DKNG 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	4.05%	3.21%	3.60%	5.24%	3.80%	3.87%	22.32	24.08	21.48	25.01
周度	9.91%	9.42%	9.87%	12.45%	8.36%	8.52%	21.32	25.20	19.61	27.40
月度	22.11%	20.81%	19.70%	26.64%	17.41%	17.73%	19.48	27.59	16.36	32.83
季度	30.88%	37.29%	33.20%	42.57%	30.15%	30.71%	17.15	31.34	12.68	42.37
Annual	—	—	—	—	60.31%	61.43%	12.68	42.37	6.94	77.44
Option Time Horizon	—	—	—	—	22.98%	23.41%	18.42	29.17	14.64	36.71

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $23.18 | Strike (K): $25.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.4700 (Bid $1.3600 / Ask $1.5800) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 60.31% (CRR binomial tree, American, n=20 steps) | BS IV: 60.72% (European Black-Scholes) | Yahoo IV (Annual): 61.43% → 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 -0.06. Further, an Excess 峰度 of 4.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.01%	10	0.61%	0.61%
-12.01% to -8.97%	12	0.74%	1.35%
-8.97% to -5.94%	56	3.44%	4.79%
-5.94% to -2.90%	229	14.07%	18.86%
-2.90% to 0.14%	539	33.11%	51.97%
0.14% to 3.17%	490	30.10%	82.06%
3.17% to 6.21%	193	11.86%	93.92%
6.21% to 9.24%	62	3.81%	97.73%
9.24% to 12.28%	23	1.41%	99.14%
Greater than 12.28%	14	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.91%	4.18%	75.25%	68.27%
±2σ	-7.96%	8.23%	95.02%	95.45%
±3σ	-12.01%	12.28%	98.53%	99.73%

Descriptive Statistics

均值	0.135%
Standard Error	0.100%
中位数	0.000%
Mode	0.000%
Standard Deviation	4.048%
Sample Variance	16.385%
峰度	4.00
偏度	-0.06
Range	45.094%
Minimum	-27.824%
Maximum	17.270%
Count	1628

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.045%	811	49.82%	1.517%
负向	-2.822%	797	48.96%	-1.382%
Zero	0.000%	20	1.23%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.76%
20	1 Month	4.49%
60	1 Quarter	5.13%
250	1 Year	4.20%
750	3 Years	4.33%
1,250	5 Years	5.24%
2,500	10 Years	5.62%
5,000	20 Years	5.62%
12,500	50 Years	5.62%

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 1.60. Further, an Excess 峰度 of 4.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.14%	0	0.00%	0.00%
-4.14% to -1.73%	0	0.00%	0.00%
-1.73% to 0.68%	32	1.96%	1.96%
0.68% to 3.09%	309	18.97%	20.93%
3.09% to 5.50%	659	40.45%	61.39%
5.50% to 7.91%	338	20.75%	82.14%
7.91% to 10.32%	167	10.25%	92.39%
10.32% to 12.74%	59	3.62%	96.01%
12.74% to 15.15%	38	2.33%	98.34%
Greater than 15.15%	27	1.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.29%	8.72%	78.64%	68.27%
±2σ	-0.93%	11.93%	95.15%	95.45%
±3σ	-4.14%	15.15%	98.34%	99.73%

Descriptive Statistics

均值	5.502%
Standard Error	0.080%
中位数	4.735%
Mode	0.102%
Standard Deviation	3.215%
Sample Variance	10.339%
峰度	4.06
偏度	1.60
Range	26.049%
Minimum	0.030%
Maximum	26.079%
Count	1629

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.502%	1629	100.00%	5.502%
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 2.02 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.67%	10	0.61%	0.61%
-10.67% to -7.97%	19	1.17%	1.78%
-7.97% to -5.27%	63	3.87%	5.65%
-5.27% to -2.57%	209	12.83%	18.48%
-2.57% to 0.13%	528	32.41%	50.89%
0.13% to 2.83%	495	30.39%	81.28%
2.83% to 5.53%	217	13.32%	94.60%
5.53% to 8.23%	53	3.25%	97.85%
8.23% to 10.93%	23	1.41%	99.26%
Greater than 10.93%	12	0.74%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.47%	3.73%	74.22%	68.27%
±2σ	-7.07%	7.33%	94.41%	95.45%
±3σ	-10.67%	10.93%	98.65%	99.73%

Descriptive Statistics

均值	0.130%
Standard Error	0.089%
中位数	0.062%
Mode	0.000%
Standard Deviation	3.601%
Sample Variance	12.965%
峰度	2.02
偏度	0.11
Range	33.140%
Minimum	-15.987%
Maximum	17.153%
Count	1629

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.732%	827	50.77%	1.387%
负向	-2.585%	792	48.62%	-1.257%
Zero	0.000%	10	0.61%	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 0.57. Further, an Excess 峰度 of 2.71 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.00%	1	0.29%	0.29%
-29.00% to -21.57%	5	1.45%	1.74%
-21.57% to -14.13%	12	3.49%	5.23%
-14.13% to -6.70%	42	12.21%	17.44%
-6.70% to 0.73%	125	36.34%	53.78%
0.73% to 8.16%	99	28.78%	82.56%
8.16% to 15.59%	39	11.34%	93.90%
15.59% to 23.02%	11	3.20%	97.09%
23.02% to 30.46%	6	1.74%	98.84%
Greater than 30.46%	4	1.16%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.18%	10.64%	77.62%	68.27%
±2σ	-19.09%	20.55%	93.90%	95.45%
±3σ	-29.00%	30.46%	98.55%	99.73%

Descriptive Statistics

均值	0.730%
Standard Error	0.534%
中位数	0.150%
Mode	-7.251%
Standard Deviation	9.909%
Sample Variance	98.179%
峰度	2.71
偏度	0.57
Range	80.749%
Minimum	-30.629%
Maximum	50.120%
Count	344

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.694%	176	51.16%	3.936%
负向	-6.645%	166	48.26%	-3.207%
Zero	0.000%	2	0.58%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.79%
12	1 Quarter	11.91%
52	1 Year	9.58%
156	3 Years	10.07%
260	5 Years	12.45%
520	10 Years	13.14%
1,040	20 Years	13.14%
2,600	50 Years	13.14%

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 5.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.11%	0	0.00%	0.00%
-14.11% to -7.04%	0	0.00%	0.00%
-7.04% to 0.02%	0	0.00%	0.00%
0.02% to 7.08%	59	17.10%	17.10%
7.08% to 14.15%	157	45.51%	62.61%
14.15% to 21.21%	73	21.16%	83.77%
21.21% to 28.27%	25	7.25%	91.01%
28.27% to 35.34%	20	5.80%	96.81%
35.34% to 42.40%	6	1.74%	98.55%
Greater than 42.40%	5	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.73%	23.56%	79.42%	68.27%
±2σ	-4.69%	32.98%	94.20%	95.45%
±3σ	-14.11%	42.40%	98.55%	99.73%

Descriptive Statistics

均值	14.146%
Standard Error	0.507%
中位数	11.441%
Mode	0.102%
Standard Deviation	9.418%
Sample Variance	88.693%
峰度	5.39
偏度	1.84
Range	69.618%
Minimum	0.099%
Maximum	69.717%
Count	345

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.146%	345	100.00%	14.146%
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 0.73. Further, an Excess 峰度 of 3.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.23%	2	0.58%	0.58%
-29.23% to -21.83%	4	1.16%	1.74%
-21.83% to -14.43%	10	2.90%	4.64%
-14.43% to -7.03%	45	13.04%	17.68%
-7.03% to 0.37%	127	36.81%	54.49%
0.37% to 7.77%	103	29.86%	84.35%
7.77% to 15.18%	32	9.28%	93.62%
15.18% to 22.57%	12	3.48%	97.10%
22.57% to 29.98%	5	1.45%	98.55%
Greater than 29.98%	5	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.49%	10.24%	80.00%	68.27%
±2σ	-19.36%	20.11%	94.49%	95.45%
±3σ	-29.23%	29.98%	97.97%	99.73%

Descriptive Statistics

均值	0.374%
Standard Error	0.531%
中位数	-0.102%
Mode	0.000%
Standard Deviation	9.867%
Sample Variance	97.362%
峰度	3.28
偏度	0.73
Range	79.867%
Minimum	-30.206%
Maximum	49.661%
Count	345

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.644%	165	47.83%	3.656%
负向	-6.433%	176	51.01%	-3.282%
Zero	0.000%	4	1.16%	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 1.63. Further, an Excess 峰度 of 5.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -63.18%	0	0.00%	0.00%
-63.18% to -46.60%	0	0.00%	0.00%
-46.60% to -30.02%	1	1.25%	1.25%
-30.02% to -13.44%	16	20.00%	21.25%
-13.44% to 3.13%	25	31.25%	52.50%
3.13% to 19.71%	28	35.00%	87.50%
19.71% to 36.29%	5	6.25%	93.75%
36.29% to 52.87%	2	2.50%	96.25%
52.87% to 69.45%	2	2.50%	98.75%
Greater than 69.45%	1	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.97%	25.24%	77.50%	68.27%
±2σ	-41.08%	47.34%	95.00%	95.45%
±3σ	-63.18%	69.45%	98.75%	99.73%

Descriptive Statistics

均值	3.135%
Standard Error	2.471%
中位数	1.341%
Mode	-39.837%
Standard Deviation	22.105%
Sample Variance	488.647%
峰度	5.25
偏度	1.63
Range	143.845%
Minimum	-39.837%
Maximum	104.008%
Count	80

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.619%	42	52.50%	9.250%
负向	-13.221%	37	46.25%	-6.115%
Zero	0.000%	1	1.25%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	21.31%
12	1 Year	21.09%
36	3 Years	22.39%
60	5 Years	26.64%
120	10 Years	29.25%
240	20 Years	29.25%
600	50 Years	29.25%

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 1.25. Further, an Excess 峰度 of 2.27 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.20%	0	0.00%	0.00%
-28.20% to -12.59%	0	0.00%	0.00%
-12.59% to 3.01%	3	3.70%	3.70%
3.01% to 18.62%	14	17.28%	20.99%
18.62% to 34.23%	30	37.04%	58.02%
34.23% to 49.84%	22	27.16%	85.19%
49.84% to 65.44%	6	7.41%	92.59%
65.44% to 81.05%	2	2.47%	95.06%
81.05% to 96.66%	2	2.47%	97.53%
Greater than 96.66%	2	2.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.42%	55.04%	74.07%	68.27%
±2σ	-7.39%	75.85%	95.06%	95.45%
±3σ	-28.20%	96.66%	97.53%	99.73%

Descriptive Statistics

均值	34.228%
Standard Error	2.312%
中位数	31.258%
Mode	0.813%
Standard Deviation	20.809%
Sample Variance	433.025%
峰度	2.27
偏度	1.25
Range	108.919%
Minimum	0.813%
Maximum	109.732%
Count	81

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	34.228%	81	100.00%	34.228%
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 1.86 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -58.02%	0	0.00%	0.00%
-58.02% to -43.24%	1	1.23%	1.23%
-43.24% to -28.47%	3	3.70%	4.94%
-28.47% to -13.69%	10	12.35%	17.28%
-13.69% to 1.08%	30	37.04%	54.32%
1.08% to 15.85%	19	23.46%	77.78%
15.85% to 30.63%	13	16.05%	93.83%
30.63% to 45.40%	4	4.94%	98.77%
45.40% to 60.18%	0	0.00%	98.77%
Greater than 60.18%	1	1.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.62%	20.78%	71.60%	68.27%
±2σ	-38.32%	40.48%	95.06%	95.45%
±3σ	-58.02%	60.18%	98.77%	99.73%

Descriptive Statistics

均值	1.080%
Standard Error	2.189%
中位数	-0.812%
Mode	-51.159%
Standard Deviation	19.699%
Sample Variance	388.059%
峰度	1.86
偏度	0.51
Range	125.679%
Minimum	-51.159%
Maximum	74.520%
Count	81

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.782%	38	46.91%	7.873%
负向	-13.100%	42	51.85%	-6.793%
Zero	0.000%	1	1.24%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.20. Further, an Excess 峰度 of -0.56 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -84.94%	0	0.00%	0.00%
-84.94% to -61.77%	0	0.00%	0.00%
-61.77% to -38.61%	1	3.85%	3.85%
-38.61% to -15.45%	4	15.38%	19.23%
-15.45% to 7.71%	11	42.31%	61.54%
7.71% to 30.87%	2	7.69%	69.23%
30.87% to 54.03%	7	26.92%	96.15%
54.03% to 77.20%	1	3.85%	100.00%
77.20% to 100.36%	0	0.00%	100.00%
Greater than 100.36%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.17%	38.59%	65.38%	68.27%
±2σ	-54.05%	69.48%	96.15%	95.45%
±3σ	-84.94%	100.36%	100.00%	99.73%

Descriptive Statistics

均值	7.711%
Standard Error	6.056%
中位数	2.539%
Mode	-52.586%
Standard Deviation	30.882%
Sample Variance	953.682%
峰度	-0.56
偏度	0.20
Range	124.092%
Minimum	-52.586%
Maximum	71.506%
Count	26

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.125%	14	53.85%	16.221%
负向	-18.438%	12	46.15%	-8.510%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	36.68%
12	3 Years	38.21%
20	5 Years	42.57%
40	10 Years	51.06%
80	20 Years	51.06%
200	50 Years	51.06%

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 1.61. Further, an Excess 峰度 of 3.24 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -49.60%	0	0.00%	0.00%
-49.60% to -21.63%	0	0.00%	0.00%
-21.63% to 6.33%	1	3.70%	3.70%
6.33% to 34.30%	2	7.41%	11.11%
34.30% to 62.27%	14	51.85%	62.96%
62.27% to 90.23%	5	18.52%	81.48%
90.23% to 118.20%	3	11.11%	92.59%
118.20% to 146.16%	1	3.70%	96.30%
146.16% to 174.13%	0	0.00%	96.30%
Greater than 174.13%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	24.98%	99.55%	81.48%	68.27%
±2σ	-12.31%	136.84%	96.30%	95.45%
±3σ	-49.60%	174.13%	96.30%	99.73%

Descriptive Statistics

均值	62.266%
Standard Error	7.176%
中位数	51.892%
Mode	3.889%
Standard Deviation	37.288%
Sample Variance	1390.414%
峰度	3.24
偏度	1.61
Range	178.248%
Minimum	3.889%
Maximum	182.137%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	62.266%	27	100.00%	62.266%
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 1.58. Further, an Excess 峰度 of 3.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -98.03%	0	0.00%	0.00%
-98.03% to -73.13%	0	0.00%	0.00%
-73.13% to -48.23%	0	0.00%	0.00%
-48.23% to -23.34%	8	29.63%	29.63%
-23.34% to 1.56%	7	25.93%	55.56%
1.56% to 26.46%	9	33.33%	88.89%
26.46% to 51.35%	1	3.70%	92.59%
51.35% to 76.25%	1	3.70%	96.30%
76.25% to 101.15%	0	0.00%	96.30%
Greater than 101.15%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.63%	34.76%	81.48%	68.27%
±2σ	-64.83%	67.95%	96.30%	95.45%
±3σ	-98.03%	101.15%	96.30%	99.73%

Descriptive Statistics

均值	1.561%
Standard Error	6.389%
中位数	-3.075%
Mode	-41.903%
Standard Deviation	33.196%
Sample Variance	1101.978%
峰度	3.79
偏度	1.58
Range	154.443%
Minimum	-41.903%
Maximum	112.540%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	28.078%	12	44.44%	12.479%
负向	-19.652%	15	55.56%	-10.918%
Zero	0.000%	0	0.00%	0.000%

DKNG 深度分析报告