HOOD 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	4.66%	3.61%	3.89%	6.00%	4.42%	4.44%	81.05	88.54	77.54	92.54
周度	10.17%	11.07%	9.59%	14.51%	9.74%	9.77%	76.85	93.37	69.72	102.92
月度	21.45%	21.03%	19.62%	33.39%	20.27%	20.33%	69.17	103.74	56.48	127.05
季度	46.61%	59.51%	45.20%	66.79%	35.10%	35.22%	59.63	120.33	41.98	170.93
Annual	—	—	—	—	70.20%	70.43%	41.98	170.93	20.80	344.92
Option Time Horizon	—	—	—	—	26.75%	26.84%	64.83	110.69	49.61	144.64

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $84.71 | Strike (K): $85.00 (first OTM call ≥ spot) | Observed Mid-价格: $9.0000 (Bid $8.9000 / Ask $9.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 70.20% (CRR binomial tree, American, n=20 steps) | BS IV: 69.52% (European Black-Scholes) | Yahoo IV (Annual): 70.43% → 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 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.31. Further, an Excess 峰度 of 15.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.79%	5	0.42%	0.42%
-13.79% to -10.29%	8	0.67%	1.09%
-10.29% to -6.80%	46	3.87%	4.96%
-6.80% to -3.31%	146	12.28%	17.24%
-3.31% to 0.18%	407	34.23%	51.47%
0.18% to 3.67%	383	32.21%	83.68%
3.67% to 7.16%	144	12.11%	95.79%
7.16% to 10.65%	29	2.44%	98.23%
10.65% to 14.14%	13	1.09%	99.33%
Greater than 14.14%	8	0.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.48%	4.83%	79.65%	68.27%
±2σ	-9.13%	9.49%	95.88%	95.45%
±3σ	-13.79%	14.14%	98.91%	99.73%

Descriptive Statistics

均值	0.180%
Standard Error	0.135%
中位数	0.021%
Mode	0.000%
Standard Deviation	4.655%
Sample Variance	21.668%
峰度	15.09
偏度	1.31
Range	77.995%
Minimum	-27.589%
Maximum	50.406%
Count	1189

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.367%	596	50.13%	1.688%
负向	-3.085%	581	48.87%	-1.507%
Zero	0.000%	12	1.01%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.98%
20	1 Month	6.06%
60	1 Quarter	6.40%
250	1 Year	5.74%
750	3 Years	5.51%
1,250	5 Years	6.00%
2,500	10 Years	6.00%
5,000	20 Years	6.00%
12,500	50 Years	6.00%

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 4.51. Further, an Excess 峰度 of 41.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.09%	0	0.00%	0.00%
-5.09% to -2.38%	0	0.00%	0.00%
-2.38% to 0.33%	0	0.00%	0.00%
0.33% to 3.04%	160	13.45%	13.45%
3.04% to 5.74%	577	48.49%	61.93%
5.74% to 8.45%	294	24.71%	86.64%
8.45% to 11.16%	109	9.16%	95.80%
11.16% to 13.87%	19	1.60%	97.39%
13.87% to 16.58%	12	1.01%	98.40%
Greater than 16.58%	19	1.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.13%	9.35%	87.90%	68.27%
±2σ	-1.48%	12.96%	97.06%	95.45%
±3σ	-5.09%	16.58%	98.40%	99.73%

Descriptive Statistics

均值	5.743%
Standard Error	0.105%
中位数	4.883%
Mode	1.985%
Standard Deviation	3.611%
Sample Variance	13.041%
峰度	41.43
偏度	4.51
Range	54.979%
Minimum	1.271%
Maximum	56.250%
Count	1190

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.743%	1190	100.00%	5.743%
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 0.01. Further, an Excess 峰度 of 5.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.66%	9	0.76%	0.76%
-11.66% to -8.75%	6	0.50%	1.26%
-8.75% to -5.83%	30	2.52%	3.78%
-5.83% to -2.91%	163	13.70%	17.48%
-2.91% to 0.01%	410	34.45%	51.93%
0.01% to 2.92%	372	31.26%	83.19%
2.92% to 5.84%	131	11.01%	94.20%
5.84% to 8.76%	43	3.61%	97.82%
8.76% to 11.68%	17	1.43%	99.24%
Greater than 11.68%	9	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.89%	3.90%	77.06%	68.27%
±2σ	-7.78%	7.79%	95.21%	95.45%
±3σ	-11.66%	11.68%	98.49%	99.73%

Descriptive Statistics

均值	0.005%
Standard Error	0.113%
中位数	-0.159%
Mode	0.000%
Standard Deviation	3.890%
Sample Variance	15.131%
峰度	5.42
偏度	0.01
Range	46.051%
Minimum	-22.645%
Maximum	23.406%
Count	1190

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.879%	572	48.07%	1.384%
负向	-2.690%	610	51.26%	-1.379%
Zero	0.000%	8	0.67%	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 0.68. Further, an Excess 峰度 of 2.51 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.67%	0	0.00%	0.00%
-29.67% to -22.05%	3	1.21%	1.21%
-22.05% to -14.42%	12	4.86%	6.07%
-14.42% to -6.80%	31	12.55%	18.62%
-6.80% to 0.83%	82	33.20%	51.82%
0.83% to 8.45%	75	30.36%	82.19%
8.45% to 16.08%	28	11.34%	93.52%
16.08% to 23.70%	11	4.45%	97.98%
23.70% to 31.33%	3	1.21%	99.19%
Greater than 31.33%	2	0.81%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.34%	10.99%	74.09%	68.27%
±2σ	-19.51%	21.16%	93.12%	95.45%
±3σ	-29.67%	31.33%	99.19%	99.73%

Descriptive Statistics

均值	0.827%
Standard Error	0.647%
中位数	0.246%
Mode	0.000%
Standard Deviation	10.167%
Sample Variance	103.358%
峰度	2.51
偏度	0.68
Range	74.837%
Minimum	-24.014%
Maximum	50.823%
Count	247

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.237%	124	50.20%	4.135%
负向	-6.866%	119	48.18%	-3.308%
Zero	0.000%	4	1.62%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	16.41%
12	1 Quarter	15.29%
52	1 Year	13.68%
156	3 Years	13.45%
260	5 Years	14.51%
520	10 Years	14.51%
1,040	20 Years	14.51%
2,600	50 Years	14.51%

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 4.97. Further, an Excess 峰度 of 44.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.53%	0	0.00%	0.00%
-17.53% to -9.23%	0	0.00%	0.00%
-9.23% to -0.93%	0	0.00%	0.00%
-0.93% to 7.37%	28	11.29%	11.29%
7.37% to 15.67%	125	50.40%	61.69%
15.67% to 23.97%	58	23.39%	85.08%
23.97% to 32.27%	23	9.27%	94.35%
32.27% to 40.57%	8	3.23%	97.58%
40.57% to 48.87%	4	1.61%	99.19%
Greater than 48.87%	2	0.81%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.60%	26.73%	89.92%	68.27%
±2σ	-6.46%	37.80%	96.77%	95.45%
±3σ	-17.53%	48.87%	99.19%	99.73%

Descriptive Statistics

均值	15.669%
Standard Error	0.703%
中位数	12.960%
Mode	15.785%
Standard Deviation	11.066%
Sample Variance	122.462%
峰度	44.09
偏度	4.97
Range	124.365%
Minimum	4.382%
Maximum	128.747%
Count	248

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.669%	248	100.00%	15.669%
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 0.35. Further, an Excess 峰度 of 1.08 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.74%	1	0.40%	0.40%
-28.74% to -21.55%	1	0.40%	0.81%
-21.55% to -14.36%	14	5.65%	6.45%
-14.36% to -7.17%	33	13.31%	19.76%
-7.17% to 0.03%	82	33.06%	52.82%
0.03% to 7.22%	76	30.65%	83.47%
7.22% to 14.41%	20	8.06%	91.53%
14.41% to 21.60%	13	5.24%	96.77%
21.60% to 28.80%	6	2.42%	99.19%
Greater than 28.80%	2	0.81%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.56%	9.62%	74.60%	68.27%
±2σ	-19.15%	19.21%	93.15%	95.45%
±3σ	-28.74%	28.80%	98.79%	99.73%

Descriptive Statistics

均值	0.026%
Standard Error	0.609%
中位数	-0.555%
Mode	-33.291%
Standard Deviation	9.590%
Sample Variance	91.973%
峰度	1.08
偏度	0.35
Range	63.894%
Minimum	-33.291%
Maximum	30.603%
Count	248

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.536%	118	47.58%	3.586%
负向	-6.791%	130	52.42%	-3.560%
Zero	0.000%	0	0.00%	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 0.70. Further, an Excess 峰度 of -0.17 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -60.73%	0	0.00%	0.00%
-60.73% to -44.64%	0	0.00%	0.00%
-44.64% to -28.55%	1	1.75%	1.75%
-28.55% to -12.47%	13	22.81%	24.56%
-12.47% to 3.62%	20	35.09%	59.65%
3.62% to 19.70%	10	17.54%	77.19%
19.70% to 35.79%	7	12.28%	89.47%
35.79% to 51.88%	5	8.77%	98.25%
51.88% to 67.96%	1	1.75%	100.00%
Greater than 67.96%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.83%	25.07%	66.67%	68.27%
±2σ	-39.28%	46.51%	96.49%	95.45%
±3σ	-60.73%	67.96%	100.00%	99.73%

Descriptive Statistics

均值	3.617%
Standard Error	2.841%
中位数	-0.746%
Mode	-31.534%
Standard Deviation	21.448%
Sample Variance	460.022%
峰度	-0.17
偏度	0.70
Range	91.347%
Minimum	-31.534%
Maximum	59.813%
Count	57

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.952%	28	49.12%	10.292%
负向	-13.119%	29	50.88%	-6.675%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	33.16%
12	1 Year	31.87%
36	3 Years	31.89%
60	5 Years	33.39%
120	10 Years	33.39%
240	20 Years	33.39%
600	50 Years	33.39%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.98%	0	0.00%	0.00%
-23.98% to -8.21%	0	0.00%	0.00%
-8.21% to 7.57%	0	0.00%	0.00%
7.57% to 23.34%	14	24.14%	24.14%
23.34% to 39.11%	21	36.21%	60.34%
39.11% to 54.89%	14	24.14%	84.48%
54.89% to 70.66%	5	8.62%	93.10%
70.66% to 86.43%	2	3.45%	96.55%
86.43% to 102.21%	1	1.72%	98.28%
Greater than 102.21%	1	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	18.08%	60.14%	87.93%	68.27%
±2σ	-2.95%	81.17%	96.55%	95.45%
±3σ	-23.98%	102.21%	98.28%	99.73%

Descriptive Statistics

均值	39.113%
Standard Error	2.762%
中位数	32.800%
Mode	14.623%
Standard Deviation	21.031%
Sample Variance	442.308%
峰度	8.72
偏度	2.34
Range	126.170%
Minimum	14.623%
Maximum	140.793%
Count	58

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	39.113%	58	100.00%	39.113%
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 -0.51 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -58.20%	0	0.00%	0.00%
-58.20% to -43.49%	0	0.00%	0.00%
-43.49% to -28.77%	5	8.62%	8.62%
-28.77% to -14.06%	11	18.97%	27.59%
-14.06% to 0.65%	13	22.41%	50.00%
0.65% to 15.37%	13	22.41%	72.41%
15.37% to 30.08%	12	20.69%	93.10%
30.08% to 44.80%	3	5.17%	98.28%
44.80% to 59.51%	1	1.72%	100.00%
Greater than 59.51%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.96%	20.27%	63.79%	68.27%
±2σ	-38.58%	39.89%	98.28%	95.45%
±3σ	-58.20%	59.51%	100.00%	99.73%

Descriptive Statistics

均值	0.654%
Standard Error	2.576%
中位数	0.701%
Mode	-36.867%
Standard Deviation	19.619%
Sample Variance	384.902%
峰度	-0.51
偏度	0.15
Range	85.234%
Minimum	-36.867%
Maximum	48.367%
Count	58

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.662%	29	50.00%	8.331%
负向	-15.353%	29	50.00%	-7.676%
Zero	0.000%	0	0.00%	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 0.96. Further, an Excess 峰度 of 0.84 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -126.56%	0	0.00%	0.00%
-126.56% to -91.61%	0	0.00%	0.00%
-91.61% to -56.65%	1	5.26%	5.26%
-56.65% to -21.69%	3	15.79%	21.05%
-21.69% to 13.26%	6	31.58%	52.63%
13.26% to 48.22%	6	31.58%	84.21%
48.22% to 83.17%	1	5.26%	89.47%
83.17% to 118.13%	1	5.26%	94.74%
118.13% to 153.09%	1	5.26%	100.00%
Greater than 153.09%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.34%	59.87%	84.21%	68.27%
±2σ	-79.95%	106.48%	89.47%	95.45%
±3σ	-126.56%	153.09%	100.00%	99.73%

Descriptive Statistics

均值	13.263%
Standard Error	10.693%
中位数	-0.512%
Mode	-59.537%
Standard Deviation	46.608%
Sample Variance	2172.277%
峰度	0.84
偏度	0.96
Range	180.695%
Minimum	-59.537%
Maximum	121.158%
Count	19

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	50.865%	9	47.37%	24.094%
负向	-20.578%	10	52.63%	-10.831%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	66.61%
12	3 Years	69.77%
20	5 Years	66.79%
40	10 Years	66.79%
80	20 Years	66.79%
200	50 Years	66.79%

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 2.06. Further, an Excess 峰度 of 5.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -90.89%	0	0.00%	0.00%
-90.89% to -46.26%	0	0.00%	0.00%
-46.26% to -1.63%	0	0.00%	0.00%
-1.63% to 43.00%	3	15.00%	15.00%
43.00% to 87.63%	10	50.00%	65.00%
87.63% to 132.26%	3	15.00%	80.00%
132.26% to 176.89%	3	15.00%	95.00%
176.89% to 221.52%	0	0.00%	95.00%
221.52% to 266.15%	0	0.00%	95.00%
Greater than 266.15%	1	5.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	28.12%	147.14%	80.00%	68.27%
±2σ	-31.38%	206.64%	95.00%	95.45%
±3σ	-90.89%	266.15%	95.00%	99.73%

Descriptive Statistics

均值	87.630%
Standard Error	13.306%
中位数	66.737%
Mode	21.053%
Standard Deviation	59.506%
Sample Variance	3540.925%
峰度	5.46
偏度	2.06
Range	262.951%
Minimum	21.053%
Maximum	284.004%
Count	20

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	87.630%	20	100.00%	87.630%
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 1.73. Further, an Excess 峰度 of 4.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -132.04%	0	0.00%	0.00%
-132.04% to -98.13%	0	0.00%	0.00%
-98.13% to -64.23%	0	0.00%	0.00%
-64.23% to -30.33%	5	25.00%	25.00%
-30.33% to 3.57%	6	30.00%	55.00%
3.57% to 37.47%	5	25.00%	80.00%
37.47% to 71.37%	3	15.00%	95.00%
71.37% to 105.27%	0	0.00%	95.00%
105.27% to 139.18%	0	0.00%	95.00%
Greater than 139.18%	1	5.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-41.63%	48.77%	80.00%	68.27%
±2σ	-86.83%	93.97%	95.00%	95.45%
±3σ	-132.04%	139.18%	95.00%	99.73%

Descriptive Statistics

均值	3.570%
Standard Error	10.108%
中位数	0.799%
Mode	-54.379%
Standard Deviation	45.202%
Sample Variance	2043.245%
峰度	4.76
偏度	1.73
Range	203.142%
Minimum	-54.379%
Maximum	148.763%
Count	20

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	34.620%	10	50.00%	17.310%
负向	-27.481%	10	50.00%	-13.741%
Zero	0.000%	0	0.00%	0.000%

HOOD 深度分析报告