FSLY 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	5.54%	3.67%	4.31%	6.41%	7.22%	7.29%	22.10	25.54	20.56	27.45
周度	13.73%	12.85%	12.88%	15.40%	15.90%	16.04%	20.27	27.85	17.29	32.66
月度	27.23%	28.65%	23.05%	33.98%	33.10%	33.39%	17.06	33.08	12.26	46.06
季度	79.56%	82.10%	43.55%	66.45%	57.33%	57.84%	13.39	42.15	7.55	74.79
Annual	—	—	—	—	114.66%	115.67%	7.55	74.79	2.40	235.39
Option Time Horizon	—	—	—	—	43.69%	44.08%	15.35	36.78	9.92	56.93

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $23.76 | Strike (K): $25.00 (first OTM call ≥ spot) | Observed Mid-价格: $3.7000 (Bid $3.6000 / Ask $3.8000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 114.66% (CRR binomial tree, American, n=20 steps) | BS IV: 115.39% (European Black-Scholes) | Yahoo IV (Annual): 115.67% → 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 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.50. Further, an Excess 峰度 of 23.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.48%	11	0.63%	0.63%
-16.48% to -12.32%	13	0.75%	1.38%
-12.32% to -8.17%	37	2.12%	3.50%
-8.17% to -4.01%	210	12.05%	15.55%
-4.01% to 0.15%	628	36.03%	51.58%
0.15% to 4.31%	573	32.87%	84.45%
4.31% to 8.46%	197	11.30%	95.75%
8.46% to 12.62%	43	2.47%	98.22%
12.62% to 16.78%	19	1.09%	99.31%
Greater than 16.78%	12	0.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.39%	5.69%	80.32%	68.27%
±2σ	-10.94%	11.24%	96.33%	95.45%
±3σ	-16.48%	16.78%	98.68%	99.73%

Descriptive Statistics

均值	0.149%
Standard Error	0.133%
中位数	0.000%
Mode	0.000%
Standard Deviation	5.544%
Sample Variance	30.731%
峰度	23.31
偏度	1.50
Range	105.921%
Minimum	-33.633%
Maximum	72.288%
Count	1743

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.870%	861	49.40%	1.912%
负向	-3.535%	869	49.86%	-1.762%
Zero	0.000%	13	0.75%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	8.11%
20	1 Month	11.27%
60	1 Quarter	10.92%
250	1 Year	6.43%
750	3 Years	5.92%
1,250	5 Years	6.41%
2,500	10 Years	6.86%
5,000	20 Years	6.86%
12,500	50 Years	6.86%

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 2.34. Further, an Excess 峰度 of 9.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.46%	0	0.00%	0.00%
-4.46% to -1.70%	0	0.00%	0.00%
-1.70% to 1.06%	0	0.00%	0.00%
1.06% to 3.81%	343	19.67%	19.67%
3.81% to 6.57%	734	42.09%	61.75%
6.57% to 9.32%	378	21.67%	83.43%
9.32% to 12.08%	171	9.81%	93.23%
12.08% to 14.84%	61	3.50%	96.73%
14.84% to 17.59%	27	1.55%	98.28%
Greater than 17.59%	30	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.89%	10.24%	81.02%	68.27%
±2σ	-0.78%	13.92%	95.64%	95.45%
±3σ	-4.46%	17.59%	98.28%	99.73%

Descriptive Statistics

均值	6.569%
Standard Error	0.088%
中位数	5.742%
Mode	2.632%
Standard Deviation	3.675%
Sample Variance	13.509%
峰度	9.47
偏度	2.34
Range	31.871%
Minimum	1.681%
Maximum	33.552%
Count	1744

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.569%	1744	100.00%	6.569%
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 0.15. Further, an Excess 峰度 of 2.49 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.94%	7	0.40%	0.40%
-12.94% to -9.70%	30	1.72%	2.12%
-9.70% to -6.47%	75	4.30%	6.42%
-6.47% to -3.24%	210	12.04%	18.46%
-3.24% to -0.01%	544	31.19%	49.66%
-0.01% to 3.22%	542	31.08%	80.73%
3.22% to 6.45%	232	13.30%	94.04%
6.45% to 9.69%	74	4.24%	98.28%
9.69% to 12.92%	22	1.26%	99.54%
Greater than 12.92%	8	0.46%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.32%	4.30%	74.54%	68.27%
±2σ	-8.63%	8.61%	94.38%	95.45%
±3σ	-12.94%	12.92%	99.14%	99.73%

Descriptive Statistics

均值	-0.009%
Standard Error	0.103%
中位数	0.000%
Mode	0.000%
Standard Deviation	4.309%
Sample Variance	18.567%
峰度	2.49
偏度	0.15
Range	46.024%
Minimum	-15.898%
Maximum	30.126%
Count	1744

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.234%	858	49.20%	1.591%
负向	-3.222%	866	49.66%	-1.600%
Zero	0.000%	20	1.15%	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 1.99. Further, an Excess 峰度 of 13.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.36%	0	0.00%	0.00%
-40.36% to -30.06%	6	1.66%	1.66%
-30.06% to -19.76%	5	1.38%	3.04%
-19.76% to -9.46%	45	12.43%	15.47%
-9.46% to 0.84%	140	38.67%	54.14%
0.84% to 11.14%	119	32.87%	87.02%
11.14% to 21.44%	29	8.01%	95.03%
21.44% to 31.74%	9	2.49%	97.51%
31.74% to 42.04%	4	1.10%	98.62%
Greater than 42.04%	5	1.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.89%	14.58%	82.87%	68.27%
±2σ	-26.62%	28.31%	95.03%	95.45%
±3σ	-40.36%	42.04%	98.62%	99.73%

Descriptive Statistics

均值	0.843%
Standard Error	0.722%
中位数	0.394%
Mode	-3.319%
Standard Deviation	13.733%
Sample Variance	188.607%
峰度	13.03
偏度	1.99
Range	146.179%
Minimum	-36.775%
Maximum	109.404%
Count	362

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.477%	187	51.66%	4.896%
负向	-8.480%	173	47.79%	-4.053%
Zero	0.000%	2	0.55%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	27.95%
12	1 Quarter	31.91%
52	1 Year	17.13%
156	3 Years	14.87%
260	5 Years	15.40%
520	10 Years	16.62%
1,040	20 Years	16.62%
2,600	50 Years	16.62%

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 2.94. Further, an Excess 峰度 of 13.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.19%	0	0.00%	0.00%
-20.19% to -10.55%	0	0.00%	0.00%
-10.55% to -0.91%	0	0.00%	0.00%
-0.91% to 8.73%	51	14.05%	14.05%
8.73% to 18.37%	189	52.07%	66.12%
18.37% to 28.01%	76	20.94%	87.05%
28.01% to 37.65%	22	6.06%	93.11%
37.65% to 47.29%	11	3.03%	96.14%
47.29% to 56.93%	6	1.65%	97.80%
Greater than 56.93%	8	2.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.51%	31.22%	86.78%	68.27%
±2σ	-7.34%	44.07%	95.87%	95.45%
±3σ	-20.19%	56.93%	97.80%	99.73%

Descriptive Statistics

均值	18.368%
Standard Error	0.675%
中位数	14.677%
Mode	12.042%
Standard Deviation	12.853%
Sample Variance	165.209%
峰度	13.61
偏度	2.94
Range	113.788%
Minimum	4.705%
Maximum	118.493%
Count	363

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.368%	363	100.00%	18.368%
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 0.78. Further, an Excess 峰度 of 4.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -37.85%	1	0.28%	0.28%
-37.85% to -28.19%	6	1.65%	1.93%
-28.19% to -18.53%	8	2.20%	4.13%
-18.53% to -8.88%	41	11.29%	15.43%
-8.88% to 0.78%	143	39.39%	54.82%
0.78% to 10.44%	105	28.93%	83.75%
10.44% to 20.09%	42	11.57%	95.32%
20.09% to 29.75%	7	1.93%	97.25%
29.75% to 39.41%	2	0.55%	97.80%
Greater than 39.41%	8	2.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.09%	13.66%	79.61%	68.27%
±2σ	-24.97%	26.53%	94.77%	95.45%
±3σ	-37.85%	39.41%	97.52%	99.73%

Descriptive Statistics

均值	0.781%
Standard Error	0.676%
中位数	-0.106%
Mode	-0.995%
Standard Deviation	12.876%
Sample Variance	165.791%
峰度	4.42
偏度	0.78
Range	113.919%
Minimum	-51.835%
Maximum	62.084%
Count	363

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.804%	178	49.04%	4.807%
负向	-7.987%	183	50.41%	-4.026%
Zero	0.000%	2	0.55%	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 1.69. Further, an Excess 峰度 of 4.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -78.53%	0	0.00%	0.00%
-78.53% to -58.11%	0	0.00%	0.00%
-58.11% to -37.68%	1	1.20%	1.20%
-37.68% to -17.26%	16	19.28%	20.48%
-17.26% to 3.17%	34	40.96%	61.45%
3.17% to 23.59%	16	19.28%	80.72%
23.59% to 44.02%	11	13.25%	93.98%
44.02% to 64.44%	2	2.41%	96.39%
64.44% to 84.87%	0	0.00%	96.39%
Greater than 84.87%	3	3.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.07%	30.40%	80.72%	68.27%
±2σ	-51.30%	57.63%	96.39%	95.45%
±3σ	-78.53%	84.87%	96.39%	99.73%

Descriptive Statistics

均值	3.168%
Standard Error	2.989%
中位数	-3.041%
Mode	-38.024%
Standard Deviation	27.233%
Sample Variance	741.612%
峰度	4.30
偏度	1.69
Range	144.727%
Minimum	-38.024%
Maximum	106.703%
Count	83

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	26.346%	35	42.17%	11.110%
负向	-13.733%	48	57.83%	-7.942%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	82.61%
12	1 Year	41.32%
36	3 Years	33.54%
60	5 Years	33.98%
120	10 Years	37.46%
240	20 Years	37.46%
600	50 Years	37.46%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.65%	0	0.00%	0.00%
-39.65% to -18.16%	0	0.00%	0.00%
-18.16% to 3.33%	0	0.00%	0.00%
3.33% to 24.81%	16	19.05%	19.05%
24.81% to 46.30%	41	48.81%	67.86%
46.30% to 67.78%	13	15.48%	83.33%
67.78% to 89.27%	8	9.52%	92.86%
89.27% to 110.75%	2	2.38%	95.24%
110.75% to 132.24%	2	2.38%	97.62%
Greater than 132.24%	2	2.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.65%	74.94%	84.52%	68.27%
±2σ	-11.00%	103.59%	92.86%	95.45%
±3σ	-39.65%	132.24%	97.62%	99.73%

Descriptive Statistics

均值	46.296%
Standard Error	3.126%
中位数	38.999%
Mode	9.104%
Standard Deviation	28.647%
Sample Variance	820.648%
峰度	3.99
偏度	1.88
Range	148.456%
Minimum	9.104%
Maximum	157.560%
Count	84

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	46.296%	84	100.00%	46.296%
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 0.14. Further, an Excess 峰度 of 0.35 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -66.24%	0	0.00%	0.00%
-66.24% to -48.95%	2	2.38%	2.38%
-48.95% to -31.66%	2	2.38%	4.76%
-31.66% to -14.37%	13	15.48%	20.24%
-14.37% to 2.92%	26	30.95%	51.19%
2.92% to 20.21%	24	28.57%	79.76%
20.21% to 37.50%	11	13.10%	92.86%
37.50% to 54.79%	4	4.76%	97.62%
54.79% to 72.08%	2	2.38%	100.00%
Greater than 72.08%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.13%	25.97%	71.43%	68.27%
±2σ	-43.19%	49.02%	92.86%	95.45%
±3σ	-66.24%	72.08%	100.00%	99.73%

Descriptive Statistics

均值	2.919%
Standard Error	2.515%
中位数	2.681%
Mode	-51.935%
Standard Deviation	23.053%
Sample Variance	531.460%
峰度	0.35
偏度	0.14
Range	114.307%
Minimum	-51.935%
Maximum	62.372%
Count	84

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.178%	48	57.14%	10.387%
负向	-17.427%	36	42.86%	-7.469%
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 3.10. Further, an Excess 峰度 of 11.64 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -223.40%	0	0.00%	0.00%
-223.40% to -163.73%	0	0.00%	0.00%
-163.73% to -104.06%	0	0.00%	0.00%
-104.06% to -44.40%	2	7.41%	7.41%
-44.40% to 15.27%	15	55.56%	62.96%
15.27% to 74.94%	8	29.63%	92.59%
74.94% to 134.61%	0	0.00%	92.59%
134.61% to 194.27%	1	3.70%	96.30%
194.27% to 253.94%	0	0.00%	96.30%
Greater than 253.94%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-64.29%	94.83%	92.59%	68.27%
±2σ	-143.84%	174.38%	96.30%	95.45%
±3σ	-223.40%	253.94%	96.30%	99.73%

Descriptive Statistics

均值	15.271%
Standard Error	15.311%
中位数	-3.821%
Mode	-45.081%
Standard Deviation	79.557%
Sample Variance	6329.380%
峰度	11.64
偏度	3.10
Range	390.762%
Minimum	-45.081%
Maximum	345.681%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	62.705%	13	48.15%	30.191%
负向	-28.775%	14	51.85%	-14.920%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	109.65%
12	3 Years	74.96%
20	5 Years	66.45%
40	10 Years	79.51%
80	20 Years	79.51%
200	50 Years	79.51%

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 2.65. Further, an Excess 峰度 of 7.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -139.45%	0	0.00%	0.00%
-139.45% to -77.88%	0	0.00%	0.00%
-77.88% to -16.31%	0	0.00%	0.00%
-16.31% to 45.27%	0	0.00%	0.00%
45.27% to 106.84%	19	67.86%	67.86%
106.84% to 168.41%	7	25.00%	92.86%
168.41% to 229.98%	0	0.00%	92.86%
229.98% to 291.55%	0	0.00%	92.86%
291.55% to 353.13%	1	3.57%	96.43%
Greater than 353.13%	1	3.57%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	24.74%	188.93%	92.86%	68.27%
±2σ	-57.35%	271.03%	92.86%	95.45%
±3σ	-139.45%	353.13%	96.43%	99.73%

Descriptive Statistics

均值	106.838%
Standard Error	15.515%
中位数	84.088%
Mode	45.485%
Standard Deviation	82.096%
Sample Variance	6739.768%
峰度	7.45
偏度	2.65
Range	355.001%
Minimum	45.485%
Maximum	400.486%
Count	28

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	106.838%	28	100.00%	106.838%
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 0.08. Further, an Excess 峰度 of -0.75 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -120.81%	0	0.00%	0.00%
-120.81% to -88.15%	0	0.00%	0.00%
-88.15% to -55.49%	2	7.14%	7.14%
-55.49% to -22.82%	4	14.29%	21.43%
-22.82% to 9.84%	10	35.71%	57.14%
9.84% to 42.50%	5	17.86%	75.00%
42.50% to 75.16%	5	17.86%	92.86%
75.16% to 107.82%	2	7.14%	100.00%
107.82% to 140.48%	0	0.00%	100.00%
Greater than 140.48%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.71%	53.38%	64.29%	68.27%
±2σ	-77.26%	96.93%	96.43%	95.45%
±3σ	-120.81%	140.48%	100.00%	99.73%

Descriptive Statistics

均值	9.836%
Standard Error	8.230%
中位数	1.710%
Mode	-78.215%
Standard Deviation	43.548%
Sample Variance	1896.469%
峰度	-0.75
偏度	0.08
Range	163.184%
Minimum	-78.215%
Maximum	84.969%
Count	28

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	45.412%	14	50.00%	22.706%
负向	-25.741%	14	50.00%	-12.870%
Zero	0.000%	0	0.00%	0.000%

FSLY 深度分析报告