META 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	2.50%	1.55%	1.81%	3.22%	2.48%	2.56%	658.47	692.01	642.31	709.41
周度	5.39%	5.21%	5.54%	7.85%	5.47%	5.65%	639.11	712.97	605.10	753.05
月度	10.96%	11.28%	11.56%	17.47%	11.38%	11.75%	602.40	756.42	537.59	847.62
季度	19.93%	21.61%	22.86%	35.30%	19.72%	20.36%	554.24	822.15	455.06	1001.34
Annual	—	—	—	—	39.43%	40.71%	455.06	1001.34	306.77	1485.39
Option Time Horizon	—	—	—	—	15.03%	15.51%	580.85	784.48	499.81	911.68

Calculation Notes: Computed at 2026-04-26T02:43 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $675.03 | Strike (K): $680.00 (first OTM call ≥ spot) | Observed Mid-价格: $39.5250 (Bid $39.2000 / Ask $39.8500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.32% | Binomial IV (Annual): 39.43% (CRR binomial tree, American, n=20 steps) | BS IV: 39.32% (European Black-Scholes) | Yahoo IV (Annual): 40.71% → period-scaled as σ_period = σ_annual·√h | 价格 bands: Upper = S·e^+σ√h, 低er = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2026-03-16	$0.5250
2025-12-15	$0.5250
2025-09-22	$0.5250
2025-06-16	$0.5250
2025-03-14	$0.5250
2024-12-16	$0.5000
2024-09-16	$0.5000
2024-06-14	$0.5000
2024-02-21	$0.5000

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.43. Further, an Excess 峰度 of 19.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.40%	22	0.63%	0.63%
-7.40% to -5.52%	28	0.80%	1.43%
-5.52% to -3.64%	121	3.46%	4.88%
-3.64% to -1.76%	348	9.94%	14.82%
-1.76% to 0.11%	1251	35.72%	50.54%
0.11% to 1.99%	1210	34.55%	85.09%
1.99% to 3.87%	378	10.79%	95.89%
3.87% to 5.75%	91	2.60%	98.49%
5.75% to 7.63%	28	0.80%	99.29%
Greater than 7.63%	25	0.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.39%	2.62%	80.93%	68.27%
±2σ	-4.89%	5.12%	95.77%	95.45%
±3σ	-7.40%	7.63%	98.66%	99.73%

Descriptive Statistics

均值	0.114%
Standard Error	0.042%
中位数	0.100%
Mode	0.000%
Standard Deviation	2.504%
Sample Variance	6.268%
峰度	19.97
偏度	0.43
Range	56.001%
Minimum	-26.390%
Maximum	29.611%
Count	3502

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.668%	1831	52.28%	0.872%
负向	-1.601%	1659	47.37%	-0.758%
Zero	0.000%	12	0.34%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.62%
20	1 Month	3.32%
60	1 Quarter	3.26%
250	1 Year	2.72%
750	3 Years	2.89%
1,250	5 Years	3.22%
2,500	10 Years	2.85%
5,000	20 Years	2.95%
12,500	50 Years	2.95%

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 2.24. Further, an Excess 峰度 of 10.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -1.95%	0	0.00%	0.00%
-1.95% to -0.79%	0	0.00%	0.00%
-0.79% to 0.37%	0	0.00%	0.00%
0.37% to 1.53%	693	19.78%	19.78%
1.53% to 2.69%	1464	41.79%	61.58%
2.69% to 3.85%	767	21.90%	83.47%
3.85% to 5.02%	323	9.22%	92.69%
5.02% to 6.18%	137	3.91%	96.60%
6.18% to 7.34%	62	1.77%	98.37%
Greater than 7.34%	57	1.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.15%	4.24%	79.08%	68.27%
±2σ	-0.40%	5.79%	95.89%	95.45%
±3σ	-1.95%	7.34%	98.37%	99.73%

Descriptive Statistics

均值	2.694%
Standard Error	0.026%
中位数	2.335%
Mode	2.173%
Standard Deviation	1.548%
Sample Variance	2.397%
峰度	10.05
偏度	2.24
Range	18.049%
Minimum	0.372%
Maximum	18.421%
Count	3503

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.694%	3503	100.00%	2.694%
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 0.17. Further, an Excess 峰度 of 2.91 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.41%	16	0.46%	0.46%
-5.41% to -4.06%	42	1.20%	1.66%
-4.06% to -2.70%	122	3.48%	5.14%
-2.70% to -1.35%	503	14.36%	19.50%
-1.35% to 0.01%	1105	31.54%	51.04%
0.01% to 1.36%	1063	30.35%	81.39%
1.36% to 2.72%	431	12.30%	93.69%
2.72% to 4.07%	146	4.17%	97.86%
4.07% to 5.43%	44	1.26%	99.12%
Greater than 5.43%	31	0.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.80%	1.81%	75.02%	68.27%
±2σ	-3.61%	3.62%	94.78%	95.45%
±3σ	-5.41%	5.43%	98.66%	99.73%

Descriptive Statistics

均值	0.008%
Standard Error	0.031%
中位数	-0.027%
Mode	0.000%
Standard Deviation	1.807%
Sample Variance	3.265%
峰度	2.91
偏度	0.17
Range	23.052%
Minimum	-13.060%
Maximum	9.992%
Count	3503

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.355%	1719	49.07%	0.665%
负向	-1.296%	1777	50.73%	-0.657%
Zero	0.000%	7	0.20%	0.000%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.62%	5	0.69%	0.69%
-15.62% to -11.58%	9	1.24%	1.93%
-11.58% to -7.53%	17	2.34%	4.26%
-7.53% to -3.49%	97	13.34%	17.61%
-3.49% to 0.56%	239	32.87%	50.48%
0.56% to 4.60%	241	33.15%	83.63%
4.60% to 8.65%	81	11.14%	94.77%
8.65% to 12.69%	22	3.03%	97.80%
12.69% to 16.74%	12	1.65%	99.45%
Greater than 16.74%	4	0.55%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.83%	5.95%	78.40%	68.27%
±2σ	-10.23%	11.34%	94.91%	95.45%
±3σ	-15.62%	16.74%	98.76%	99.73%

Descriptive Statistics

均值	0.558%
Standard Error	0.200%
中位数	0.526%
Mode	-0.900%
Standard Deviation	5.393%
Sample Variance	29.079%
峰度	5.83
偏度	0.07
Range	64.211%
Minimum	-28.203%
Maximum	36.008%
Count	727

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.909%	407	55.98%	2.188%
负向	-3.703%	320	44.02%	-1.630%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.02%
12	1 Quarter	8.34%
52	1 Year	6.62%
156	3 Years	7.01%
260	5 Years	7.85%
520	10 Years	6.88%
1,040	20 Years	7.16%
2,600	50 Years	7.16%

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 3.10. Further, an Excess 峰度 of 15.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.17%	0	0.00%	0.00%
-8.17% to -4.25%	0	0.00%	0.00%
-4.25% to -0.34%	0	0.00%	0.00%
-0.34% to 3.57%	110	15.11%	15.11%
3.57% to 7.48%	346	47.53%	62.64%
7.48% to 11.39%	172	23.63%	86.26%
11.39% to 15.30%	62	8.52%	94.78%
15.30% to 19.21%	12	1.65%	96.43%
19.21% to 23.12%	12	1.65%	98.08%
Greater than 23.12%	14	1.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.26%	12.69%	88.05%	68.27%
±2σ	-2.95%	17.91%	95.88%	95.45%
±3σ	-8.17%	23.12%	98.08%	99.73%

Descriptive Statistics

均值	7.479%
Standard Error	0.193%
中位数	6.231%
Mode	4.188%
Standard Deviation	5.215%
Sample Variance	27.195%
峰度	15.35
偏度	3.10
Range	48.139%
Minimum	1.267%
Maximum	49.406%
Count	728

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.479%	728	100.00%	7.479%
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 1.42. Further, an Excess 峰度 of 9.84 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.74%	2	0.27%	0.27%
-16.74% to -12.59%	4	0.55%	0.82%
-12.59% to -8.44%	19	2.61%	3.43%
-8.44% to -4.28%	95	13.05%	16.48%
-4.28% to -0.13%	270	37.09%	53.57%
-0.13% to 4.02%	217	29.81%	83.38%
4.02% to 8.18%	89	12.23%	95.60%
8.18% to 12.33%	15	2.06%	97.66%
12.33% to 16.48%	8	1.10%	98.76%
Greater than 16.48%	9	1.24%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.67%	5.41%	78.98%	68.27%
±2σ	-11.21%	10.95%	95.33%	95.45%
±3σ	-16.74%	16.48%	98.49%	99.73%

Descriptive Statistics

均值	-0.129%
Standard Error	0.205%
中位数	-0.443%
Mode	-3.698%
Standard Deviation	5.538%
Sample Variance	30.674%
峰度	9.84
偏度	1.42
Range	66.823%
Minimum	-26.334%
Maximum	40.489%
Count	728

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.111%	323	44.37%	1.824%
负向	-3.519%	404	55.49%	-1.953%
Zero	0.000%	1	0.14%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.23. Further, an Excess 峰度 of 2.32 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.41%	2	1.20%	1.20%
-30.41% to -22.18%	1	0.60%	1.80%
-22.18% to -13.96%	3	1.80%	3.59%
-13.96% to -5.74%	25	14.97%	18.56%
-5.74% to 2.48%	62	37.13%	55.69%
2.48% to 10.71%	45	26.95%	82.63%
10.71% to 18.93%	19	11.38%	94.01%
18.93% to 27.15%	7	4.19%	98.20%
27.15% to 35.37%	2	1.20%	99.40%
Greater than 35.37%	1	0.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.48%	13.45%	74.85%	68.27%
±2σ	-19.44%	24.41%	95.21%	95.45%
±3σ	-30.41%	35.37%	98.20%	99.73%

Descriptive Statistics

均值	2.483%
Standard Error	0.848%
中位数	1.790%
Mode	-32.634%
Standard Deviation	10.963%
Sample Variance	120.186%
峰度	2.32
偏度	0.23
Range	80.544%
Minimum	-32.634%
Maximum	47.910%
Count	167

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.736%	102	61.08%	5.336%
负向	-7.329%	65	38.92%	-2.853%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	19.90%
12	1 Year	15.55%
36	3 Years	15.50%
60	5 Years	17.47%
120	10 Years	15.27%
240	20 Years	15.96%
600	50 Years	15.96%

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 2.10. Further, an Excess 峰度 of 6.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.99%	0	0.00%	0.00%
-15.99% to -7.54%	0	0.00%	0.00%
-7.54% to 0.93%	0	0.00%	0.00%
0.93% to 9.38%	33	19.64%	19.64%
9.38% to 17.84%	70	41.67%	61.31%
17.84% to 26.30%	42	25.00%	86.31%
26.30% to 34.77%	12	7.14%	93.45%
34.77% to 43.23%	4	2.38%	95.83%
43.23% to 51.69%	2	1.19%	97.02%
Greater than 51.69%	5	2.98%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.56%	29.12%	82.74%	68.27%
±2σ	-4.71%	40.41%	95.83%	95.45%
±3σ	-15.99%	51.68%	97.02%	99.73%

Descriptive Statistics

均值	17.845%
Standard Error	0.870%
中位数	15.424%
Mode	3.817%
Standard Deviation	11.280%
Sample Variance	127.248%
峰度	6.08
偏度	2.10
Range	68.615%
Minimum	3.817%
Maximum	72.432%
Count	168

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.845%	168	100.00%	17.845%
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 1.36. Further, an Excess 峰度 of 4.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -35.46%	0	0.00%	0.00%
-35.46% to -26.80%	1	0.60%	0.60%
-26.80% to -18.13%	5	2.98%	3.57%
-18.13% to -9.46%	25	14.88%	18.45%
-9.46% to -0.79%	61	36.31%	54.76%
-0.79% to 7.87%	50	29.76%	84.52%
7.87% to 16.54%	18	10.71%	95.24%
16.54% to 25.21%	4	2.38%	97.62%
25.21% to 33.87%	0	0.00%	97.62%
Greater than 33.87%	4	2.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.35%	10.76%	76.19%	68.27%
±2σ	-23.91%	22.32%	96.43%	95.45%
±3σ	-35.46%	33.87%	97.62%	99.73%

Descriptive Statistics

均值	-0.794%
Standard Error	0.892%
中位数	-1.309%
Mode	-32.147%
Standard Deviation	11.556%
Sample Variance	133.548%
峰度	4.88
偏度	1.36
Range	81.206%
Minimum	-32.147%
Maximum	49.059%
Count	168

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.753%	70	41.67%	3.647%
负向	-7.613%	98	58.33%	-4.441%
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 0.36. Further, an Excess 峰度 of 1.09 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -51.51%	0	0.00%	0.00%
-51.51% to -36.56%	1	1.82%	1.82%
-36.56% to -21.61%	1	1.82%	3.64%
-21.61% to -6.66%	7	12.73%	16.36%
-6.66% to 8.29%	21	38.18%	54.55%
8.29% to 23.24%	14	25.45%	80.00%
23.24% to 38.19%	7	12.73%	92.73%
38.19% to 53.14%	2	3.64%	96.36%
53.14% to 68.09%	2	3.64%	100.00%
Greater than 68.09%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.64%	28.22%	74.55%	68.27%
±2σ	-31.57%	48.15%	92.73%	95.45%
±3σ	-51.51%	68.09%	100.00%	99.73%

Descriptive Statistics

均值	8.290%
Standard Error	2.688%
中位数	5.409%
Mode	-41.446%
Standard Deviation	19.932%
Sample Variance	397.294%
峰度	1.09
偏度	0.36
Range	102.767%
Minimum	-41.446%
Maximum	61.321%
Count	55

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.244%	38	69.09%	11.914%
负向	-11.725%	17	30.91%	-3.624%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	28.14%
12	3 Years	30.39%
20	5 Years	35.30%
40	10 Years	28.61%
80	20 Years	29.48%
200	50 Years	29.48%

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 1.64. Further, an Excess 峰度 of 2.66 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.02%	0	0.00%	0.00%
-29.02% to -12.82%	0	0.00%	0.00%
-12.82% to 3.39%	0	0.00%	0.00%
3.39% to 19.59%	11	19.64%	19.64%
19.59% to 35.80%	26	46.43%	66.07%
35.80% to 52.00%	9	16.07%	82.14%
52.00% to 68.20%	4	7.14%	89.29%
68.20% to 84.41%	3	5.36%	94.64%
84.41% to 100.61%	2	3.57%	98.21%
Greater than 100.61%	1	1.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	14.19%	57.40%	78.57%	68.27%
±2σ	-7.42%	79.01%	94.64%	95.45%
±3σ	-29.02%	100.61%	98.21%	99.73%

Descriptive Statistics

均值	35.795%
Standard Error	2.887%
中位数	29.595%
Mode	9.363%
Standard Deviation	21.606%
Sample Variance	466.833%
峰度	2.66
偏度	1.64
Range	98.874%
Minimum	9.363%
Maximum	108.237%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.795%	56	100.00%	35.795%
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 2.07. 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 -70.79%	0	0.00%	0.00%
-70.79% to -53.65%	0	0.00%	0.00%
-53.65% to -36.50%	2	3.57%	3.57%
-36.50% to -19.36%	8	14.29%	17.86%
-19.36% to -2.22%	24	42.86%	60.71%
-2.22% to 14.92%	16	28.57%	89.29%
14.92% to 32.06%	3	5.36%	94.64%
32.06% to 49.20%	0	0.00%	94.64%
49.20% to 66.34%	1	1.79%	96.43%
Greater than 66.34%	2	3.57%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.08%	20.63%	82.14%	68.27%
±2σ	-47.93%	43.49%	94.64%	95.45%
±3σ	-70.79%	66.34%	96.43%	99.73%

Descriptive Statistics

均值	-2.221%
Standard Error	3.054%
中位数	-4.723%
Mode	-38.403%
Standard Deviation	22.855%
Sample Variance	522.350%
峰度	6.44
偏度	2.07
Range	132.093%
Minimum	-38.403%
Maximum	93.690%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.954%	19	33.93%	6.431%
负向	-13.094%	37	66.07%	-8.651%
Zero	0.000%	0	0.00%	0.000%

META 深度分析报告