NFLX 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	3.44%	2.62%	2.73%	3.24%	1.87%	1.98%	90.73	94.18	89.05	95.96
周度	7.92%	8.15%	8.11%	7.75%	4.11%	4.36%	88.72	96.32	85.14	100.36
月度	15.76%	18.04%	17.13%	17.29%	8.56%	9.08%	84.86	100.70	77.90	109.70
季度	30.51%	38.77%	37.42%	33.67%	14.82%	15.74%	79.71	107.21	68.73	124.34
Annual	—	—	—	—	29.64%	31.47%	68.73	124.34	51.09	167.24
Option Time Horizon	—	—	—	—	11.30%	11.99%	82.57	103.49	73.75	115.87

Calculation Notes: Computed at 2026-04-26T02:44 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $92.44 | Strike (K): $93.00 (first OTM call ≥ spot) | Observed Mid-价格: $4.1250 (Bid $4.0500 / Ask $4.2000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 29.64% (CRR binomial tree, American, n=20 steps) | BS IV: 29.58% (European Black-Scholes) | Yahoo IV (Annual): 31.47% → 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 0.14. Further, an Excess 峰度 of 19.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.14%	36	0.60%	0.60%
-10.14% to -7.57%	50	0.83%	1.43%
-7.57% to -4.99%	135	2.24%	3.67%
-4.99% to -2.41%	629	10.45%	14.12%
-2.41% to 0.17%	2311	38.40%	52.53%
0.17% to 2.75%	2000	33.23%	85.76%
2.75% to 5.33%	577	9.59%	95.35%
5.33% to 7.91%	171	2.84%	98.19%
7.91% to 10.48%	50	0.83%	99.02%
Greater than 10.48%	59	0.98%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.27%	3.61%	81.56%	68.27%
±2σ	-6.71%	7.05%	95.96%	95.45%
±3σ	-10.14%	10.48%	98.42%	99.73%

Descriptive Statistics

均值	0.170%
Standard Error	0.044%
中位数	0.036%
Mode	0.000%
Standard Deviation	3.438%
Sample Variance	11.817%
峰度	19.28
偏度	0.14
Range	83.130%
Minimum	-40.906%
Maximum	42.224%
Count	6018

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.340%	3047	50.63%	1.185%
负向	-2.067%	2954	49.09%	-1.015%
Zero	0.000%	17	0.28%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.50%
20	1 Month	3.27%
60	1 Quarter	3.30%
250	1 Year	2.68%
750	3 Years	2.77%
1,250	5 Years	3.24%
2,500	10 Years	3.24%
5,000	20 Years	3.77%
12,500	50 Years	4.13%

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 3.55. Further, an Excess 峰度 of 30.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.93%	0	0.00%	0.00%
-3.93% to -1.97%	0	0.00%	0.00%
-1.97% to -0.01%	0	0.00%	0.00%
-0.01% to 1.96%	964	16.02%	16.02%
1.96% to 3.92%	2815	46.77%	62.78%
3.92% to 5.88%	1336	22.20%	84.98%
5.88% to 7.84%	533	8.86%	93.84%
7.84% to 9.80%	189	3.14%	96.98%
9.80% to 11.76%	81	1.35%	98.32%
Greater than 11.76%	101	1.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.30%	6.53%	85.96%	68.27%
±2σ	-1.31%	9.15%	96.30%	95.45%
±3σ	-3.93%	11.76%	98.32%	99.73%

Descriptive Statistics

均值	3.917%
Standard Error	0.034%
中位数	3.254%
Mode	1.735%
Standard Deviation	2.615%
Sample Variance	6.836%
峰度	30.23
偏度	3.55
Range	50.935%
Minimum	0.611%
Maximum	51.546%
Count	6019

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.917%	6019	100.00%	3.917%
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 0.10. Further, an Excess 峰度 of 6.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.18%	43	0.71%	0.71%
-8.18% to -6.14%	65	1.08%	1.79%
-6.14% to -4.09%	203	3.37%	5.17%
-4.09% to -2.05%	731	12.14%	17.31%
-2.05% to -0.01%	1926	32.00%	49.31%
-0.01% to 2.04%	2055	34.14%	83.45%
2.04% to 4.08%	683	11.35%	94.80%
4.08% to 6.13%	209	3.47%	98.27%
6.13% to 8.17%	57	0.95%	99.22%
Greater than 8.17%	47	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.73%	2.72%	77.72%	68.27%
±2σ	-5.46%	5.45%	94.90%	95.45%
±3σ	-8.18%	8.17%	98.50%	99.73%

Descriptive Statistics

均值	-0.006%
Standard Error	0.035%
中位数	0.025%
Mode	0.000%
Standard Deviation	2.726%
Sample Variance	7.433%
峰度	6.49
偏度	0.10
Range	45.880%
Minimum	-25.388%
Maximum	20.492%
Count	6019

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.897%	3029	50.32%	0.955%
负向	-1.945%	2973	49.39%	-0.961%
Zero	0.000%	17	0.28%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.39. Further, an Excess 峰度 of 7.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.92%	10	0.80%	0.80%
-22.92% to -16.98%	9	0.72%	1.52%
-16.98% to -11.04%	35	2.80%	4.33%
-11.04% to -5.09%	136	10.90%	15.22%
-5.09% to 0.85%	470	37.66%	52.88%
0.85% to 6.79%	400	32.05%	84.94%
6.79% to 12.73%	116	9.29%	94.23%
12.73% to 18.67%	44	3.53%	97.76%
18.67% to 24.61%	14	1.12%	98.88%
Greater than 24.61%	14	1.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.07%	8.77%	79.49%	68.27%
±2σ	-15.00%	16.69%	95.27%	95.45%
±3σ	-22.92%	24.61%	98.08%	99.73%

Descriptive Statistics

均值	0.847%
Standard Error	0.224%
中位数	0.552%
Mode	-10.366%
Standard Deviation	7.921%
Sample Variance	62.743%
峰度	7.42
偏度	0.39
Range	106.840%
Minimum	-43.373%
Maximum	63.467%
Count	1248

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.675%	679	54.41%	3.088%
负向	-4.922%	568	45.51%	-2.240%
Zero	0.000%	1	0.08%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.73%
12	1 Quarter	8.97%
52	1 Year	6.42%
156	3 Years	6.62%
260	5 Years	7.75%
520	10 Years	7.71%
1,040	20 Years	9.09%
2,600	50 Years	9.96%

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 3.83. Further, an Excess 峰度 of 23.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.02%	0	0.00%	0.00%
-14.02% to -7.91%	0	0.00%	0.00%
-7.91% to -1.80%	0	0.00%	0.00%
-1.80% to 4.31%	141	11.29%	11.29%
4.31% to 10.42%	668	53.48%	64.77%
10.42% to 16.53%	275	22.02%	86.79%
16.53% to 22.64%	97	7.77%	94.56%
22.64% to 28.75%	31	2.48%	97.04%
28.75% to 34.87%	17	1.36%	98.40%
Greater than 34.87%	20	1.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.28%	18.57%	89.51%	68.27%
±2σ	-5.87%	26.72%	96.48%	95.45%
±3σ	-14.02%	34.87%	98.40%	99.73%

Descriptive Statistics

均值	10.424%
Standard Error	0.231%
中位数	8.397%
Mode	5.904%
Standard Deviation	8.147%
Sample Variance	66.377%
峰度	23.99
偏度	3.83
Range	83.787%
Minimum	2.009%
Maximum	85.796%
Count	1249

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.424%	1249	100.00%	10.424%
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 2.38. Further, an Excess 峰度 of 20.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.48%	3	0.24%	0.24%
-24.48% to -18.40%	10	0.80%	1.04%
-18.40% to -12.32%	34	2.72%	3.76%
-12.32% to -6.23%	133	10.65%	14.41%
-6.23% to -0.15%	481	38.51%	52.92%
-0.15% to 5.93%	420	33.63%	86.55%
5.93% to 12.02%	117	9.37%	95.92%
12.02% to 18.10%	27	2.16%	98.08%
18.10% to 24.18%	11	0.88%	98.96%
Greater than 24.18%	13	1.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.26%	7.96%	81.51%	68.27%
±2σ	-16.37%	16.07%	96.48%	95.45%
±3σ	-24.48%	24.18%	98.72%	99.73%

Descriptive Statistics

均值	-0.149%
Standard Error	0.229%
中位数	-0.497%
Mode	-5.964%
Standard Deviation	8.111%
Sample Variance	65.782%
峰度	20.35
偏度	2.38
Range	120.494%
Minimum	-38.529%
Maximum	81.965%
Count	1249

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.485%	570	45.64%	2.503%
负向	-4.892%	677	54.20%	-2.652%
Zero	0.000%	2	0.16%	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 0.59. Further, an Excess 峰度 of 4.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.69%	2	0.70%	0.70%
-43.69% to -31.87%	3	1.05%	1.74%
-31.87% to -20.05%	9	3.14%	4.88%
-20.05% to -8.23%	34	11.85%	16.72%
-8.23% to 3.59%	99	34.49%	51.22%
3.59% to 15.41%	92	32.06%	83.28%
15.41% to 27.23%	32	11.15%	94.43%
27.23% to 39.05%	11	3.83%	98.26%
39.05% to 50.87%	2	0.70%	98.95%
Greater than 50.87%	3	1.05%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.17%	19.35%	77.70%	68.27%
±2σ	-27.93%	35.11%	95.82%	95.45%
±3σ	-43.69%	50.87%	98.26%	99.73%

Descriptive Statistics

均值	3.591%
Standard Error	0.930%
中位数	2.930%
Mode	1.129%
Standard Deviation	15.760%
Sample Variance	248.381%
峰度	4.29
偏度	0.59
Range	130.266%
Minimum	-51.802%
Maximum	78.464%
Count	287

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.551%	172	59.93%	7.522%
负向	-9.811%	115	40.07%	-3.931%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	17.93%
12	1 Year	13.63%
36	3 Years	15.26%
60	5 Years	17.29%
120	10 Years	17.15%
240	20 Years	20.68%
600	50 Years	22.58%

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 2.56. 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 -28.09%	0	0.00%	0.00%
-28.09% to -14.56%	0	0.00%	0.00%
-14.56% to -1.03%	0	0.00%	0.00%
-1.03% to 12.49%	47	16.32%	16.32%
12.49% to 26.02%	135	46.88%	63.19%
26.02% to 39.55%	65	22.57%	85.76%
39.55% to 53.08%	26	9.03%	94.79%
53.08% to 66.60%	3	1.04%	95.83%
66.60% to 80.13%	4	1.39%	97.22%
Greater than 80.13%	8	2.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.98%	44.06%	87.50%	68.27%
±2σ	-10.05%	62.09%	95.83%	95.45%
±3σ	-28.09%	80.13%	97.22%	99.73%

Descriptive Statistics

均值	26.021%
Standard Error	1.063%
中位数	21.416%
Mode	29.251%
Standard Deviation	18.036%
Sample Variance	325.307%
峰度	8.72
偏度	2.56
Range	116.631%
Minimum	4.962%
Maximum	121.593%
Count	288

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	26.021%	288	100.00%	26.021%
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 2.37. Further, an Excess 峰度 of 11.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -52.26%	0	0.00%	0.00%
-52.26% to -39.41%	3	1.04%	1.04%
-39.41% to -26.56%	2	0.69%	1.74%
-26.56% to -13.72%	36	12.50%	14.24%
-13.72% to -0.87%	126	43.75%	57.99%
-0.87% to 11.97%	82	28.47%	86.46%
11.97% to 24.82%	26	9.03%	95.49%
24.82% to 37.67%	4	1.39%	96.88%
37.67% to 50.51%	5	1.74%	98.61%
Greater than 50.51%	4	1.39%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.00%	16.26%	83.68%	68.27%
±2σ	-35.13%	33.38%	95.49%	95.45%
±3σ	-52.26%	50.51%	98.61%	99.73%

Descriptive Statistics

均值	-0.871%
Standard Error	1.009%
中位数	-2.827%
Mode	-42.381%
Standard Deviation	17.128%
Sample Variance	293.367%
峰度	11.62
偏度	2.37
Range	149.435%
Minimum	-42.381%
Maximum	107.054%
Count	288

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.423%	112	38.89%	5.220%
负向	-9.968%	176	61.11%	-6.092%
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 0.45. Further, an Excess 峰度 of 1.88 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -79.58%	0	0.00%	0.00%
-79.58% to -56.70%	1	1.05%	1.05%
-56.70% to -33.81%	3	3.16%	4.21%
-33.81% to -10.93%	14	14.74%	18.95%
-10.93% to 11.95%	28	29.47%	48.42%
11.95% to 34.83%	33	34.74%	83.16%
34.83% to 57.71%	10	10.53%	93.68%
57.71% to 80.59%	4	4.21%	97.89%
80.59% to 103.47%	0	0.00%	97.89%
Greater than 103.47%	2	2.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.56%	42.45%	73.68%	68.27%
±2σ	-49.07%	72.96%	94.74%	95.45%
±3σ	-79.58%	103.47%	97.89%	99.73%

Descriptive Statistics

均值	11.947%
Standard Error	3.130%
中位数	12.499%
Mode	-69.142%
Standard Deviation	30.508%
Sample Variance	930.749%
峰度	1.88
偏度	0.45
Range	187.844%
Minimum	-69.142%
Maximum	118.702%
Count	95

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.565%	63	66.32%	18.280%
负向	-18.800%	32	33.68%	-6.333%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	27.01%
12	3 Years	30.40%
20	5 Years	33.67%
40	10 Years	31.86%
80	20 Years	39.63%
200	50 Years	43.33%

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 2.67. Further, an Excess 峰度 of 9.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -61.28%	0	0.00%	0.00%
-61.28% to -32.20%	0	0.00%	0.00%
-32.20% to -3.12%	0	0.00%	0.00%
-3.12% to 25.96%	11	11.46%	11.46%
25.96% to 55.04%	55	57.29%	68.75%
55.04% to 84.12%	15	15.62%	84.38%
84.12% to 113.20%	8	8.33%	92.71%
113.20% to 142.28%	3	3.12%	95.83%
142.28% to 171.36%	2	2.08%	97.92%
Greater than 171.36%	2	2.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.26%	93.81%	85.42%	68.27%
±2σ	-22.51%	132.59%	94.79%	95.45%
±3σ	-61.29%	171.36%	97.92%	99.73%

Descriptive Statistics

均值	55.037%
Standard Error	3.957%
中位数	44.483%
Mode	11.037%
Standard Deviation	38.774%
Sample Variance	1503.409%
峰度	9.63
偏度	2.67
Range	251.926%
Minimum	11.037%
Maximum	262.963%
Count	96

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	55.037%	96	100.00%	55.037%
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 3.21. Further, an Excess 峰度 of 15.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -114.12%	0	0.00%	0.00%
-114.12% to -86.06%	0	0.00%	0.00%
-86.06% to -57.99%	0	0.00%	0.00%
-57.99% to -29.93%	11	11.46%	11.46%
-29.93% to -1.86%	49	51.04%	62.50%
-1.86% to 26.20%	24	25.00%	87.50%
26.20% to 54.27%	8	8.33%	95.83%
54.27% to 82.33%	1	1.04%	96.88%
82.33% to 110.40%	1	1.04%	97.92%
Greater than 110.40%	2	2.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-39.28%	35.56%	85.42%	68.27%
±2σ	-76.70%	72.98%	96.88%	95.45%
±3σ	-114.12%	110.40%	97.92%	99.73%

Descriptive Statistics

均值	-1.863%
Standard Error	3.819%
中位数	-10.361%
Mode	-54.764%
Standard Deviation	37.420%
Sample Variance	1400.267%
峰度	15.58
偏度	3.21
Range	281.933%
Minimum	-54.764%
Maximum	227.169%
Count	96

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	31.959%	33	34.38%	10.986%
负向	-19.579%	63	65.62%	-12.849%
Zero	0.000%	0	0.00%	0.000%

NFLX 深度分析报告