GPRO 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	4.28%	3.83%	3.82%	5.60%	11.13%	11.22%	1.19	1.49	1.06	1.66
周度	9.61%	11.11%	9.74%	13.12%	24.50%	24.70%	1.04	1.70	0.81	2.17
月度	19.66%	26.66%	18.31%	31.60%	51.01%	51.42%	0.80	2.22	0.48	3.69
季度	33.82%	56.99%	41.66%	61.46%	88.35%	89.06%	0.55	3.22	0.23	7.79
Annual	—	—	—	—	176.70%	178.13%	0.23	7.79	0.04	45.57
Option Time Horizon	—	—	—	—	67.33%	67.88%	0.68	2.61	0.35	5.11

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $1.33 | Strike (K): $1.50 (first OTM call ≥ spot) | Observed Mid-价格: $0.3000 (Bid $0.2500 / Ask $0.3500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 176.70% (CRR binomial tree, American, n=20 steps) | BS IV: 178.61% (European Black-Scholes) | Yahoo IV (Annual): 178.13% → 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 0.85. Further, an Excess 峰度 of 9.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.85%	18	0.61%	0.61%
-12.85% to -9.64%	28	0.94%	1.55%
-9.64% to -6.43%	93	3.13%	4.67%
-6.43% to -3.23%	322	10.83%	15.50%
-3.23% to -0.02%	1022	34.36%	49.87%
-0.02% to 3.19%	1048	35.24%	85.10%
3.19% to 6.40%	299	10.05%	95.16%
6.40% to 9.61%	81	2.72%	97.88%
9.61% to 12.82%	32	1.08%	98.96%
Greater than 12.82%	31	1.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.29%	4.26%	80.23%	68.27%
±2σ	-8.57%	8.54%	95.19%	95.45%
±3σ	-12.85%	12.82%	98.35%	99.73%

Descriptive Statistics

均值	-0.016%
Standard Error	0.078%
中位数	0.000%
Mode	0.000%
Standard Deviation	4.279%
Sample Variance	18.312%
峰度	9.73
偏度	0.85
Range	67.195%
Minimum	-26.103%
Maximum	41.092%
Count	2974

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.030%	1406	47.28%	1.432%
负向	-2.904%	1483	49.87%	-1.448%
Zero	0.000%	85	2.86%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	12.17%
20	1 Month	13.25%
60	1 Quarter	10.99%
250	1 Year	9.57%
750	3 Years	6.61%
1,250	5 Years	5.60%
2,500	10 Years	5.44%
5,000	20 Years	5.59%
12,500	50 Years	5.59%

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 4.03. Further, an Excess 峰度 of 32.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.01%	0	0.00%	0.00%
-6.01% to -3.14%	0	0.00%	0.00%
-3.14% to -0.27%	0	0.00%	0.00%
-0.27% to 2.60%	377	12.67%	12.67%
2.60% to 5.47%	1555	52.27%	64.94%
5.47% to 8.34%	632	21.24%	86.18%
8.34% to 11.21%	220	7.39%	93.58%
11.21% to 14.08%	102	3.43%	97.01%
14.08% to 16.95%	44	1.48%	98.49%
Greater than 16.95%	45	1.51%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.64%	9.30%	88.50%	68.27%
±2σ	-2.19%	13.13%	96.34%	95.45%
±3σ	-6.01%	16.95%	98.49%	99.73%

Descriptive Statistics

均值	5.470%
Standard Error	0.070%
中位数	4.484%
Mode	3.448%
Standard Deviation	3.828%
Sample Variance	14.650%
峰度	32.25
偏度	4.03
Range	61.328%
Minimum	1.001%
Maximum	62.329%
Count	2975

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.470%	2975	100.00%	5.470%
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 0.68. Further, an Excess 峰度 of 14.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.21%	21	0.71%	0.71%
-11.21% to -8.34%	29	0.97%	1.68%
-8.34% to -5.47%	82	2.76%	4.44%
-5.47% to -2.61%	338	11.36%	15.80%
-2.61% to 0.26%	1059	35.60%	51.39%
0.26% to 3.13%	980	32.94%	84.34%
3.13% to 5.99%	320	10.76%	95.09%
5.99% to 8.86%	84	2.82%	97.92%
8.86% to 11.72%	42	1.41%	99.33%
Greater than 11.72%	20	0.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.56%	4.08%	79.36%	68.27%
±2σ	-7.38%	7.90%	95.06%	95.45%
±3σ	-11.21%	11.73%	98.62%	99.73%

Descriptive Statistics

均值	0.259%
Standard Error	0.070%
中位数	0.178%
Mode	0.000%
Standard Deviation	3.822%
Sample Variance	14.604%
峰度	14.99
偏度	0.68
Range	77.332%
Minimum	-27.007%
Maximum	50.325%
Count	2975

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.791%	1530	51.43%	1.435%
负向	-2.547%	1374	46.19%	-1.176%
Zero	0.000%	71	2.39%	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 0.85. Further, an Excess 峰度 of 4.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.92%	1	0.16%	0.16%
-28.92% to -21.72%	6	0.97%	1.13%
-21.72% to -14.51%	25	4.05%	5.19%
-14.51% to -7.31%	74	11.99%	17.18%
-7.31% to -0.10%	224	36.30%	53.48%
-0.10% to 7.10%	192	31.12%	84.60%
7.10% to 14.31%	58	9.40%	94.00%
14.31% to 21.51%	23	3.73%	97.73%
21.51% to 28.72%	6	0.97%	98.70%
Greater than 28.72%	8	1.30%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.71%	9.50%	77.63%	68.27%
±2σ	-19.32%	19.11%	95.46%	95.45%
±3σ	-28.92%	28.72%	98.54%	99.73%

Descriptive Statistics

均值	-0.103%
Standard Error	0.387%
中位数	-0.856%
Mode	0.000%
Standard Deviation	9.607%
Sample Variance	92.299%
峰度	4.53
偏度	0.85
Range	93.534%
Minimum	-39.640%
Maximum	53.894%
Count	617

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.356%	277	44.90%	3.302%
负向	-6.349%	331	53.65%	-3.406%
Zero	0.000%	9	1.46%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	29.85%
12	1 Quarter	25.74%
52	1 Year	23.79%
156	3 Years	15.67%
260	5 Years	13.12%
520	10 Years	12.82%
1,040	20 Years	13.18%
2,600	50 Years	13.18%

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 3.94. Further, an Excess 峰度 of 28.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.97%	0	0.00%	0.00%
-18.97% to -10.64%	0	0.00%	0.00%
-10.64% to -2.30%	0	0.00%	0.00%
-2.30% to 6.03%	73	11.81%	11.81%
6.03% to 14.37%	324	52.43%	64.24%
14.37% to 22.70%	134	21.68%	85.92%
22.70% to 31.04%	49	7.93%	93.85%
31.04% to 39.38%	17	2.75%	96.60%
39.38% to 47.71%	10	1.62%	98.22%
Greater than 47.71%	11	1.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.25%	25.48%	90.45%	68.27%
±2σ	-7.86%	36.60%	95.63%	95.45%
±3σ	-18.97%	47.71%	98.22%	99.73%

Descriptive Statistics

均值	14.369%
Standard Error	0.447%
中位数	10.950%
Mode	5.133%
Standard Deviation	11.114%
Sample Variance	123.513%
峰度	28.91
偏度	3.94
Range	133.447%
Minimum	3.553%
Maximum	137.000%
Count	618

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.369%	618	100.00%	14.369%
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 1.00. Further, an Excess 峰度 of 6.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.09%	6	0.97%	0.97%
-28.09% to -20.78%	2	0.32%	1.29%
-20.78% to -13.47%	22	3.56%	4.85%
-13.47% to -6.17%	73	11.81%	16.67%
-6.17% to 1.14%	229	37.06%	53.72%
1.14% to 8.45%	188	30.42%	84.14%
8.45% to 15.76%	60	9.71%	93.85%
15.76% to 23.07%	26	4.21%	98.06%
23.07% to 30.38%	4	0.65%	98.71%
Greater than 30.38%	8	1.29%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.60%	10.89%	77.83%	68.27%
±2σ	-18.34%	20.63%	96.12%	95.45%
±3σ	-28.09%	30.38%	97.73%	99.73%

Descriptive Statistics

均值	1.143%
Standard Error	0.392%
中位数	0.651%
Mode	0.000%
Standard Deviation	9.744%
Sample Variance	94.943%
峰度	6.77
偏度	1.00
Range	106.848%
Minimum	-33.714%
Maximum	73.134%
Count	618

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.511%	325	52.59%	3.950%
负向	-6.087%	285	46.12%	-2.807%
Zero	0.000%	8	1.29%	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 1.44. Further, an Excess 峰度 of 3.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -59.63%	0	0.00%	0.00%
-59.63% to -44.88%	0	0.00%	0.00%
-44.88% to -30.14%	3	2.11%	2.11%
-30.14% to -15.40%	30	21.13%	23.24%
-15.40% to -0.66%	51	35.92%	59.15%
-0.66% to 14.08%	30	21.13%	80.28%
14.08% to 28.82%	18	12.68%	92.96%
28.82% to 43.56%	5	3.52%	96.48%
43.56% to 58.30%	2	1.41%	97.89%
Greater than 58.30%	3	2.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.32%	18.99%	79.58%	68.27%
±2σ	-39.97%	38.65%	96.48%	95.45%
±3σ	-59.63%	58.30%	97.89%	99.73%

Descriptive Statistics

均值	-0.661%
Standard Error	1.649%
中位数	-3.318%
Mode	-36.424%
Standard Deviation	19.655%
Sample Variance	386.320%
峰度	3.42
偏度	1.44
Range	117.312%
Minimum	-36.424%
Maximum	80.888%
Count	142

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.774%	56	39.44%	7.010%
负向	-12.666%	86	60.56%	-7.671%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	64.96%
12	1 Year	67.13%
36	3 Years	39.01%
60	5 Years	31.60%
120	10 Years	30.09%
240	20 Years	30.57%
600	50 Years	30.57%

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 3.76. Further, an Excess 峰度 of 22.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.62%	0	0.00%	0.00%
-43.62% to -23.63%	0	0.00%	0.00%
-23.63% to -3.64%	0	0.00%	0.00%
-3.64% to 16.36%	17	11.89%	11.89%
16.36% to 36.35%	76	53.15%	65.03%
36.35% to 56.34%	34	23.78%	88.81%
56.34% to 76.33%	7	4.90%	93.71%
76.33% to 96.33%	3	2.10%	95.80%
96.33% to 116.32%	5	3.50%	99.30%
Greater than 116.32%	1	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	9.69%	63.01%	90.21%	68.27%
±2σ	-16.97%	89.66%	95.80%	95.45%
±3σ	-43.62%	116.32%	99.30%	99.73%

Descriptive Statistics

均值	36.349%
Standard Error	2.229%
中位数	29.560%
Mode	31.250%
Standard Deviation	26.657%
Sample Variance	710.587%
峰度	22.47
偏度	3.76
Range	228.429%
Minimum	7.741%
Maximum	236.170%
Count	143

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	36.349%	143	100.00%	36.349%
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 -0.13. Further, an Excess 峰度 of -0.05 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -51.03%	0	0.00%	0.00%
-51.03% to -37.30%	3	2.10%	2.10%
-37.30% to -23.56%	7	4.90%	6.99%
-23.56% to -9.83%	24	16.78%	23.78%
-9.83% to 3.90%	38	26.57%	50.35%
3.90% to 17.63%	38	26.57%	76.92%
17.63% to 31.37%	26	18.18%	95.10%
31.37% to 45.10%	6	4.20%	99.30%
45.10% to 58.83%	1	0.70%	100.00%
Greater than 58.83%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.41%	22.21%	71.33%	68.27%
±2σ	-32.72%	40.52%	95.80%	95.45%
±3σ	-51.03%	58.83%	100.00%	99.73%

Descriptive Statistics

均值	3.902%
Standard Error	1.531%
中位数	3.739%
Mode	-14.130%
Standard Deviation	18.310%
Sample Variance	335.248%
峰度	-0.05
偏度	-0.13
Range	96.886%
Minimum	-43.436%
Maximum	53.450%
Count	143

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.213%	89	62.24%	9.468%
负向	-14.740%	54	37.76%	-5.566%
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 1.18. Further, an Excess 峰度 of 3.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -103.52%	0	0.00%	0.00%
-103.52% to -78.15%	0	0.00%	0.00%
-78.15% to -52.78%	2	4.26%	4.26%
-52.78% to -27.42%	9	19.15%	23.40%
-27.42% to -2.05%	14	29.79%	53.19%
-2.05% to 23.32%	14	29.79%	82.98%
23.32% to 48.68%	3	6.38%	89.36%
48.68% to 74.05%	4	8.51%	97.87%
74.05% to 99.42%	0	0.00%	97.87%
Greater than 99.42%	1	2.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-35.87%	31.77%	74.47%	68.27%
±2σ	-69.70%	65.59%	97.87%	95.45%
±3σ	-103.52%	99.42%	97.87%	99.73%

Descriptive Statistics

均值	-2.051%
Standard Error	4.933%
中位数	-5.288%
Mode	-59.742%
Standard Deviation	33.822%
Sample Variance	1143.917%
峰度	3.03
偏度	1.18
Range	183.700%
Minimum	-59.742%
Maximum	123.958%
Count	47

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	26.823%	20	42.55%	11.414%
负向	-24.340%	26	55.32%	-13.465%
Zero	0.000%	1	2.13%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	146.37%
12	3 Years	78.64%
20	5 Years	61.46%
40	10 Years	54.03%
80	20 Years	55.67%
200	50 Years	55.67%

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 2.47. Further, an Excess 峰度 of 8.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -92.96%	0	0.00%	0.00%
-92.96% to -50.22%	0	0.00%	0.00%
-50.22% to -7.48%	0	0.00%	0.00%
-7.48% to 35.26%	6	12.50%	12.50%
35.26% to 78.00%	25	52.08%	64.58%
78.00% to 120.75%	10	20.83%	85.42%
120.75% to 163.49%	3	6.25%	91.67%
163.49% to 206.23%	3	6.25%	97.92%
206.23% to 248.97%	0	0.00%	97.92%
Greater than 248.97%	1	2.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	21.02%	134.99%	83.33%	68.27%
±2σ	-35.97%	191.98%	97.92%	95.45%
±3σ	-92.96%	248.97%	97.92%	99.73%

Descriptive Statistics

均值	78.004%
Standard Error	8.225%
中位数	55.569%
Mode	16.798%
Standard Deviation	56.988%
Sample Variance	3247.617%
峰度	8.44
偏度	2.47
Range	322.091%
Minimum	16.798%
Maximum	338.889%
Count	48

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	78.004%	48	100.00%	78.004%
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 1.97 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -111.91%	0	0.00%	0.00%
-111.91% to -80.67%	0	0.00%	0.00%
-80.67% to -49.42%	1	2.08%	2.08%
-49.42% to -18.17%	8	16.67%	18.75%
-18.17% to 13.07%	20	41.67%	60.42%
13.07% to 44.32%	11	22.92%	83.33%
44.32% to 75.57%	4	8.33%	91.67%
75.57% to 106.82%	2	4.17%	95.83%
106.82% to 138.06%	1	2.08%	97.92%
Greater than 138.06%	1	2.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-28.59%	54.74%	70.83%	68.27%
±2σ	-70.25%	96.40%	95.83%	95.45%
±3σ	-111.91%	138.06%	97.92%	99.73%

Descriptive Statistics

均值	13.075%
Standard Error	6.014%
中位数	4.997%
Mode	-55.039%
Standard Deviation	41.663%
Sample Variance	1735.821%
峰度	1.97
偏度	1.20
Range	207.039%
Minimum	-55.039%
Maximum	152.000%
Count	48

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	39.947%	26	54.17%	21.638%
负向	-19.572%	21	43.75%	-8.563%
Zero	0.000%	1	2.08%	0.000%

GPRO 深度分析报告