FTNT 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	2.60%	1.85%	2.08%	3.35%	3.26%	3.31%	81.63	87.13	79.02	90.02
周度	5.62%	5.50%	5.72%	7.98%	7.18%	7.30%	78.50	90.61	73.06	97.36
月度	10.49%	9.30%	10.44%	17.02%	14.94%	15.19%	72.64	97.93	62.56	113.71
季度	18.75%	13.78%	16.51%	28.97%	25.87%	26.31%	65.11	109.25	50.27	141.51
Annual	—	—	—	—	51.75%	52.61%	50.27	141.51	29.96	237.42
Option Time Horizon	—	—	—	—	19.72%	20.05%	69.25	102.72	56.85	125.12

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $84.34 | Strike (K): $85.00 (first OTM call ≥ spot) | Observed Mid-价格: $6.5000 (Bid $6.3500 / Ask $6.6500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 51.75% (CRR binomial tree, American, n=20 steps) | BS IV: 51.51% (European Black-Scholes) | Yahoo IV (Annual): 52.61% → 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 -0.07. Further, an Excess 峰度 of 14.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.66%	30	0.73%	0.73%
-7.66% to -5.71%	31	0.75%	1.48%
-5.71% to -3.76%	120	2.90%	4.38%
-3.76% to -1.82%	454	10.99%	15.37%
-1.82% to 0.13%	1403	33.96%	49.33%
0.13% to 2.08%	1464	35.44%	84.77%
2.08% to 4.02%	475	11.50%	96.27%
4.02% to 5.97%	95	2.30%	98.57%
5.97% to 7.91%	28	0.68%	99.25%
Greater than 7.91%	31	0.75%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.47%	2.72%	80.59%	68.27%
±2σ	-5.06%	5.32%	95.96%	95.45%
±3σ	-7.66%	7.91%	98.52%	99.73%

Descriptive Statistics

均值	0.129%
Standard Error	0.040%
中位数	0.165%
Mode	0.000%
Standard Deviation	2.595%
Sample Variance	6.734%
峰度	14.47
偏度	-0.07
Range	50.366%
Minimum	-25.066%
Maximum	25.300%
Count	4131

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.736%	2202	53.30%	0.925%
负向	-1.728%	1903	46.07%	-0.796%
Zero	0.000%	26	0.63%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.61%
20	1 Month	3.70%
60	1 Quarter	3.80%
250	1 Year	3.14%
750	3 Years	3.01%
1,250	5 Years	3.35%
2,500	10 Years	3.14%
5,000	20 Years	3.31%
12,500	50 Years	3.31%

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 2.78. Further, an Excess 峰度 of 13.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.42%	0	0.00%	0.00%
-2.42% to -1.03%	0	0.00%	0.00%
-1.03% to 0.36%	0	0.00%	0.00%
0.36% to 1.75%	694	16.80%	16.80%
1.75% to 3.13%	1901	46.01%	62.80%
3.13% to 4.52%	916	22.17%	84.97%
4.52% to 5.91%	350	8.47%	93.44%
5.91% to 7.30%	138	3.34%	96.78%
7.30% to 8.69%	55	1.33%	98.11%
Greater than 8.69%	78	1.89%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.28%	4.99%	84.75%	68.27%
±2σ	-0.57%	6.84%	96.15%	95.45%
±3σ	-2.42%	8.69%	98.11%	99.73%

Descriptive Statistics

均值	3.135%
Standard Error	0.029%
中位数	2.665%
Mode	2.068%
Standard Deviation	1.852%
Sample Variance	3.430%
峰度	13.52
偏度	2.78
Range	21.053%
Minimum	0.604%
Maximum	21.657%
Count	4132

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.135%	4132	100.00%	3.135%
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 0.31. Further, an Excess 峰度 of 4.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.27%	24	0.58%	0.58%
-6.27% to -4.71%	39	0.94%	1.52%
-4.71% to -3.15%	119	2.88%	4.40%
-3.15% to -1.59%	566	13.70%	18.10%
-1.59% to -0.03%	1413	34.20%	52.30%
-0.03% to 1.53%	1240	30.01%	82.31%
1.53% to 3.09%	486	11.76%	94.07%
3.09% to 4.65%	162	3.92%	97.99%
4.65% to 6.21%	47	1.14%	99.13%
Greater than 6.21%	36	0.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.11%	2.05%	76.45%	68.27%
±2σ	-4.19%	4.13%	95.28%	95.45%
±3σ	-6.27%	6.21%	98.55%	99.73%

Descriptive Statistics

均值	-0.029%
Standard Error	0.032%
中位数	-0.137%
Mode	0.000%
Standard Deviation	2.080%
Sample Variance	4.326%
峰度	4.61
偏度	0.31
Range	27.370%
Minimum	-12.188%
Maximum	15.182%
Count	4132

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.563%	1942	47.00%	0.735%
负向	-1.450%	2176	52.66%	-0.764%
Zero	0.000%	14	0.34%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.05. Further, an Excess 峰度 of 4.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.24%	8	0.93%	0.93%
-16.24% to -12.03%	8	0.93%	1.87%
-12.03% to -7.81%	36	4.20%	6.07%
-7.81% to -3.60%	87	10.15%	16.22%
-3.60% to 0.62%	280	32.67%	48.89%
0.62% to 4.83%	302	35.24%	84.13%
4.83% to 9.04%	96	11.20%	95.33%
9.04% to 13.26%	20	2.33%	97.67%
13.26% to 17.47%	15	1.75%	99.42%
Greater than 17.47%	5	0.58%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.00%	6.23%	78.76%	68.27%
±2σ	-10.62%	11.85%	94.28%	95.45%
±3σ	-16.24%	17.47%	98.48%	99.73%

Descriptive Statistics

均值	0.616%
Standard Error	0.192%
中位数	0.716%
Mode	-2.432%
Standard Deviation	5.618%
Sample Variance	31.559%
峰度	4.25
偏度	-0.05
Range	58.645%
Minimum	-25.759%
Maximum	32.886%
Count	857

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.888%	501	58.46%	2.273%
负向	-4.012%	354	41.31%	-1.657%
Zero	0.000%	2	0.23%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.39%
12	1 Quarter	8.41%
52	1 Year	7.05%
156	3 Years	7.16%
260	5 Years	7.98%
520	10 Years	7.51%
1,040	20 Years	7.88%
2,600	50 Years	7.88%

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 2.54. Further, an Excess 峰度 of 8.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.21%	0	0.00%	0.00%
-8.21% to -4.09%	0	0.00%	0.00%
-4.09% to 0.03%	0	0.00%	0.00%
0.03% to 4.16%	124	14.45%	14.45%
4.16% to 8.28%	450	52.45%	66.90%
8.28% to 12.40%	155	18.07%	84.97%
12.40% to 16.52%	67	7.81%	92.77%
16.52% to 20.64%	26	3.03%	95.80%
20.64% to 24.76%	15	1.75%	97.55%
Greater than 24.76%	21	2.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.78%	13.77%	86.48%	68.27%
±2σ	-2.71%	19.27%	95.34%	95.45%
±3σ	-8.21%	24.76%	97.55%	99.73%

Descriptive Statistics

均值	8.276%
Standard Error	0.188%
中位数	6.735%
Mode	3.428%
Standard Deviation	5.495%
Sample Variance	30.194%
峰度	8.62
偏度	2.54
Range	40.152%
Minimum	1.605%
Maximum	41.757%
Count	858

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.276%	858	100.00%	8.276%
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 1.20. Further, an Excess 峰度 of 5.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.35%	3	0.35%	0.35%
-17.35% to -13.06%	4	0.47%	0.82%
-13.06% to -8.78%	29	3.38%	4.20%
-8.78% to -4.49%	103	12.00%	16.20%
-4.49% to -0.20%	338	39.39%	55.59%
-0.20% to 4.08%	252	29.37%	84.97%
4.08% to 8.37%	73	8.51%	93.47%
8.37% to 12.66%	34	3.96%	97.44%
12.66% to 16.94%	7	0.82%	98.25%
Greater than 16.94%	15	1.75%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.92%	5.51%	79.14%	68.27%
±2σ	-11.64%	11.23%	94.17%	95.45%
±3σ	-17.35%	16.94%	97.90%	99.73%

Descriptive Statistics

均值	-0.204%
Standard Error	0.195%
中位数	-0.697%
Mode	0.000%
Standard Deviation	5.716%
Sample Variance	32.670%
峰度	5.95
偏度	1.20
Range	59.305%
Minimum	-24.747%
Maximum	34.558%
Count	858

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.429%	358	41.73%	1.848%
负向	-3.542%	497	57.92%	-2.052%
Zero	0.000%	3	0.35%	0.000%

收盘-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 0.99 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.92%	0	0.00%	0.00%
-28.92% to -21.05%	5	2.54%	2.54%
-21.05% to -13.19%	8	4.06%	6.60%
-13.19% to -5.32%	28	14.21%	20.81%
-5.32% to 2.54%	56	28.43%	49.24%
2.54% to 10.41%	61	30.96%	80.20%
10.41% to 18.27%	27	13.71%	93.91%
18.27% to 26.14%	7	3.55%	97.46%
26.14% to 34.00%	4	2.03%	99.49%
Greater than 34.00%	1	0.51%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.94%	13.03%	74.62%	68.27%
±2σ	-18.43%	23.51%	93.40%	95.45%
±3σ	-28.92%	34.00%	99.49%	99.73%

Descriptive Statistics

均值	2.542%
Standard Error	0.747%
中位数	2.795%
Mode	-25.540%
Standard Deviation	10.486%
Sample Variance	109.957%
峰度	0.99
偏度	0.08
Range	62.802%
Minimum	-25.540%
Maximum	37.262%
Count	197

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.580%	124	62.94%	5.401%
负向	-7.714%	73	37.06%	-2.858%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	14.89%
12	1 Year	14.03%
36	3 Years	15.55%
60	5 Years	17.02%
120	10 Years	16.34%
240	20 Years	17.10%
600	50 Years	17.10%

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 1.36. Further, an Excess 峰度 of 2.10 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.98%	0	0.00%	0.00%
-8.98% to -2.01%	0	0.00%	0.00%
-2.01% to 4.96%	0	0.00%	0.00%
4.96% to 11.94%	45	22.73%	22.73%
11.94% to 18.91%	76	38.38%	61.11%
18.91% to 25.88%	36	18.18%	79.29%
25.88% to 32.86%	25	12.63%	91.92%
32.86% to 39.83%	7	3.54%	95.45%
39.83% to 46.80%	6	3.03%	98.48%
Greater than 46.80%	3	1.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	9.61%	28.21%	74.24%	68.27%
±2σ	0.31%	37.51%	94.95%	95.45%
±3σ	-8.98%	46.80%	98.48%	99.73%

Descriptive Statistics

均值	18.910%
Standard Error	0.661%
中位数	16.816%
Mode	14.540%
Standard Deviation	9.298%
Sample Variance	86.454%
峰度	2.10
偏度	1.36
Range	50.990%
Minimum	6.389%
Maximum	57.379%
Count	198

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.910%	198	100.00%	18.910%
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 0.74. Further, an Excess 峰度 of 1.15 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.45%	0	0.00%	0.00%
-32.45% to -24.62%	1	0.51%	0.51%
-24.62% to -16.80%	6	3.03%	3.54%
-16.80% to -8.97%	36	18.18%	21.72%
-8.97% to -1.14%	72	36.36%	58.08%
-1.14% to 6.68%	44	22.22%	80.30%
6.68% to 14.51%	24	12.12%	92.42%
14.51% to 22.34%	7	3.54%	95.96%
22.34% to 30.16%	6	3.03%	98.99%
Greater than 30.16%	2	1.01%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.58%	9.29%	77.27%	68.27%
±2σ	-22.01%	19.73%	92.93%	95.45%
±3σ	-32.45%	30.16%	98.99%	99.73%

Descriptive Statistics

均值	-1.143%
Standard Error	0.742%
中位数	-2.471%
Mode	-1.479%
Standard Deviation	10.435%
Sample Variance	108.882%
峰度	1.15
偏度	0.74
Range	61.441%
Minimum	-27.927%
Maximum	33.514%
Count	198

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.031%	76	38.38%	3.466%
负向	-7.481%	122	61.62%	-4.609%
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 0.38. Further, an Excess 峰度 of 0.23 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.49%	0	0.00%	0.00%
-48.49% to -34.43%	0	0.00%	0.00%
-34.43% to -20.37%	3	4.62%	4.62%
-20.37% to -6.30%	13	20.00%	24.62%
-6.30% to 7.76%	20	30.77%	55.38%
7.76% to 21.83%	13	20.00%	75.38%
21.83% to 35.89%	13	20.00%	95.38%
35.89% to 49.95%	2	3.08%	98.46%
49.95% to 64.02%	0	0.00%	98.46%
Greater than 64.02%	1	1.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.99%	26.51%	67.69%	68.27%
±2σ	-29.74%	45.27%	98.46%	95.45%
±3σ	-48.49%	64.02%	98.46%	99.73%

Descriptive Statistics

均值	7.762%
Standard Error	2.326%
中位数	5.315%
Mode	-28.027%
Standard Deviation	18.752%
Sample Variance	351.633%
峰度	0.23
偏度	0.38
Range	94.601%
Minimum	-28.027%
Maximum	66.574%
Count	65

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.835%	41	63.08%	11.881%
负向	-11.154%	24	36.92%	-4.118%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	19.84%
12	3 Years	27.75%
20	5 Years	28.97%
40	10 Years	29.22%
80	20 Years	30.37%
200	50 Years	30.37%

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 1.11. Further, an Excess 峰度 of 2.60 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.43%	0	0.00%	0.00%
-6.43% to 3.91%	0	0.00%	0.00%
3.91% to 14.25%	0	0.00%	0.00%
14.25% to 24.58%	15	22.73%	22.73%
24.58% to 34.92%	22	33.33%	56.06%
34.92% to 45.26%	15	22.73%	78.79%
45.26% to 55.59%	11	16.67%	95.45%
55.59% to 65.93%	1	1.52%	96.97%
65.93% to 76.27%	1	1.52%	98.48%
Greater than 76.27%	1	1.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	21.14%	48.70%	71.21%	68.27%
±2σ	7.35%	62.48%	96.97%	95.45%
±3σ	-6.43%	76.27%	98.48%	99.73%

Descriptive Statistics

均值	34.919%
Standard Error	1.696%
中位数	34.224%
Mode	14.447%
Standard Deviation	13.782%
Sample Variance	189.931%
峰度	2.60
偏度	1.11
Range	73.498%
Minimum	14.447%
Maximum	87.945%
Count	66

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	34.919%	66	100.00%	34.919%
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 0.52. Further, an Excess 峰度 of 0.02 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -53.35%	0	0.00%	0.00%
-53.35% to -40.97%	0	0.00%	0.00%
-40.97% to -28.58%	1	1.52%	1.52%
-28.58% to -16.20%	17	25.76%	27.27%
-16.20% to -3.81%	19	28.79%	56.06%
-3.81% to 8.57%	15	22.73%	78.79%
8.57% to 20.95%	8	12.12%	90.91%
20.95% to 33.34%	4	6.06%	96.97%
33.34% to 45.72%	2	3.03%	100.00%
Greater than 45.72%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.33%	12.70%	68.18%	68.27%
±2σ	-36.84%	29.21%	93.94%	95.45%
±3σ	-53.35%	45.72%	100.00%	99.73%

Descriptive Statistics

均值	-3.815%
Standard Error	2.032%
中位数	-4.365%
Mode	-39.667%
Standard Deviation	16.511%
Sample Variance	272.612%
峰度	0.02
偏度	0.52
Range	78.317%
Minimum	-39.667%
Maximum	38.650%
Count	66

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.343%	23	34.85%	4.998%
负向	-13.528%	43	65.15%	-8.814%
Zero	0.000%	0	0.00%	0.000%

FTNT 深度分析报告