DLTR 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	2.61%	2.25%	2.25%	3.03%	3.21%	3.27%	100.47	107.13	97.30	110.62
周度	5.64%	5.57%	5.66%	7.09%	7.06%	7.21%	96.68	111.34	90.08	119.49
月度	10.57%	12.98%	11.04%	15.98%	14.70%	15.00%	89.57	120.18	77.32	139.21
季度	17.24%	21.02%	17.02%	29.95%	25.46%	25.98%	80.43	133.83	62.35	172.64
Annual	—	—	—	—	50.92%	51.97%	62.35	172.64	37.47	287.27
Option Time Horizon	—	—	—	—	19.40%	19.80%	85.45	125.97	70.38	152.94

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $103.75 | Strike (K): $105.00 (first OTM call ≥ spot) | Observed Mid-价格: $7.7000 (Bid $7.4500 / Ask $7.9500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 50.92% (CRR binomial tree, American, n=20 steps) | BS IV: 50.89% (European Black-Scholes) | Yahoo IV (Annual): 51.97% → 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 Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.51. Further, an Excess 峰度 of 17.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.74%	57	0.73%	0.73%
-7.74% to -5.78%	67	0.86%	1.58%
-5.78% to -3.82%	220	2.81%	4.39%
-3.82% to -1.86%	802	10.24%	14.63%
-1.86% to 0.09%	2914	37.21%	51.84%
0.09% to 2.05%	2620	33.45%	85.29%
2.05% to 4.00%	749	9.56%	94.85%
4.00% to 5.96%	232	2.96%	97.82%
5.96% to 7.92%	90	1.15%	98.97%
Greater than 7.92%	81	1.03%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.52%	2.70%	80.49%	68.27%
±2σ	-5.13%	5.31%	94.92%	95.45%
±3σ	-7.74%	7.92%	98.24%	99.73%

Descriptive Statistics

均值	0.092%
Standard Error	0.029%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.609%
Sample Variance	6.806%
峰度	17.72
偏度	-0.51
Range	65.679%
Minimum	-43.814%
Maximum	21.865%
Count	7832

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.806%	3909	49.91%	0.901%
负向	-1.672%	3791	48.40%	-0.809%
Zero	0.000%	132	1.69%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.83%
20	1 Month	3.75%
60	1 Quarter	3.76%
250	1 Year	3.30%
750	3 Years	3.18%
1,250	5 Years	3.03%
2,500	10 Years	2.78%
5,000	20 Years	2.73%
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 2.81. Further, an Excess 峰度 of 14.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.55%	0	0.00%	0.00%
-3.55% to -1.86%	0	0.00%	0.00%
-1.86% to -0.17%	0	0.00%	0.00%
-0.17% to 1.52%	1189	15.18%	15.18%
1.52% to 3.20%	3926	50.12%	65.30%
3.20% to 4.89%	1530	19.53%	84.83%
4.89% to 6.58%	616	7.86%	92.70%
6.58% to 8.27%	270	3.45%	96.14%
8.27% to 9.95%	153	1.95%	98.10%
Greater than 9.95%	149	1.90%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.95%	5.45%	86.28%	68.27%
±2σ	-1.30%	7.70%	95.03%	95.45%
±3σ	-3.55%	9.95%	98.10%	99.73%

Descriptive Statistics

均值	3.204%
Standard Error	0.025%
中位数	2.552%
Mode	4.167%
Standard Deviation	2.250%
Sample Variance	5.061%
峰度	14.70
偏度	2.81
Range	29.241%
Minimum	0.420%
Maximum	29.661%
Count	7833

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.204%	7833	100.00%	3.204%
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 -0.06. Further, an Excess 峰度 of 4.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.75%	80	1.02%	1.02%
-6.75% to -5.07%	89	1.14%	2.16%
-5.07% to -3.38%	263	3.36%	5.52%
-3.38% to -1.69%	846	10.80%	16.32%
-1.69% to -0.01%	2576	32.89%	49.20%
-0.01% to 1.68%	2706	34.55%	83.75%
1.68% to 3.36%	842	10.75%	94.50%
3.36% to 5.05%	270	3.45%	97.94%
5.05% to 6.74%	94	1.20%	99.14%
Greater than 6.74%	67	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.26%	2.24%	78.00%	68.27%
±2σ	-4.50%	4.49%	94.40%	95.45%
±3σ	-6.75%	6.74%	98.12%	99.73%

Descriptive Statistics

均值	-0.008%
Standard Error	0.025%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.248%
Sample Variance	5.055%
峰度	4.09
偏度	-0.06
Range	28.888%
Minimum	-14.366%
Maximum	14.522%
Count	7833

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.588%	3841	49.04%	0.779%
负向	-1.599%	3854	49.20%	-0.787%
Zero	0.000%	138	1.76%	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 3.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.49%	13	0.80%	0.80%
-16.49% to -12.26%	20	1.23%	2.03%
-12.26% to -8.03%	65	4.00%	6.03%
-8.03% to -3.79%	162	9.98%	16.01%
-3.79% to 0.44%	577	35.53%	51.54%
0.44% to 4.67%	519	31.96%	83.50%
4.67% to 8.90%	167	10.28%	93.78%
8.90% to 13.13%	63	3.88%	97.66%
13.13% to 17.36%	24	1.48%	99.14%
Greater than 17.36%	14	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.20%	6.08%	77.83%	68.27%
±2σ	-10.85%	11.72%	93.35%	95.45%
±3σ	-16.49%	17.36%	98.34%	99.73%

Descriptive Statistics

均值	0.438%
Standard Error	0.140%
中位数	0.280%
Mode	0.000%
Standard Deviation	5.642%
Sample Variance	31.827%
峰度	3.57
偏度	-0.11
Range	62.730%
Minimum	-35.797%
Maximum	26.933%
Count	1624

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.120%	860	52.96%	2.182%
负向	-3.735%	758	46.67%	-1.743%
Zero	0.000%	6	0.37%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.72%
12	1 Quarter	8.81%
52	1 Year	7.46%
156	3 Years	7.36%
260	5 Years	7.09%
520	10 Years	6.48%
1,040	20 Years	6.27%
2,600	50 Years	7.69%

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 2.37. Further, an Excess 峰度 of 9.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.70%	0	0.00%	0.00%
-8.70% to -4.52%	0	0.00%	0.00%
-4.52% to -0.34%	0	0.00%	0.00%
-0.34% to 3.84%	310	19.08%	19.08%
3.84% to 8.02%	726	44.68%	63.75%
8.02% to 12.20%	325	20.00%	83.75%
12.20% to 16.38%	130	8.00%	91.75%
16.38% to 20.55%	77	4.74%	96.49%
20.55% to 24.73%	29	1.78%	98.28%
Greater than 24.73%	28	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.44%	13.59%	84.62%	68.27%
±2σ	-3.13%	19.16%	95.32%	95.45%
±3σ	-8.70%	24.73%	98.28%	99.73%

Descriptive Statistics

均值	8.016%
Standard Error	0.138%
中位数	6.297%
Mode	3.231%
Standard Deviation	5.573%
Sample Variance	31.061%
峰度	9.48
偏度	2.37
Range	56.127%
Minimum	1.537%
Maximum	57.664%
Count	1625

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.016%	1625	100.00%	8.016%
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 1.10. Further, an Excess 峰度 of 8.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.09%	6	0.37%	0.37%
-17.09% to -12.84%	20	1.23%	1.60%
-12.84% to -8.59%	62	3.82%	5.42%
-8.59% to -4.34%	177	10.89%	16.31%
-4.34% to -0.10%	591	36.37%	52.68%
-0.10% to 4.15%	527	32.43%	85.11%
4.15% to 8.40%	148	9.11%	94.22%
8.40% to 12.65%	53	3.26%	97.48%
12.65% to 16.89%	23	1.42%	98.89%
Greater than 16.89%	18	1.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.76%	5.57%	78.52%	68.27%
±2σ	-11.42%	11.23%	93.97%	95.45%
±3σ	-17.09%	16.89%	98.52%	99.73%

Descriptive Statistics

均值	-0.096%
Standard Error	0.140%
中位数	-0.324%
Mode	0.000%
Standard Deviation	5.663%
Sample Variance	32.074%
峰度	8.49
偏度	1.10
Range	77.699%
Minimum	-22.303%
Maximum	55.396%
Count	1625

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.090%	748	46.03%	1.883%
负向	-3.700%	869	53.48%	-1.979%
Zero	0.000%	8	0.49%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.07. Further, an Excess 峰度 of 1.24 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.98%	3	0.80%	0.80%
-29.98% to -22.05%	3	0.80%	1.61%
-22.05% to -14.12%	16	4.29%	5.90%
-14.12% to -6.20%	47	12.60%	18.50%
-6.20% to 1.73%	110	29.49%	47.99%
1.73% to 9.66%	122	32.71%	80.70%
9.66% to 17.59%	49	13.14%	93.83%
17.59% to 25.52%	18	4.83%	98.66%
25.52% to 33.45%	3	0.80%	99.46%
Greater than 33.45%	2	0.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.84%	12.30%	72.39%	68.27%
±2σ	-19.41%	22.88%	93.83%	95.45%
±3σ	-29.98%	33.45%	98.66%	99.73%

Descriptive Statistics

均值	1.733%
Standard Error	0.547%
中位数	2.056%
Mode	0.000%
Standard Deviation	10.572%
Sample Variance	111.767%
峰度	1.24
偏度	-0.07
Range	78.512%
Minimum	-36.088%
Maximum	42.424%
Count	373

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.509%	216	57.91%	4.927%
负向	-7.738%	154	41.29%	-3.195%
Zero	0.000%	3	0.80%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	16.74%
12	1 Year	17.15%
36	3 Years	16.60%
60	5 Years	15.98%
120	10 Years	14.66%
240	20 Years	13.69%
600	50 Years	16.69%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.09%	0	0.00%	0.00%
-20.09% to -10.35%	0	0.00%	0.00%
-10.35% to -0.61%	0	0.00%	0.00%
-0.61% to 9.13%	60	16.04%	16.04%
9.13% to 18.87%	177	47.33%	63.37%
18.87% to 28.61%	83	22.19%	85.56%
28.61% to 38.35%	29	7.75%	93.32%
38.35% to 48.09%	12	3.21%	96.52%
48.09% to 57.83%	9	2.41%	98.93%
Greater than 57.83%	4	1.07%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.89%	31.86%	86.90%	68.27%
±2σ	-7.10%	44.84%	95.99%	95.45%
±3σ	-20.08%	57.83%	98.93%	99.73%

Descriptive Statistics

均值	18.870%
Standard Error	0.671%
中位数	15.376%
Mode	14.925%
Standard Deviation	12.985%
Sample Variance	168.617%
峰度	19.75
偏度	3.21
Range	131.940%
Minimum	3.511%
Maximum	135.451%
Count	374

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.870%	374	100.00%	18.870%
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 1.17. Further, an Excess 峰度 of 3.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.67%	0	0.00%	0.00%
-33.67% to -25.39%	1	0.27%	0.27%
-25.39% to -17.11%	15	4.01%	4.28%
-17.11% to -8.82%	57	15.24%	19.52%
-8.82% to -0.54%	135	36.10%	55.61%
-0.54% to 7.75%	103	27.54%	83.16%
7.75% to 16.03%	39	10.43%	93.58%
16.03% to 24.31%	12	3.21%	96.79%
24.31% to 32.60%	8	2.14%	98.93%
Greater than 32.60%	4	1.07%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.58%	10.51%	75.13%	68.27%
±2σ	-22.63%	21.55%	95.19%	95.45%
±3σ	-33.67%	32.60%	98.93%	99.73%

Descriptive Statistics

均值	-0.539%
Standard Error	0.571%
中位数	-1.756%
Mode	-12.500%
Standard Deviation	11.045%
Sample Variance	121.995%
峰度	3.70
偏度	1.17
Range	84.404%
Minimum	-28.369%
Maximum	56.035%
Count	374

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.142%	155	41.44%	3.789%
负向	-7.459%	217	58.02%	-4.328%
Zero	0.000%	2	0.54%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.24. Further, an Excess 峰度 of 0.18 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -46.81%	0	0.00%	0.00%
-46.81% to -33.88%	1	0.81%	0.81%
-33.88% to -20.95%	6	4.84%	5.65%
-20.95% to -8.03%	25	20.16%	25.81%
-8.03% to 4.90%	31	25.00%	50.81%
4.90% to 17.83%	36	29.03%	79.84%
17.83% to 30.76%	18	14.52%	94.35%
30.76% to 43.69%	4	3.23%	97.58%
43.69% to 56.62%	2	1.61%	99.19%
Greater than 56.62%	1	0.81%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.34%	22.14%	66.13%	68.27%
±2σ	-29.57%	39.38%	95.16%	95.45%
±3σ	-46.81%	56.62%	99.19%	99.73%

Descriptive Statistics

均值	4.902%
Standard Error	1.548%
中位数	4.428%
Mode	-38.049%
Standard Deviation	17.238%
Sample Variance	297.136%
峰度	0.18
偏度	0.24
Range	96.593%
Minimum	-38.049%
Maximum	58.544%
Count	124

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.405%	77	62.10%	9.566%
负向	-12.305%	47	37.90%	-4.664%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	38.31%
12	3 Years	32.30%
20	5 Years	29.95%
40	10 Years	27.42%
80	20 Years	24.98%
200	50 Years	29.73%

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 1.88. Further, an Excess 峰度 of 4.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.87%	0	0.00%	0.00%
-26.87% to -11.10%	0	0.00%	0.00%
-11.10% to 4.67%	0	0.00%	0.00%
4.67% to 20.43%	27	21.60%	21.60%
20.43% to 36.20%	49	39.20%	60.80%
36.20% to 51.96%	28	22.40%	83.20%
51.96% to 67.73%	11	8.80%	92.00%
67.73% to 83.49%	4	3.20%	95.20%
83.49% to 99.26%	4	3.20%	98.40%
Greater than 99.26%	2	1.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	15.18%	57.22%	81.60%	68.27%
±2σ	-5.84%	78.24%	95.20%	95.45%
±3σ	-26.87%	99.26%	98.40%	99.73%

Descriptive Statistics

均值	36.197%
Standard Error	1.880%
中位数	31.359%
Mode	10.965%
Standard Deviation	21.021%
Sample Variance	441.894%
峰度	4.75
偏度	1.88
Range	124.486%
Minimum	10.965%
Maximum	135.451%
Count	125

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	36.197%	125	100.00%	36.197%
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 0.76. Further, an Excess 峰度 of 1.00 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -53.10%	0	0.00%	0.00%
-53.10% to -40.34%	0	0.00%	0.00%
-40.34% to -27.57%	5	4.00%	4.00%
-27.57% to -14.81%	24	19.20%	23.20%
-14.81% to -2.05%	39	31.20%	54.40%
-2.05% to 10.72%	28	22.40%	76.80%
10.72% to 23.48%	21	16.80%	93.60%
23.48% to 36.24%	5	4.00%	97.60%
36.24% to 49.00%	2	1.60%	99.20%
Greater than 49.00%	1	0.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.06%	14.97%	67.20%	68.27%
±2σ	-36.08%	31.99%	96.00%	95.45%
±3σ	-53.10%	49.00%	99.20%	99.73%

Descriptive Statistics

均值	-2.047%
Standard Error	1.522%
中位数	-3.910%
Mode	-37.525%
Standard Deviation	17.017%
Sample Variance	289.593%
峰度	1.00
偏度	0.76
Range	98.787%
Minimum	-37.525%
Maximum	61.262%
Count	125

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.476%	47	37.60%	5.819%
负向	-12.606%	78	62.40%	-7.866%
Zero	0.000%	0	0.00%	0.000%

DLTR 深度分析报告