.40%	26.56%	98.33%	99.73%

Descriptive Statistics

均值	0.077%
Standard Error	0.466%
中位数	-1.087%
Mode	-3.166%
Standard Deviation	8.826%
Sample Variance	77.890%
峰度	5.53
偏度	1.33
Range	80.886%
Minimum	-34.052%
Maximum	46.834%
Count	359

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.098%	160	44.57%	3.163%
负向	-5.596%	198	55.15%	-3.086%
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 -0.14. Further, an Excess 峰度 of 0.06 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.64%	0	0.00%	0.00%
-41.64% to -30.37%	1	1.22%	1.22%
-30.37% to -19.09%	4	4.88%	6.10%
-19.09% to -7.83%	17	20.73%	26.83%
-7.83% to 3.44%	18	21.95%	48.78%
3.44% to 14.71%	25	30.49%	79.27%
14.71% to 25.99%	12	14.63%	93.90%
25.99% to 37.26%	4	4.88%	98.78%
37.26% to 48.53%	1	1.22%	100.00%
Greater than 48.53%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.58%	18.47%	70.73%	68.27%
±2σ	-26.61%	33.50%	93.90%	95.45%
±3σ	-41.64%	48.53%	100.00%	99.73%

Descriptive Statistics

均值	3.445%
Standard Error	1.659%
中位数	5.156%
Mode	-39.466%
Standard Deviation	15.027%
Sample Variance	225.804%
峰度	0.06
偏度	-0.14
Range	77.658%
Minimum	-39.466%
Maximum	38.192%
Count	82

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.334%	49	59.76%	7.968%
负向	-11.237%	33	40.24%	-4.522%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	24.61%
12	1 Year	17.38%
36	3 Years	21.73%
60	5 Years	22.17%
120	10 Years	24.74%
240	20 Years	24.74%
600	50 Years	24.74%

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 1.78. Further, an Excess 峰度 of 3.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.19%	0	0.00%	0.00%
-16.19% to -4.86%	0	0.00%	0.00%
-4.86% to 6.47%	0	0.00%	0.00%
6.47% to 17.80%	19	22.89%	22.89%
17.80% to 29.12%	36	43.37%	66.27%
29.12% to 40.45%	16	19.28%	85.54%
40.45% to 51.78%	4	4.82%	90.36%
51.78% to 63.11%	4	4.82%	95.18%
63.11% to 74.44%	2	2.41%	97.59%
Greater than 74.44%	2	2.41%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	14.02%	44.23%	80.72%	68.27%
±2σ	-1.08%	59.33%	93.98%	95.45%
±3σ	-16.19%	74.44%	97.59%	99.73%

Descriptive Statistics

均值	29.125%
Standard Error	1.658%
中位数	25.961%
Mode	9.550%
Standard Deviation	15.104%
Sample Variance	228.118%
峰度	3.80
偏度	1.78
Range	81.279%
Minimum	9.550%
Maximum	90.829%
Count	83

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.125%	83	100.00%	29.125%
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 3.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.06%	0	0.00%	0.00%
-48.06% to -36.31%	0	0.00%	0.00%
-36.31% to -24.56%	3	3.61%	3.61%
-24.56% to -12.80%	13	15.66%	19.28%
-12.80% to -1.05%	31	37.35%	56.63%
-1.05% to 10.71%	18	21.69%	78.31%
10.71% to 22.46%	13	15.66%	93.98%
22.46% to 34.22%	2	2.41%	96.39%
34.22% to 45.97%	2	2.41%	98.80%
Greater than 45.97%	1	1.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.72%	14.63%	79.52%	68.27%
±2σ	-32.39%	30.30%	96.39%	95.45%
±3σ	-48.06%	45.97%	98.80%	99.73%

Descriptive Statistics

均值	-1.046%
Standard Error	1.720%
中位数	-3.293%
Mode	-27.533%
Standard Deviation	15.673%
Sample Variance	245.627%
峰度	3.45
偏度	1.32
Range	93.631%
Minimum	-27.533%
Maximum	66.098%
Count	83

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.597%	31	37.35%	5.452%
负向	-10.372%	52	62.65%	-6.498%
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 0.41. Further, an Excess 峰度 of 0.36 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -77.90%	0	0.00%	0.00%
-77.90% to -55.93%	0	0.00%	0.00%
-55.93% to -33.96%	3	11.11%	11.11%
-33.96% to -11.98%	3	11.11%	22.22%
-11.98% to 9.99%	8	29.63%	51.85%
9.99% to 31.96%	8	29.63%	81.48%
31.96% to 53.94%	2	7.41%	88.89%
53.94% to 75.91%	3	11.11%	100.00%
75.91% to 97.88%	0	0.00%	100.00%
Greater than 97.88%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.31%	39.29%	74.07%	68.27%
±2σ	-48.61%	68.59%	96.30%	95.45%
±3σ	-77.90%	97.88%	100.00%	99.73%

Descriptive Statistics

均值	9.990%
Standard Error	5.638%
中位数	9.399%
Mode	-43.965%
Standard Deviation	29.298%
Sample Variance	858.399%
峰度	0.36
偏度	0.41
Range	118.222%
Minimum	-43.965%
Maximum	74.257%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.501%	19	70.37%	16.538%
负向	-22.099%	8	29.63%	-6.548%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	28.26%
12	3 Years	40.25%
20	5 Years	40.62%
40	10 Years	46.38%
80	20 Years	46.38%
200	50 Years	46.38%

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 1.18. Further, an Excess 峰度 of 0.90 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.14%	0	0.00%	0.00%
-26.14% to -4.55%	0	0.00%	0.00%
-4.55% to 17.04%	0	0.00%	0.00%
17.04% to 38.63%	8	28.57%	28.57%
38.63% to 60.22%	9	32.14%	60.71%
60.22% to 81.81%	6	21.43%	82.14%
81.81% to 103.41%	3	10.71%	92.86%
103.41% to 125.00%	0	0.00%	92.86%
125.00% to 146.59%	2	7.14%	100.00%
Greater than 146.59%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	31.43%	89.01%	75.00%	68.27%
±2σ	2.65%	117.80%	92.86%	95.45%
±3σ	-26.14%	146.59%	100.00%	99.73%

Descriptive Statistics

均值	60.223%
Standard Error	5.440%
中位数	53.331%
Mode	28.013%
Standard Deviation	28.788%
Sample Variance	828.742%
峰度	0.90
偏度	1.18
Range	106.729%
Minimum	28.013%
Maximum	134.742%
Count	28

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	60.223%	28	100.00%	60.223%
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 1.28. Further, an Excess 峰度 of 1.76 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -90.38%	0	0.00%	0.00%
-90.38% to -68.56%	0	0.00%	0.00%
-68.56% to -46.75%	0	0.00%	0.00%
-46.75% to -24.94%	6	21.43%	21.43%
-24.94% to -3.13%	12	42.86%	64.29%
-3.13% to 18.68%	5	17.86%	82.14%
18.68% to 40.49%	2	7.14%	89.29%
40.49% to 62.31%	2	7.14%	96.43%
62.31% to 84.12%	1	3.57%	100.00%
Greater than 84.12%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.21%	25.95%	78.57%	68.27%
±2σ	-61.29%	55.04%	92.86%	95.45%
±3σ	-90.38%	84.12%	100.00%	99.73%

Descriptive Statistics

均值	-3.129%
Standard Error	5.496%
中位数	-9.286%
Mode	-42.285%
Standard Deviation	29.082%
Sample Variance	845.755%
峰度	1.76
偏度	1.28
Range	122.750%
Minimum	-42.285%
Maximum	80.465%
Count	28

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.313%	9	32.14%	9.422%
负向	-18.497%	19	67.86%	-12.552%
Zero	0.000%	0	0.00%	0.000%

CRWD 深度分析报告