KPTI 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	5.55%	5.25%	4.98%	8.72%	14.00%	14.08%	7.53	9.96	6.55	11.46
周度	12.45%	13.30%	12.73%	19.61%	30.82%	31.00%	6.36	11.79	4.68	16.04
月度	25.42%	27.50%	27.28%	42.10%	64.15%	64.53%	4.56	16.45	2.40	31.24
季度	34.06%	46.27%	41.10%	67.96%	111.11%	111.77%	2.85	26.31	0.94	79.91
Annual	—	—	—	—	222.22%	223.54%	0.94	79.91	0.10	737.43
Option Time Horizon	—	—	—	—	84.68%	85.18%	3.71	20.20	1.59	47.10

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $8.66 | Strike (K): $10.00 (first OTM call ≥ spot) | Observed Mid-价格: $2.4750 (Bid $0.0500 / Ask $4.9000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 222.22% (CRR binomial tree, American, n=20 steps) | BS IV: 224.47% (European Black-Scholes) | Yahoo IV (Annual): 223.54% → 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 2.30. Further, an Excess 峰度 of 39.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.61%	13	0.41%	0.41%
-16.61% to -12.45%	20	0.64%	1.05%
-12.45% to -8.29%	83	2.65%	3.70%
-8.29% to -4.12%	369	11.78%	15.48%
-4.12% to 0.04%	1149	36.67%	52.15%
0.04% to 4.21%	1028	32.81%	84.97%
4.21% to 8.37%	326	10.41%	95.37%
8.37% to 12.53%	99	3.16%	98.53%
12.53% to 16.70%	21	0.67%	99.20%
Greater than 16.70%	25	0.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.51%	5.59%	80.24%	68.27%
±2σ	-11.06%	11.15%	96.62%	95.45%
±3σ	-16.61%	16.70%	98.79%	99.73%

Descriptive Statistics

均值	0.042%
Standard Error	0.099%
中位数	-0.097%
Mode	0.000%
Standard Deviation	5.552%
Sample Variance	30.823%
峰度	39.27
偏度	2.30
Range	136.989%
Minimum	-43.478%
Maximum	93.511%
Count	3133

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.806%	1499	47.85%	1.821%
负向	-3.519%	1584	50.56%	-1.779%
Zero	0.000%	50	1.60%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	8.12%
20	1 Month	8.70%
60	1 Quarter	10.43%
250	1 Year	9.48%
750	3 Years	9.33%
1,250	5 Years	8.72%
2,500	10 Years	7.51%
5,000	20 Years	7.43%
12,500	50 Years	7.43%

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 5.81. Further, an Excess 峰度 of 70.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.15%	0	0.00%	0.00%
-8.15% to -4.22%	0	0.00%	0.00%
-4.22% to -0.28%	0	0.00%	0.00%
-0.28% to 3.65%	374	11.93%	11.93%
3.65% to 7.59%	1587	50.64%	62.57%
7.59% to 11.52%	777	24.79%	87.36%
11.52% to 15.46%	244	7.79%	95.15%
15.46% to 19.39%	74	2.36%	97.51%
19.39% to 23.33%	35	1.12%	98.63%
Greater than 23.33%	43	1.37%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.34%	12.83%	89.73%	68.27%
±2σ	-2.91%	18.08%	96.90%	95.45%
±3σ	-8.15%	23.33%	98.63%	99.73%

Descriptive Statistics

均值	7.587%
Standard Error	0.094%
中位数	6.424%
Mode	5.000%
Standard Deviation	5.247%
Sample Variance	27.528%
峰度	70.75
偏度	5.81
Range	96.137%
Minimum	0.502%
Maximum	96.639%
Count	3134

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.587%	3134	100.00%	7.587%
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 0.88. Further, an Excess 峰度 of 24.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.66%	18	0.57%	0.57%
-14.66% to -10.92%	27	0.86%	1.44%
-10.92% to -7.18%	119	3.80%	5.23%
-7.18% to -3.45%	379	12.09%	17.33%
-3.45% to 0.29%	1021	32.58%	49.90%
0.29% to 4.03%	1047	33.41%	83.31%
4.03% to 7.76%	373	11.90%	95.21%
7.76% to 11.50%	106	3.38%	98.60%
11.50% to 15.24%	24	0.77%	99.36%
Greater than 15.24%	20	0.64%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.69%	5.27%	76.96%	68.27%
±2σ	-9.67%	10.26%	95.66%	95.45%
±3σ	-14.66%	15.24%	98.79%	99.73%

Descriptive Statistics

均值	0.291%
Standard Error	0.089%
中位数	0.300%
Mode	0.000%
Standard Deviation	4.983%
Sample Variance	24.832%
峰度	24.23
偏度	0.88
Range	126.703%
Minimum	-48.005%
Maximum	78.698%
Count	3134

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.569%	1645	52.49%	1.873%
负向	-3.430%	1446	46.14%	-1.583%
Zero	0.000%	43	1.37%	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 1.04. Further, an Excess 峰度 of 6.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -37.12%	4	0.62%	0.62%
-37.12% to -27.78%	5	0.77%	1.38%
-27.78% to -18.44%	19	2.92%	4.31%
-18.44% to -9.10%	86	13.23%	17.54%
-9.10% to 0.24%	232	35.69%	53.23%
0.24% to 9.57%	200	30.77%	84.00%
9.57% to 18.91%	74	11.38%	95.38%
18.91% to 28.25%	13	2.00%	97.38%
28.25% to 37.59%	8	1.23%	98.62%
Greater than 37.59%	9	1.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.21%	12.69%	78.46%	68.27%
±2σ	-24.67%	25.14%	95.38%	95.45%
±3σ	-37.12%	37.59%	98.00%	99.73%

Descriptive Statistics

均值	0.237%
Standard Error	0.488%
中位数	-0.228%
Mode	0.000%
Standard Deviation	12.451%
Sample Variance	155.034%
峰度	6.44
偏度	1.04
Range	132.484%
Minimum	-45.060%
Maximum	87.424%
Count	650

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.261%	313	48.15%	4.460%
负向	-8.291%	331	50.92%	-4.222%
Zero	0.000%	6	0.92%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	23.32%
12	1 Quarter	25.30%
52	1 Year	22.12%
156	3 Years	20.70%
260	5 Years	19.61%
520	10 Years	17.22%
1,040	20 Years	17.11%
2,600	50 Years	17.11%

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 3.31. Further, an Excess 峰度 of 15.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.93%	0	0.00%	0.00%
-20.93% to -10.95%	0	0.00%	0.00%
-10.95% to -0.98%	0	0.00%	0.00%
-0.98% to 9.00%	76	11.67%	11.67%
9.00% to 18.98%	354	54.38%	66.05%
18.98% to 28.96%	140	21.51%	87.56%
28.96% to 38.94%	43	6.61%	94.16%
38.94% to 48.92%	18	2.76%	96.93%
48.92% to 58.90%	7	1.08%	98.00%
Greater than 58.90%	13	2.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.68%	32.29%	90.02%	68.27%
±2σ	-7.63%	45.59%	96.31%	95.45%
±3σ	-20.93%	58.90%	98.00%	99.73%

Descriptive Statistics

均值	18.982%
Standard Error	0.521%
中位数	15.607%
Mode	16.667%
Standard Deviation	13.305%
Sample Variance	177.029%
峰度	15.73
偏度	3.31
Range	116.787%
Minimum	4.348%
Maximum	121.135%
Count	651

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.982%	651	100.00%	18.982%
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 1.39. Further, an Excess 峰度 of 7.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.87%	2	0.31%	0.31%
-36.87% to -27.32%	7	1.08%	1.38%
-27.32% to -17.77%	15	2.30%	3.69%
-17.77% to -8.23%	91	13.98%	17.67%
-8.23% to 1.32%	239	36.71%	54.38%
1.32% to 10.87%	196	30.11%	84.49%
10.87% to 20.42%	72	11.06%	95.55%
20.42% to 29.96%	17	2.61%	98.16%
29.96% to 39.51%	4	0.61%	98.77%
Greater than 39.51%	8	1.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.41%	14.05%	80.95%	68.27%
±2σ	-24.14%	26.78%	96.01%	95.45%
±3σ	-36.87%	39.51%	98.46%	99.73%

Descriptive Statistics

均值	1.321%
Standard Error	0.499%
中位数	0.602%
Mode	0.000%
Standard Deviation	12.730%
Sample Variance	162.052%
峰度	7.95
偏度	1.39
Range	131.392%
Minimum	-46.609%
Maximum	84.783%
Count	651

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.461%	346	53.15%	5.028%
负向	-8.018%	301	46.24%	-3.707%
Zero	0.000%	4	0.61%	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 0.73. Further, an Excess 峰度 of 1.03 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -75.40%	0	0.00%	0.00%
-75.40% to -56.33%	0	0.00%	0.00%
-56.33% to -37.27%	6	4.03%	4.03%
-37.27% to -18.20%	26	17.45%	21.48%
-18.20% to 0.86%	51	34.23%	55.70%
0.86% to 19.93%	38	25.50%	81.21%
19.93% to 39.00%	14	9.40%	90.60%
39.00% to 58.06%	11	7.38%	97.99%
58.06% to 77.13%	0	0.00%	97.99%
Greater than 77.13%	3	2.01%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.56%	26.29%	71.14%	68.27%
±2σ	-49.98%	51.71%	93.96%	95.45%
±3σ	-75.40%	77.13%	97.99%	99.73%

Descriptive Statistics

均值	0.864%
Standard Error	2.083%
中位数	-2.162%
Mode	-53.057%
Standard Deviation	25.421%
Sample Variance	646.206%
峰度	1.03
偏度	0.73
Range	139.671%
Minimum	-53.057%
Maximum	86.614%
Count	149

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.579%	69	46.31%	9.993%
负向	-17.002%	80	53.69%	-9.129%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	69.00%
12	1 Year	51.41%
36	3 Years	45.49%
60	5 Years	42.10%
120	10 Years	36.78%
240	20 Years	37.11%
600	50 Years	37.11%

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 1.70. Further, an Excess 峰度 of 3.00 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.14%	0	0.00%	0.00%
-36.14% to -15.52%	0	0.00%	0.00%
-15.52% to 5.11%	0	0.00%	0.00%
5.11% to 25.74%	29	19.33%	19.33%
25.74% to 46.36%	67	44.67%	64.00%
46.36% to 66.99%	30	20.00%	84.00%
66.99% to 87.61%	9	6.00%	90.00%
87.61% to 108.24%	8	5.33%	95.33%
108.24% to 128.87%	4	2.67%	98.00%
Greater than 128.87%	3	2.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	18.86%	73.86%	79.33%	68.27%
±2σ	-8.64%	101.37%	95.33%	95.45%
±3σ	-36.14%	128.87%	98.00%	99.73%

Descriptive Statistics

均值	46.362%
Standard Error	2.246%
中位数	39.367%
Mode	32.450%
Standard Deviation	27.502%
Sample Variance	756.350%
峰度	3.00
偏度	1.70
Range	140.646%
Minimum	12.601%
Maximum	153.247%
Count	150

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	46.362%	150	100.00%	46.362%
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 1.13. Further, an Excess 峰度 of 2.59 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -75.72%	0	0.00%	0.00%
-75.72% to -55.26%	0	0.00%	0.00%
-55.26% to -34.81%	4	2.67%	2.67%
-34.81% to -14.35%	30	20.00%	22.67%
-14.35% to 6.11%	48	32.00%	54.67%
6.11% to 26.57%	42	28.00%	82.67%
26.57% to 47.02%	16	10.67%	93.33%
47.02% to 67.48%	7	4.67%	98.00%
67.48% to 87.94%	0	0.00%	98.00%
Greater than 87.94%	3	2.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.17%	33.39%	74.00%	68.27%
±2σ	-48.45%	60.66%	96.00%	95.45%
±3σ	-75.72%	87.94%	98.00%	99.73%

Descriptive Statistics

均值	6.109%
Standard Error	2.227%
中位数	2.701%
Mode	-47.820%
Standard Deviation	27.277%
Sample Variance	744.020%
峰度	2.59
偏度	1.13
Range	157.949%
Minimum	-47.820%
Maximum	110.129%
Count	150

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.969%	82	54.67%	13.103%
负向	-15.428%	68	45.33%	-6.994%
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 0.51. Further, an Excess 峰度 of -0.43 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -104.49%	0	0.00%	0.00%
-104.49% to -78.94%	0	0.00%	0.00%
-78.94% to -53.40%	1	2.04%	2.04%
-53.40% to -27.86%	13	26.53%	28.57%
-27.86% to -2.32%	11	22.45%	51.02%
-2.32% to 23.22%	12	24.49%	75.51%
23.22% to 48.77%	8	16.33%	91.84%
48.77% to 74.31%	3	6.12%	97.96%
74.31% to 99.85%	1	2.04%	100.00%
Greater than 99.85%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-36.38%	31.74%	61.22%	68.27%
±2σ	-70.43%	65.79%	97.96%	95.45%
±3σ	-104.49%	99.85%	100.00%	99.73%

Descriptive Statistics

均值	-2.319%
Standard Error	4.865%
中位数	-3.981%
Mode	-53.408%
Standard Deviation	34.056%
Sample Variance	1159.779%
峰度	-0.43
偏度	0.51
Range	142.059%
Minimum	-53.408%
Maximum	88.651%
Count	49

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.222%	22	44.90%	13.120%
负向	-28.019%	27	55.10%	-15.439%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	85.83%
12	3 Years	72.71%
20	5 Years	67.96%
40	10 Years	61.98%
80	20 Years	62.89%
200	50 Years	62.89%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 1.00. Further, an Excess 峰度 of 0.94 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -47.82%	0	0.00%	0.00%
-47.82% to -13.12%	0	0.00%	0.00%
-13.12% to 21.59%	0	0.00%	0.00%
21.59% to 56.29%	14	28.00%	28.00%
56.29% to 91.00%	14	28.00%	56.00%
91.00% to 125.70%	11	22.00%	78.00%
125.70% to 160.41%	8	16.00%	94.00%
160.41% to 195.12%	1	2.00%	96.00%
195.12% to 229.82%	1	2.00%	98.00%
Greater than 229.82%	1	2.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	44.72%	137.27%	66.00%	68.27%
±2σ	-1.55%	183.55%	96.00%	95.45%
±3σ	-47.82%	229.82%	98.00%	99.73%

Descriptive Statistics

均值	90.999%
Standard Error	6.544%
中位数	74.614%
Mode	24.638%
Standard Deviation	46.274%
Sample Variance	2141.327%
峰度	0.94
偏度	1.00
Range	216.434%
Minimum	24.638%
Maximum	241.072%
Count	50

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	90.999%	50	100.00%	90.999%
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 0.59. Further, an Excess 峰度 of -0.43 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -108.88%	0	0.00%	0.00%
-108.88% to -78.05%	0	0.00%	0.00%
-78.05% to -47.22%	1	2.00%	2.00%
-47.22% to -16.40%	12	24.00%	26.00%
-16.40% to 14.43%	15	30.00%	56.00%
14.43% to 45.25%	9	18.00%	74.00%
45.25% to 76.08%	8	16.00%	90.00%
76.08% to 106.91%	4	8.00%	98.00%
106.91% to 137.73%	1	2.00%	100.00%
Greater than 137.73%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-26.67%	55.53%	70.00%	68.27%
±2σ	-67.77%	96.63%	94.00%	95.45%
±3σ	-108.88%	137.73%	100.00%	99.73%

Descriptive Statistics

均值	14.428%
Standard Error	5.813%
中位数	5.109%
Mode	-48.840%
Standard Deviation	41.101%
Sample Variance	1689.315%
峰度	-0.43
偏度	0.59
Range	165.721%
Minimum	-48.840%
Maximum	116.881%
Count	50

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	44.757%	27	54.00%	24.169%
负向	-21.176%	23	46.00%	-9.741%
Zero	0.000%	0	0.00%	0.000%

KPTI 深度分析报告