ORLY 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	2.07%	1.93%	1.92%	2.01%	1.81%	2.00%	91.46	94.83	89.82	96.57
周度	4.50%	4.53%	4.41%	4.60%	3.99%	4.40%	89.49	96.92	85.99	100.86
月度	8.39%	9.88%	8.29%	9.81%	8.30%	9.16%	85.71	101.19	78.88	109.95
季度	13.42%	15.69%	13.02%	15.93%	14.38%	15.86%	80.66	107.53	69.85	124.16
Annual	—	—	—	—	28.76%	31.71%	69.85	124.16	52.40	165.53
Option Time Horizon	—	—	—	—	10.96%	12.09%	83.46	103.92	74.80	115.95

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $93.13 | Strike (K): $95.00 (first OTM call ≥ spot) | Observed Mid-价格: $3.5000 (Bid $3.3000 / Ask $3.7000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 28.76% (CRR binomial tree, American, n=20 steps) | BS IV: 29.08% (European Black-Scholes) | Yahoo IV (Annual): 31.71% → 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 0.41. Further, an Excess 峰度 of 10.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.11%	58	0.70%	0.70%
-6.11% to -4.55%	75	0.91%	1.61%
-4.55% to -3.00%	228	2.76%	4.38%
-3.00% to -1.45%	917	11.12%	15.50%
-1.45% to 0.10%	3011	36.51%	52.01%
0.10% to 1.65%	2702	32.77%	84.78%
1.65% to 3.20%	870	10.55%	95.33%
3.20% to 4.75%	224	2.72%	98.05%
4.75% to 6.30%	78	0.95%	98.99%
Greater than 6.30%	83	1.01%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.97%	2.17%	80.49%	68.27%
±2σ	-4.04%	4.24%	95.38%	95.45%
±3σ	-6.11%	6.30%	98.29%	99.73%

Descriptive Statistics

均值	0.099%
Standard Error	0.023%
中位数	0.029%
Mode	0.000%
Standard Deviation	2.068%
Sample Variance	4.278%
峰度	10.04
偏度	0.41
Range	39.094%
Minimum	-18.892%
Maximum	20.202%
Count	8246

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.448%	4173	50.61%	0.733%
负向	-1.393%	3754	45.52%	-0.634%
Zero	0.000%	319	3.87%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	1.91%
20	1 Month	1.93%
60	1 Quarter	2.36%
250	1 Year	2.02%
750	3 Years	1.92%
1,250	5 Years	2.01%
2,500	10 Years	2.18%
5,000	20 Years	2.31%
12,500	50 Years	2.72%

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 3.73. Further, an Excess 峰度 of 32.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.12%	0	0.00%	0.00%
-3.12% to -1.67%	0	0.00%	0.00%
-1.67% to -0.23%	0	0.00%	0.00%
-0.23% to 1.22%	1028	12.47%	12.47%
1.22% to 2.67%	4444	53.89%	66.35%
2.67% to 4.11%	1624	19.69%	86.04%
4.11% to 5.56%	611	7.41%	93.45%
5.56% to 7.00%	262	3.18%	96.63%
7.00% to 8.45%	98	1.19%	97.82%
Greater than 8.45%	180	2.18%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.74%	4.59%	88.31%	68.27%
±2σ	-1.19%	6.52%	95.88%	95.45%
±3σ	-3.12%	8.45%	97.82%	99.73%

Descriptive Statistics

均值	2.666%
Standard Error	0.021%
中位数	2.145%
Mode	2.632%
Standard Deviation	1.928%
Sample Variance	3.715%
峰度	32.70
偏度	3.73
Range	41.650%
Minimum	0.285%
Maximum	41.935%
Count	8247

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.666%	8247	100.00%	2.666%
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 9.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.80%	72	0.87%	0.87%
-5.80% to -4.37%	64	0.78%	1.65%
-4.37% to -2.93%	258	3.13%	4.78%
-2.93% to -1.49%	903	10.95%	15.73%
-1.49% to -0.05%	2747	33.31%	49.04%
-0.05% to 1.39%	2875	34.86%	83.90%
1.39% to 2.83%	938	11.37%	95.27%
2.83% to 4.27%	249	3.02%	98.29%
4.27% to 5.71%	71	0.86%	99.15%
Greater than 5.71%	70	0.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.97%	1.87%	78.40%	68.27%
±2σ	-3.89%	3.79%	95.49%	95.45%
±3σ	-5.80%	5.71%	98.28%	99.73%

Descriptive Statistics

均值	-0.048%
Standard Error	0.021%
中位数	-0.008%
Mode	0.000%
Standard Deviation	1.919%
Sample Variance	3.683%
峰度	9.39
偏度	0.15
Range	38.807%
Minimum	-20.625%
Maximum	18.182%
Count	8247

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.364%	3763	45.63%	0.622%
负向	-1.338%	4136	50.15%	-0.671%
Zero	0.000%	348	4.22%	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 0.64. Further, an Excess 峰度 of 7.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.03%	12	0.70%	0.70%
-13.03% to -9.66%	16	0.93%	1.63%
-9.66% to -6.28%	44	2.56%	4.18%
-6.28% to -2.90%	208	12.08%	16.26%
-2.90% to 0.47%	630	36.59%	52.85%
0.47% to 3.85%	535	31.07%	83.91%
3.85% to 7.22%	190	11.03%	94.95%
7.22% to 10.60%	49	2.85%	97.79%
10.60% to 13.98%	15	0.87%	98.66%
Greater than 13.98%	23	1.34%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.03%	4.97%	79.33%	68.27%
±2σ	-8.53%	9.48%	94.95%	95.45%
±3σ	-13.03%	13.98%	97.97%	99.73%

Descriptive Statistics

均值	0.472%
Standard Error	0.108%
中位数	0.233%
Mode	0.000%
Standard Deviation	4.502%
Sample Variance	20.270%
峰度	7.16
偏度	0.64
Range	60.092%
Minimum	-22.222%
Maximum	37.870%
Count	1722

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.298%	923	53.60%	1.768%
负向	-2.876%	776	45.06%	-1.296%
Zero	0.000%	23	1.34%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	3.07%
12	1 Quarter	4.95%
52	1 Year	4.68%
156	3 Years	4.37%
260	5 Years	4.60%
520	10 Years	4.99%
1,040	20 Years	5.27%
2,600	50 Years	6.07%

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 2.77. Further, an Excess 峰度 of 11.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.29%	0	0.00%	0.00%
-7.29% to -3.90%	0	0.00%	0.00%
-3.90% to -0.50%	0	0.00%	0.00%
-0.50% to 2.89%	244	14.16%	14.16%
2.89% to 6.29%	891	51.71%	65.87%
6.29% to 9.68%	337	19.56%	85.43%
9.68% to 13.07%	126	7.31%	92.75%
13.07% to 16.47%	58	3.37%	96.11%
16.47% to 19.86%	33	1.92%	98.03%
Greater than 19.86%	34	1.97%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.76%	10.81%	87.17%	68.27%
±2σ	-2.76%	15.34%	95.59%	95.45%
±3σ	-7.29%	19.86%	98.03%	99.73%

Descriptive Statistics

均值	6.286%
Standard Error	0.109%
中位数	4.965%
Mode	2.632%
Standard Deviation	4.525%
Sample Variance	20.474%
峰度	11.90
偏度	2.77
Range	42.217%
Minimum	1.331%
Maximum	43.548%
Count	1723

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.286%	1723	100.00%	6.286%
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 6.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.46%	10	0.58%	0.58%
-13.46% to -10.16%	21	1.22%	1.80%
-10.16% to -6.85%	52	3.02%	4.82%
-6.85% to -3.55%	207	12.01%	16.83%
-3.55% to -0.24%	574	33.31%	50.15%
-0.24% to 3.06%	597	34.65%	84.79%
3.06% to 6.37%	178	10.33%	95.12%
6.37% to 9.67%	45	2.61%	97.74%
9.67% to 12.98%	22	1.28%	99.01%
Greater than 12.98%	17	0.99%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.65%	4.17%	78.82%	68.27%
±2σ	-9.06%	8.57%	94.83%	95.45%
±3σ	-13.46%	12.98%	98.43%	99.73%

Descriptive Statistics

均值	-0.242%
Standard Error	0.106%
中位数	-0.245%
Mode	0.000%
Standard Deviation	4.407%
Sample Variance	19.424%
峰度	6.00
偏度	0.59
Range	55.838%
Minimum	-25.751%
Maximum	30.087%
Count	1723

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.036%	790	45.85%	1.392%
负向	-3.114%	904	52.47%	-1.634%
Zero	0.000%	29	1.68%	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 0.86. Further, an Excess 峰度 of 7.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.22%	1	0.25%	0.25%
-23.22% to -16.92%	2	0.51%	0.76%
-16.92% to -10.63%	12	3.03%	3.79%
-10.63% to -4.33%	59	14.90%	18.69%
-4.33% to 1.97%	134	33.84%	52.53%
1.97% to 8.26%	118	29.80%	82.32%
8.26% to 14.56%	49	12.37%	94.70%
14.56% to 20.85%	14	3.54%	98.23%
20.85% to 27.15%	4	1.01%	99.24%
Greater than 27.15%	3	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.43%	10.36%	74.49%	68.27%
±2σ	-14.82%	18.75%	96.46%	95.45%
±3σ	-23.22%	27.15%	98.99%	99.73%

Descriptive Statistics

均值	1.965%
Standard Error	0.422%
中位数	1.664%
Mode	0.000%
Standard Deviation	8.394%
Sample Variance	70.465%
峰度	7.31
偏度	0.86
Range	99.856%
Minimum	-38.954%
Maximum	60.902%
Count	396

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.782%	238	60.10%	4.076%
负向	-5.358%	156	39.39%	-2.111%
Zero	0.000%	2	0.51%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	7.78%
12	1 Year	9.84%
36	3 Years	9.35%
60	5 Years	9.81%
120	10 Years	10.64%
240	20 Years	11.05%
600	50 Years	12.78%

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 3.85. Further, an Excess 峰度 of 24.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.76%	0	0.00%	0.00%
-15.76% to -8.35%	0	0.00%	0.00%
-8.35% to -0.94%	0	0.00%	0.00%
-0.94% to 6.47%	42	10.58%	10.58%
6.47% to 13.89%	211	53.15%	63.73%
13.89% to 21.30%	91	22.92%	86.65%
21.30% to 28.71%	30	7.56%	94.21%
28.71% to 36.12%	10	2.52%	96.73%
36.12% to 43.53%	7	1.76%	98.49%
Greater than 43.53%	6	1.51%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.00%	23.77%	90.43%	68.27%
±2σ	-5.88%	33.65%	95.97%	95.45%
±3σ	-15.76%	43.53%	98.49%	99.73%

Descriptive Statistics

均值	13.886%
Standard Error	0.496%
中位数	11.476%
Mode	5.072%
Standard Deviation	9.881%
Sample Variance	97.627%
峰度	24.76
偏度	3.85
Range	101.294%
Minimum	3.251%
Maximum	104.545%
Count	397

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.886%	397	100.00%	13.886%
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 1.40. Further, an Excess 峰度 of 12.84 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.06%	1	0.25%	0.25%
-26.06% to -19.84%	3	0.76%	1.01%
-19.84% to -13.62%	12	3.02%	4.03%
-13.62% to -7.40%	61	15.37%	19.40%
-7.40% to -1.18%	132	33.25%	52.64%
-1.18% to 5.04%	119	29.97%	82.62%
5.04% to 11.26%	48	12.09%	94.71%
11.26% to 17.48%	14	3.53%	98.24%
17.48% to 23.70%	6	1.51%	99.75%
Greater than 23.70%	1	0.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.47%	7.12%	76.57%	68.27%
±2σ	-17.77%	15.41%	95.97%	95.45%
±3σ	-26.06%	23.70%	99.50%	99.73%

Descriptive Statistics

均值	-1.179%
Standard Error	0.416%
中位数	-1.663%
Mode	0.000%
Standard Deviation	8.294%
Sample Variance	68.789%
峰度	12.84
偏度	1.40
Range	104.786%
Minimum	-36.215%
Maximum	68.571%
Count	397

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.952%	161	40.55%	2.414%
负向	-6.149%	232	58.44%	-3.593%
Zero	0.000%	4	1.01%	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 0.60 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.44%	1	0.76%	0.76%
-34.44% to -24.38%	0	0.00%	0.76%
-24.38% to -14.31%	5	3.79%	4.55%
-14.31% to -4.25%	24	18.18%	22.73%
-4.25% to 5.82%	39	29.55%	52.27%
5.82% to 15.89%	34	25.76%	78.03%
15.89% to 25.95%	16	12.12%	90.15%
25.95% to 36.02%	12	9.09%	99.24%
36.02% to 46.08%	0	0.00%	99.24%
Greater than 46.08%	1	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.60%	19.24%	70.45%	68.27%
±2σ	-21.02%	32.66%	96.97%	95.45%
±3σ	-34.44%	46.08%	98.48%	99.73%

Descriptive Statistics

均值	5.820%
Standard Error	1.168%
中位数	4.774%
Mode	-39.828%
Standard Deviation	13.421%
Sample Variance	180.110%
峰度	0.60
偏度	0.11
Range	87.397%
Minimum	-39.828%
Maximum	47.569%
Count	132

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.509%	90	68.18%	8.529%
负向	-8.514%	42	31.82%	-2.709%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	14.06%
12	3 Years	13.97%
20	5 Years	15.93%
40	10 Years	18.35%
80	20 Years	19.70%
200	50 Years	22.85%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.16%	0	0.00%	0.00%
-21.16% to -9.39%	0	0.00%	0.00%
-9.39% to 2.37%	0	0.00%	0.00%
2.37% to 14.14%	24	18.05%	18.05%
14.14% to 25.90%	63	47.37%	65.41%
25.90% to 37.67%	25	18.80%	84.21%
37.67% to 49.43%	11	8.27%	92.48%
49.43% to 61.20%	5	3.76%	96.24%
61.20% to 72.97%	3	2.26%	98.50%
Greater than 72.97%	2	1.50%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	10.22%	41.59%	85.71%	68.27%
±2σ	-5.47%	57.28%	95.49%	95.45%
±3σ	-21.16%	72.97%	98.50%	99.73%

Descriptive Statistics

均值	25.904%
Standard Error	1.360%
中位数	21.389%
Mode	6.850%
Standard Deviation	15.687%
Sample Variance	246.071%
峰度	7.08
偏度	2.24
Range	97.695%
Minimum	6.850%
Maximum	104.545%
Count	133

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.904%	133	100.00%	25.904%
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 1.24. Further, an Excess 峰度 of 5.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.85%	0	0.00%	0.00%
-42.85% to -33.09%	0	0.00%	0.00%
-33.09% to -23.33%	3	2.26%	2.26%
-23.33% to -13.57%	27	20.30%	22.56%
-13.57% to -3.81%	41	30.83%	53.38%
-3.81% to 5.96%	37	27.82%	81.20%
5.96% to 15.72%	19	14.29%	95.49%
15.72% to 25.48%	4	3.01%	98.50%
25.48% to 35.24%	1	0.75%	99.25%
Greater than 35.24%	1	0.75%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.82%	9.21%	72.93%	68.27%
±2σ	-29.84%	22.23%	96.24%	95.45%
±3σ	-42.85%	35.24%	99.25%	99.73%

Descriptive Statistics

均值	-3.805%
Standard Error	1.129%
中位数	-4.733%
Mode	-31.948%
Standard Deviation	13.016%
Sample Variance	169.403%
峰度	5.32
偏度	1.24
Range	98.138%
Minimum	-31.948%
Maximum	66.190%
Count	133

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.942%	44	33.08%	3.289%
负向	-10.601%	89	66.92%	-7.094%
Zero	0.000%	0	0.00%	0.000%

ORLY 深度分析报告