DDOG 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	3.70%	2.61%	2.99%	4.70%	4.49%	4.50%	123.80	135.42	118.37	141.64
周度	7.97%	6.29%	7.89%	11.10%	9.88%	9.91%	117.30	142.92	106.27	157.76
月度	14.74%	12.46%	13.36%	22.35%	20.56%	20.63%	105.42	159.04	85.83	195.34
季度	33.54%	22.37%	24.78%	42.78%	35.61%	35.73%	90.69	184.87	63.52	263.95
Annual	—	—	—	—	71.22%	71.46%	63.52	263.95	31.16	538.08
Option Time Horizon	—	—	—	—	27.14%	27.23%	98.70	169.85	75.24	222.81

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $129.48 | Strike (K): $130.00 (first OTM call ≥ spot) | Observed Mid-价格: $13.9250 (Bid $13.5000 / Ask $14.3500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 71.22% (CRR binomial tree, American, n=20 steps) | BS IV: 70.56% (European Black-Scholes) | Yahoo IV (Annual): 71.46% → 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 0.69. Further, an Excess 峰度 of 5.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.96%	7	0.42%	0.42%
-10.96% to -8.19%	12	0.72%	1.15%
-8.19% to -5.41%	69	4.16%	5.31%
-5.41% to -2.63%	209	12.61%	17.92%
-2.63% to 0.14%	542	32.71%	50.63%
0.14% to 2.92%	559	33.74%	84.37%
2.92% to 5.70%	169	10.20%	94.57%
5.70% to 8.47%	58	3.50%	98.07%
8.47% to 11.25%	16	0.97%	99.03%
Greater than 11.25%	16	0.97%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.56%	3.84%	76.46%	68.27%
±2σ	-7.26%	7.55%	94.63%	95.45%
±3σ	-10.96%	11.25%	98.61%	99.73%

Descriptive Statistics

均值	0.142%
Standard Error	0.091%
中位数	0.090%
Mode	-1.552%
Standard Deviation	3.702%
Sample Variance	13.703%
峰度	5.86
偏度	0.69
Range	46.340%
Minimum	-17.867%
Maximum	28.473%
Count	1657

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.687%	847	51.12%	1.373%
负向	-2.528%	807	48.70%	-1.231%
Zero	0.000%	3	0.18%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.77%
20	1 Month	5.89%
60	1 Quarter	6.06%
250	1 Year	4.16%
750	3 Years	3.90%
1,250	5 Years	4.70%
2,500	10 Years	5.04%
5,000	20 Years	5.04%
12,500	50 Years	5.04%

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 1.62. Further, an Excess 峰度 of 3.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.06%	0	0.00%	0.00%
-3.06% to -1.10%	0	0.00%	0.00%
-1.10% to 0.86%	1	0.06%	0.06%
0.86% to 2.82%	367	22.14%	22.20%
2.82% to 4.78%	620	37.39%	59.59%
4.78% to 6.74%	378	22.80%	82.39%
6.74% to 8.70%	162	9.77%	92.16%
8.70% to 10.65%	73	4.40%	96.56%
10.65% to 12.62%	30	1.81%	98.37%
Greater than 12.62%	27	1.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.16%	7.39%	77.20%	68.27%
±2σ	-0.45%	10.00%	95.17%	95.45%
±3σ	-3.06%	12.62%	98.37%	99.73%

Descriptive Statistics

均值	4.776%
Standard Error	0.064%
中位数	4.123%
Mode	2.132%
Standard Deviation	2.613%
Sample Variance	6.829%
峰度	3.96
偏度	1.62
Range	20.502%
Minimum	0.725%
Maximum	21.227%
Count	1658

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.776%	1658	100.00%	4.776%
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 0.19. Further, an Excess 峰度 of 1.63 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.93%	8	0.48%	0.48%
-8.93% to -6.69%	14	0.84%	1.33%
-6.69% to -4.45%	73	4.40%	5.73%
-4.45% to -2.21%	225	13.57%	19.30%
-2.21% to 0.04%	522	31.48%	50.78%
0.04% to 2.28%	507	30.58%	81.36%
2.28% to 4.52%	193	11.64%	93.00%
4.52% to 6.76%	73	4.40%	97.41%
6.76% to 9.00%	30	1.81%	99.22%
Greater than 9.00%	13	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.95%	3.02%	73.58%	68.27%
±2σ	-5.94%	6.01%	94.27%	95.45%
±3σ	-8.93%	9.00%	98.73%	99.73%

Descriptive Statistics

均值	0.035%
Standard Error	0.073%
中位数	-0.039%
Mode	-0.747%
Standard Deviation	2.988%
Sample Variance	8.927%
峰度	1.63
偏度	0.19
Range	26.273%
Minimum	-13.453%
Maximum	12.820%
Count	1658

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.275%	822	49.58%	1.128%
负向	-2.171%	835	50.36%	-1.093%
Zero	0.000%	1	0.06%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.17. Further, an Excess 峰度 of 0.99 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.23%	1	0.29%	0.29%
-23.23% to -17.25%	5	1.45%	1.74%
-17.25% to -11.27%	15	4.36%	6.10%
-11.27% to -5.29%	52	15.12%	21.22%
-5.29% to 0.69%	105	30.52%	51.74%
0.69% to 6.67%	102	29.65%	81.40%
6.67% to 12.64%	41	11.92%	93.31%
12.64% to 18.62%	15	4.36%	97.67%
18.62% to 24.60%	7	2.03%	99.71%
Greater than 24.60%	1	0.29%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.28%	8.66%	73.26%	68.27%
±2σ	-15.26%	16.63%	94.77%	95.45%
±3σ	-23.23%	24.60%	99.42%	99.73%

Descriptive Statistics

均值	0.687%
Standard Error	0.430%
中位数	0.266%
Mode	-0.472%
Standard Deviation	7.971%
Sample Variance	63.537%
峰度	0.99
偏度	0.17
Range	56.449%
Minimum	-25.399%
Maximum	31.050%
Count	344

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.496%	179	52.03%	3.380%
负向	-5.615%	165	47.97%	-2.693%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	13.65%
12	1 Quarter	15.02%
52	1 Year	10.64%
156	3 Years	9.56%
260	5 Years	11.10%
520	10 Years	11.82%
1,040	20 Years	11.82%
2,600	50 Years	11.82%

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 1.01. Further, an Excess 峰度 of 0.85 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.43%	0	0.00%	0.00%
-6.43% to -1.71%	0	0.00%	0.00%
-1.71% to 3.01%	2	0.58%	0.58%
3.01% to 7.73%	88	25.51%	26.09%
7.73% to 12.44%	108	31.30%	57.39%
12.44% to 17.16%	75	21.74%	79.13%
17.16% to 21.88%	42	12.17%	91.30%
21.88% to 26.60%	18	5.22%	96.52%
26.60% to 31.32%	10	2.90%	99.42%
Greater than 31.32%	2	0.58%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.15%	18.73%	69.86%	68.27%
±2σ	-0.14%	25.03%	94.78%	95.45%
±3σ	-6.43%	31.32%	99.42%	99.73%

Descriptive Statistics

均值	12.444%
Standard Error	0.339%
中位数	11.572%
Mode	7.160%
Standard Deviation	6.291%
Sample Variance	39.576%
峰度	0.85
偏度	1.01
Range	35.179%
Minimum	2.806%
Maximum	37.985%
Count	345

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.444%	345	100.00%	12.444%
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 0.69. Further, an Excess 峰度 of 1.77 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.62%	0	0.00%	0.00%
-23.62% to -17.70%	2	0.58%	0.58%
-17.70% to -11.79%	13	3.77%	4.35%
-11.79% to -5.87%	56	16.23%	20.58%
-5.87% to 0.05%	118	34.20%	54.78%
0.05% to 5.97%	88	25.51%	80.29%
5.97% to 11.88%	42	12.17%	92.46%
11.88% to 17.80%	18	5.22%	97.68%
17.80% to 23.72%	5	1.45%	99.13%
Greater than 23.72%	3	0.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.84%	7.94%	72.46%	68.27%
±2σ	-15.73%	15.83%	95.36%	95.45%
±3σ	-23.62%	23.72%	99.13%	99.73%

Descriptive Statistics

均值	0.050%
Standard Error	0.425%
中位数	-0.775%
Mode	-5.089%
Standard Deviation	7.890%
Sample Variance	62.248%
峰度	1.77
偏度	0.69
Range	57.992%
Minimum	-20.734%
Maximum	37.258%
Count	345

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.589%	157	45.51%	2.998%
负向	-5.410%	188	54.49%	-2.948%
Zero	0.000%	0	0.00%	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 1.05. Further, an Excess 峰度 of 2.06 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.54%	0	0.00%	0.00%
-41.54% to -30.48%	0	0.00%	0.00%
-30.48% to -19.42%	3	3.80%	3.80%
-19.42% to -8.37%	14	17.72%	21.52%
-8.37% to 2.69%	26	32.91%	54.43%
2.69% to 13.75%	19	24.05%	78.48%
13.75% to 24.80%	13	16.46%	94.94%
24.80% to 35.86%	1	1.27%	96.20%
35.86% to 46.91%	2	2.53%	98.73%
Greater than 46.91%	1	1.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.05%	17.43%	68.35%	68.27%
±2σ	-26.80%	32.17%	96.20%	95.45%
±3σ	-41.54%	46.91%	98.73%	99.73%

Descriptive Statistics

均值	2.689%
Standard Error	1.659%
中位数	1.782%
Mode	-21.022%
Standard Deviation	14.742%
Sample Variance	217.332%
峰度	2.06
偏度	1.05
Range	78.979%
Minimum	-21.022%
Maximum	57.957%
Count	79

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.108%	41	51.90%	6.803%
负向	-8.553%	38	48.10%	-4.114%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	27.51%
12	1 Year	21.32%
36	3 Years	20.83%
60	5 Years	22.35%
120	10 Years	24.25%
240	20 Years	24.25%
600	50 Years	24.25%

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 1.31. Further, an Excess 峰度 of 2.21 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.45%	0	0.00%	0.00%
-9.45% to -0.10%	0	0.00%	0.00%
-0.10% to 9.24%	0	0.00%	0.00%
9.24% to 18.59%	16	20.00%	20.00%
18.59% to 27.93%	31	38.75%	58.75%
27.93% to 37.28%	20	25.00%	83.75%
37.28% to 46.62%	6	7.50%	91.25%
46.62% to 55.97%	5	6.25%	97.50%
55.97% to 65.32%	0	0.00%	97.50%
Greater than 65.32%	2	2.50%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	15.47%	40.39%	75.00%	68.27%
±2σ	3.01%	52.86%	95.00%	95.45%
±3σ	-9.45%	65.32%	97.50%	99.73%

Descriptive Statistics

均值	27.933%
Standard Error	1.393%
中位数	24.992%
Mode	11.082%
Standard Deviation	12.461%
Sample Variance	155.265%
峰度	2.21
偏度	1.31
Range	62.799%
Minimum	11.082%
Maximum	73.881%
Count	80

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.933%	80	100.00%	27.933%
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 -0.22. Further, an Excess 峰度 of 0.03 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.39%	0	0.00%	0.00%
-40.39% to -30.38%	1	1.25%	1.25%
-30.38% to -20.36%	3	3.75%	5.00%
-20.36% to -10.34%	12	15.00%	20.00%
-10.34% to -0.33%	24	30.00%	50.00%
-0.33% to 9.69%	21	26.25%	76.25%
9.69% to 19.70%	14	17.50%	93.75%
19.70% to 29.72%	5	6.25%	100.00%
29.72% to 39.74%	0	0.00%	100.00%
Greater than 39.74%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.68%	13.03%	65.00%	68.27%
±2σ	-27.04%	26.38%	96.25%	95.45%
±3σ	-40.39%	39.74%	100.00%	99.73%

Descriptive Statistics

均值	-0.328%
Standard Error	1.493%
中位数	-0.318%
Mode	-29.639%
Standard Deviation	13.355%
Sample Variance	178.356%
峰度	0.03
偏度	-0.22
Range	63.999%
Minimum	-38.263%
Maximum	25.736%
Count	80

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.406%	39	48.75%	5.073%
负向	-10.538%	41	51.25%	-5.401%
Zero	0.000%	0	0.00%	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 1.33. Further, an Excess 峰度 of 1.69 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -91.06%	0	0.00%	0.00%
-91.06% to -65.91%	0	0.00%	0.00%
-65.91% to -40.75%	0	0.00%	0.00%
-40.75% to -15.60%	6	23.08%	23.08%
-15.60% to 9.56%	10	38.46%	61.54%
9.56% to 34.71%	4	15.38%	76.92%
34.71% to 59.87%	4	15.38%	92.31%
59.87% to 85.02%	1	3.85%	96.15%
85.02% to 110.18%	1	3.85%	100.00%
Greater than 110.18%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.98%	43.10%	76.92%	68.27%
±2σ	-57.52%	76.64%	96.15%	95.45%
±3σ	-91.06%	110.18%	100.00%	99.73%

Descriptive Statistics

均值	9.556%
Standard Error	6.578%
中位数	-1.117%
Mode	-30.200%
Standard Deviation	33.540%
Sample Variance	1124.956%
峰度	1.69
偏度	1.33
Range	138.223%
Minimum	-30.200%
Maximum	108.023%
Count	26

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	33.889%	13	50.00%	16.944%
负向	-14.777%	13	50.00%	-7.388%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	41.59%
12	3 Years	42.18%
20	5 Years	42.78%
40	10 Years	46.34%
80	20 Years	46.34%
200	50 Years	46.34%

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 1.16. Further, an Excess 峰度 of 3.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.37%	0	0.00%	0.00%
-10.37% to 6.40%	0	0.00%	0.00%
6.40% to 23.18%	1	3.70%	3.70%
23.18% to 39.96%	4	14.81%	18.52%
39.96% to 56.73%	10	37.04%	55.56%
56.73% to 73.51%	6	22.22%	77.78%
73.51% to 90.29%	5	18.52%	96.30%
90.29% to 107.06%	0	0.00%	96.30%
107.06% to 123.84%	0	0.00%	96.30%
Greater than 123.84%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	34.36%	79.10%	77.78%	68.27%
±2σ	11.99%	101.47%	96.30%	95.45%
±3σ	-10.37%	123.84%	96.30%	99.73%

Descriptive Statistics

均值	56.733%
Standard Error	4.305%
中位数	55.724%
Mode	17.069%
Standard Deviation	22.369%
Sample Variance	500.366%
峰度	3.18
偏度	1.16
Range	112.430%
Minimum	17.069%
Maximum	129.499%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	56.733%	27	100.00%	56.733%
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 -0.36. Further, an Excess 峰度 of -0.65 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -74.97%	0	0.00%	0.00%
-74.97% to -56.38%	0	0.00%	0.00%
-56.38% to -37.80%	2	7.41%	7.41%
-37.80% to -19.21%	5	18.52%	25.93%
-19.21% to -0.63%	4	14.81%	40.74%
-0.63% to 17.96%	9	33.33%	74.07%
17.96% to 36.54%	5	18.52%	92.59%
36.54% to 55.13%	2	7.41%	100.00%
55.13% to 73.71%	0	0.00%	100.00%
Greater than 73.71%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.41%	24.15%	70.37%	68.27%
±2σ	-50.19%	48.93%	96.30%	95.45%
±3σ	-74.97%	73.71%	100.00%	99.73%

Descriptive Statistics

均值	-0.626%
Standard Error	4.769%
中位数	3.324%
Mode	-53.122%
Standard Deviation	24.780%
Sample Variance	614.042%
峰度	-0.65
偏度	-0.36
Range	94.278%
Minimum	-53.122%
Maximum	41.156%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.686%	16	59.26%	9.888%
负向	-25.808%	11	40.74%	-10.514%
Zero	0.000%	0	0.00%	0.000%

DDOG 深度分析报告