OKTA 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	3.34%	2.44%	2.81%	4.31%	4.32%	4.38%	72.77	79.33	69.69	82.84
周度	7.35%	6.93%	7.64%	10.27%	9.51%	9.64%	69.09	83.56	62.82	91.89
月度	14.24%	10.48%	13.16%	21.41%	19.79%	20.07%	62.34	92.61	51.14	112.88
季度	22.60%	22.57%	24.07%	34.38%	34.28%	34.76%	53.93	107.05	38.28	150.83
Annual	—	—	—	—	68.57%	69.52%	38.28	150.83	19.28	299.41
Option Time Horizon	—	—	—	—	26.13%	26.49%	58.51	98.67	45.06	128.13

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $75.98 | Strike (K): $77.50 (first OTM call ≥ spot) | Observed Mid-价格: $7.4250 (Bid $7.0500 / Ask $7.8000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 68.57% (CRR binomial tree, American, n=20 steps) | BS IV: 68.66% (European Black-Scholes) | Yahoo IV (Annual): 69.52% → 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 -0.07. Further, an Excess 峰度 of 10.64 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.90%	12	0.53%	0.53%
-9.90% to -7.40%	33	1.45%	1.98%
-7.40% to -4.90%	76	3.34%	5.32%
-4.90% to -2.39%	261	11.48%	16.81%
-2.39% to 0.11%	743	32.69%	49.49%
0.11% to 2.61%	778	34.23%	83.72%
2.61% to 5.11%	273	12.01%	95.73%
5.11% to 7.61%	62	2.73%	98.46%
7.61% to 10.12%	16	0.70%	99.16%
Greater than 10.12%	19	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.23%	3.44%	78.88%	68.27%
±2σ	-6.56%	6.78%	95.29%	95.45%
±3σ	-9.90%	10.12%	98.64%	99.73%

Descriptive Statistics

均值	0.108%
Standard Error	0.070%
中位数	0.133%
Mode	-0.872%
Standard Deviation	3.336%
Sample Variance	11.126%
峰度	10.64
偏度	-0.07
Range	60.161%
Minimum	-33.698%
Maximum	26.463%
Count	2273

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.292%	1196	52.62%	1.206%
负向	-2.324%	1074	47.25%	-1.098%
Zero	0.000%	3	0.13%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.00%
20	1 Month	5.64%
60	1 Quarter	5.25%
250	1 Year	3.73%
750	3 Years	3.63%
1,250	5 Years	4.31%
2,500	10 Years	4.45%
5,000	20 Years	4.45%
12,500	50 Years	4.45%

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 2.45. Further, an Excess 峰度 of 10.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.01%	0	0.00%	0.00%
-3.01% to -1.18%	0	0.00%	0.00%
-1.18% to 0.64%	0	0.00%	0.00%
0.64% to 2.47%	423	18.60%	18.60%
2.47% to 4.29%	998	43.89%	62.49%
4.29% to 6.12%	514	22.60%	85.09%
6.12% to 7.95%	170	7.48%	92.57%
7.95% to 9.77%	97	4.27%	96.83%
9.77% to 11.60%	33	1.45%	98.28%
Greater than 11.60%	39	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.86%	6.73%	82.50%	68.27%
±2σ	-0.58%	9.16%	95.91%	95.45%
±3σ	-3.01%	11.60%	98.28%	99.73%

Descriptive Statistics

均值	4.295%
Standard Error	0.051%
中位数	3.688%
Mode	2.776%
Standard Deviation	2.435%
Sample Variance	5.929%
峰度	10.10
偏度	2.45
Range	23.750%
Minimum	0.985%
Maximum	24.735%
Count	2274

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.295%	2274	100.00%	4.295%
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 0.43. Further, an Excess 峰度 of 2.83 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.38%	10	0.44%	0.44%
-8.38% to -6.27%	27	1.19%	1.63%
-6.27% to -4.17%	72	3.17%	4.79%
-4.17% to -2.07%	328	14.42%	19.22%
-2.07% to 0.04%	745	32.76%	51.98%
0.04% to 2.14%	677	29.77%	81.75%
2.14% to 4.25%	276	12.14%	93.89%
4.25% to 6.35%	92	4.05%	97.93%
6.35% to 8.45%	27	1.19%	99.12%
Greater than 8.45%	20	0.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.77%	2.84%	75.46%	68.27%
±2σ	-5.57%	5.65%	94.33%	95.45%
±3σ	-8.38%	8.45%	98.68%	99.73%

Descriptive Statistics

均值	0.038%
Standard Error	0.059%
中位数	-0.051%
Mode	0.000%
Standard Deviation	2.805%
Sample Variance	7.871%
峰度	2.83
偏度	0.43
Range	29.780%
Minimum	-12.439%
Maximum	17.341%
Count	2274

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.142%	1106	48.64%	1.042%
负向	-1.971%	1158	50.92%	-1.004%
Zero	0.000%	10	0.44%	0.000%

收盘-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 1.63 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.53%	3	0.64%	0.64%
-21.53% to -16.02%	6	1.27%	1.91%
-16.02% to -10.50%	19	4.03%	5.93%
-10.50% to -4.99%	62	13.14%	19.07%
-4.99% to 0.52%	141	29.87%	48.94%
0.52% to 6.04%	149	31.57%	80.51%
6.04% to 11.55%	67	14.19%	94.70%
11.55% to 17.07%	14	2.97%	97.67%
17.07% to 22.58%	8	1.69%	99.36%
Greater than 22.58%	3	0.64%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.83%	7.88%	75.00%	68.27%
±2σ	-14.18%	15.23%	94.07%	95.45%
±3σ	-21.53%	22.58%	98.73%	99.73%

Descriptive Statistics

均值	0.524%
Standard Error	0.338%
中位数	0.691%
Mode	-5.040%
Standard Deviation	7.352%
Sample Variance	54.055%
峰度	1.63
偏度	-0.13
Range	54.922%
Minimum	-28.346%
Maximum	26.576%
Count	472

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.481%	257	54.45%	2.984%
负向	-5.401%	215	45.55%	-2.460%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	15.20%
12	1 Quarter	12.69%
52	1 Year	8.54%
156	3 Years	8.74%
260	5 Years	10.27%
520	10 Years	10.52%
1,040	20 Years	10.52%
2,600	50 Years	10.52%

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 2.38. Further, an Excess 峰度 of 9.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.58%	0	0.00%	0.00%
-9.58% to -4.39%	0	0.00%	0.00%
-4.39% to 0.81%	0	0.00%	0.00%
0.81% to 6.01%	81	17.12%	17.12%
6.01% to 11.20%	222	46.93%	64.06%
11.20% to 16.40%	100	21.14%	85.20%
16.40% to 21.60%	29	6.13%	91.33%
21.60% to 26.79%	23	4.86%	96.19%
26.79% to 31.99%	9	1.90%	98.10%
Greater than 31.99%	9	1.90%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.27%	18.13%	82.24%	68.27%
±2σ	-2.66%	25.06%	95.77%	95.45%
±3σ	-9.58%	31.99%	98.10%	99.73%

Descriptive Statistics

均值	11.203%
Standard Error	0.319%
中位数	9.474%
Mode	5.106%
Standard Deviation	6.929%
Sample Variance	48.014%
峰度	9.18
偏度	2.38
Range	59.876%
Minimum	3.202%
Maximum	63.078%
Count	473

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.203%	473	100.00%	11.203%
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 1.11. Further, an Excess 峰度 of 4.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.80%	0	0.00%	0.00%
-22.80% to -17.07%	5	1.06%	1.06%
-17.07% to -11.33%	15	3.17%	4.23%
-11.33% to -5.60%	63	13.32%	17.55%
-5.60% to 0.13%	184	38.90%	56.45%
0.13% to 5.86%	125	26.43%	82.88%
5.86% to 11.59%	53	11.21%	94.08%
11.59% to 17.33%	16	3.38%	97.46%
17.33% to 23.06%	5	1.06%	98.52%
Greater than 23.06%	7	1.48%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.51%	7.77%	77.38%	68.27%
±2σ	-15.16%	15.42%	95.14%	95.45%
±3σ	-22.80%	23.06%	98.52%	99.73%

Descriptive Statistics

均值	0.130%
Standard Error	0.351%
中位数	-0.740%
Mode	-1.971%
Standard Deviation	7.643%
Sample Variance	58.417%
峰度	4.00
偏度	1.11
Range	62.000%
Minimum	-20.657%
Maximum	41.343%
Count	473

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.188%	212	44.82%	2.773%
负向	-4.809%	260	54.97%	-2.643%
Zero	0.000%	1	0.21%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.18. Further, an Excess 峰度 of 0.15 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.73%	0	0.00%	0.00%
-40.73% to -30.05%	2	1.85%	1.85%
-30.05% to -19.37%	4	3.70%	5.56%
-19.37% to -8.69%	17	15.74%	21.30%
-8.69% to 1.99%	37	34.26%	55.56%
1.99% to 12.67%	28	25.93%	81.48%
12.67% to 23.35%	9	8.33%	89.81%
23.35% to 34.04%	10	9.26%	99.07%
34.04% to 44.72%	1	0.93%	100.00%
Greater than 44.72%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.25%	16.23%	68.52%	68.27%
±2σ	-26.49%	30.48%	94.44%	95.45%
±3σ	-40.73%	44.72%	100.00%	99.73%

Descriptive Statistics

均值	1.991%
Standard Error	1.370%
中位数	0.294%
Mode	-37.779%
Standard Deviation	14.242%
Sample Variance	202.821%
峰度	0.15
偏度	0.18
Range	72.798%
Minimum	-37.779%
Maximum	35.019%
Count	108

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.148%	57	52.78%	6.411%
负向	-9.360%	51	47.22%	-4.420%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	22.08%
12	1 Year	16.75%
36	3 Years	19.01%
60	5 Years	21.41%
120	10 Years	22.28%
240	20 Years	22.28%
600	50 Years	22.28%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.98. Further, an Excess 峰度 of 1.10 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.93%	0	0.00%	0.00%
-6.93% to 0.93%	0	0.00%	0.00%
0.93% to 8.79%	1	0.92%	0.92%
8.79% to 16.65%	25	22.94%	23.85%
16.65% to 24.51%	36	33.03%	56.88%
24.51% to 32.37%	24	22.02%	78.90%
32.37% to 40.23%	13	11.93%	90.83%
40.23% to 48.09%	7	6.42%	97.25%
48.09% to 55.95%	2	1.83%	99.08%
Greater than 55.95%	1	0.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	14.03%	34.99%	66.06%	68.27%
±2σ	3.55%	45.47%	97.25%	95.45%
±3σ	-6.93%	55.95%	99.08%	99.73%

Descriptive Statistics

均值	24.510%
Standard Error	1.004%
中位数	23.182%
Mode	7.417%
Standard Deviation	10.480%
Sample Variance	109.840%
峰度	1.10
偏度	0.98
Range	55.289%
Minimum	7.417%
Maximum	62.706%
Count	109

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.510%	109	100.00%	24.510%
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 0.31. Further, an Excess 峰度 of 0.35 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.67%	0	0.00%	0.00%
-39.67% to -29.80%	0	0.00%	0.00%
-29.80% to -19.93%	8	7.34%	7.34%
-19.93% to -10.07%	11	10.09%	17.43%
-10.07% to -0.20%	36	33.03%	50.46%
-0.20% to 9.67%	33	30.28%	80.73%
9.67% to 19.53%	10	9.17%	89.91%
19.53% to 29.40%	10	9.17%	99.08%
29.40% to 39.27%	0	0.00%	99.08%
Greater than 39.27%	1	0.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.36%	12.96%	70.64%	68.27%
±2σ	-26.51%	26.11%	97.25%	95.45%
±3σ	-39.67%	39.27%	99.08%	99.73%

Descriptive Statistics

均值	-0.200%
Standard Error	1.260%
中位数	-0.283%
Mode	-25.877%
Standard Deviation	13.156%
Sample Variance	173.077%
峰度	0.35
偏度	0.31
Range	68.454%
Minimum	-25.877%
Maximum	42.577%
Count	109

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.184%	53	48.62%	4.952%
负向	-10.028%	56	51.38%	-5.152%
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 -0.11. Further, an Excess 峰度 of -0.57 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -62.28%	0	0.00%	0.00%
-62.28% to -45.33%	0	0.00%	0.00%
-45.33% to -28.38%	2	5.56%	5.56%
-28.38% to -11.43%	7	19.44%	25.00%
-11.43% to 5.52%	10	27.78%	52.78%
5.52% to 22.48%	7	19.44%	72.22%
22.48% to 39.43%	7	19.44%	91.67%
39.43% to 56.38%	3	8.33%	100.00%
56.38% to 73.33%	0	0.00%	100.00%
Greater than 73.33%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.08%	28.13%	69.44%	68.27%
±2σ	-39.68%	50.73%	94.44%	95.45%
±3σ	-62.28%	73.33%	100.00%	99.73%

Descriptive Statistics

均值	5.524%
Standard Error	3.767%
中位数	2.980%
Mode	-42.996%
Standard Deviation	22.602%
Sample Variance	510.863%
峰度	-0.57
偏度	-0.11
Range	89.050%
Minimum	-42.996%
Maximum	46.054%
Count	36

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.221%	20	55.56%	12.345%
负向	-15.348%	16	44.44%	-6.821%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	25.69%
12	3 Years	31.18%
20	5 Years	34.38%
40	10 Years	38.03%
80	20 Years	38.03%
200	50 Years	38.03%

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 1.90. Further, an Excess 峰度 of 5.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.29%	0	0.00%	0.00%
-21.29% to -4.37%	0	0.00%	0.00%
-4.37% to 12.56%	0	0.00%	0.00%
12.56% to 29.48%	7	18.92%	18.92%
29.48% to 46.41%	16	43.24%	62.16%
46.41% to 63.33%	9	24.32%	86.49%
63.33% to 80.25%	3	8.11%	94.59%
80.25% to 97.18%	1	2.70%	97.30%
97.18% to 114.10%	0	0.00%	97.30%
Greater than 114.10%	1	2.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	23.84%	68.97%	78.38%	68.27%
±2σ	1.27%	91.54%	94.59%	95.45%
±3σ	-21.29%	114.10%	97.30%	99.73%

Descriptive Statistics

均值	46.405%
Standard Error	3.710%
中位数	43.058%
Mode	14.632%
Standard Deviation	22.566%
Sample Variance	509.241%
峰度	5.40
偏度	1.90
Range	118.729%
Minimum	14.632%
Maximum	133.361%
Count	37

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	46.405%	37	100.00%	46.405%
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 1.30. Further, an Excess 峰度 of 2.16 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -72.55%	0	0.00%	0.00%
-72.55% to -54.50%	0	0.00%	0.00%
-54.50% to -36.45%	0	0.00%	0.00%
-36.45% to -18.40%	9	24.32%	24.32%
-18.40% to -0.35%	11	29.73%	54.05%
-0.35% to 17.70%	10	27.03%	81.08%
17.70% to 35.75%	5	13.51%	94.59%
35.75% to 53.80%	0	0.00%	94.59%
53.80% to 71.86%	1	2.70%	97.30%
Greater than 71.86%	1	2.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.41%	23.72%	81.08%	68.27%
±2σ	-48.48%	47.79%	94.59%	95.45%
±3σ	-72.55%	71.85%	97.30%	99.73%

Descriptive Statistics

均值	-0.346%
Standard Error	3.957%
中位数	-3.333%
Mode	-32.713%
Standard Deviation	24.067%
Sample Variance	579.216%
峰度	2.16
偏度	1.30
Range	105.397%
Minimum	-32.713%
Maximum	72.684%
Count	37

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.728%	17	45.95%	9.064%
负向	-17.409%	20	54.05%	-9.410%
Zero	0.000%	0	0.00%	0.000%

OKTA 深度分析报告