RBLX 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	4.40%	3.21%	3.56%	5.53%	5.29%	5.34%	53.20	59.14	50.46	62.35
周度	9.07%	8.87%	9.04%	13.24%	11.65%	11.76%	49.92	63.02	44.43	70.80
月度	18.19%	17.26%	18.54%	28.56%	24.25%	24.48%	44.01	71.48	34.54	91.09
季度	33.93%	38.64%	36.11%	50.27%	42.00%	42.41%	36.85	85.36	24.22	129.92
Annual	—	—	—	—	83.99%	84.81%	24.22	129.92	10.45	300.92
Option Time Horizon	—	—	—	—	32.01%	32.32%	40.73	77.25	29.57	106.39

Calculation Notes: Computed at 2026-04-26T02:49 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $56.09 | Strike (K): $57.50 (first OTM call ≥ spot) | Observed Mid-价格: $6.6750 (Bid $6.6000 / Ask $6.7500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 83.99% (CRR binomial tree, American, n=20 steps) | BS IV: 84.13% (European Black-Scholes) | Yahoo IV (Annual): 84.81% → 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 Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.62. Further, an Excess 峰度 of 11.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.12%	8	0.62%	0.62%
-13.12% to -9.82%	13	1.01%	1.63%
-9.82% to -6.52%	38	2.95%	4.58%
-6.52% to -3.22%	157	12.20%	16.78%
-3.22% to 0.08%	415	32.25%	49.03%
0.08% to 3.38%	460	35.74%	84.77%
3.38% to 6.68%	136	10.57%	95.34%
6.68% to 9.98%	39	3.03%	98.37%
9.98% to 13.28%	12	0.93%	99.30%
Greater than 13.28%	9	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.32%	4.48%	79.64%	68.27%
±2σ	-8.72%	8.88%	95.26%	95.45%
±3σ	-13.12%	13.28%	98.68%	99.73%

Descriptive Statistics

均值	0.079%
Standard Error	0.123%
中位数	0.148%
Mode	0.000%
Standard Deviation	4.400%
Sample Variance	19.362%
峰度	11.06
偏度	0.62
Range	68.742%
Minimum	-26.508%
Maximum	42.234%
Count	1287

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.953%	666	51.75%	1.528%
负向	-3.022%	617	47.94%	-1.449%
Zero	0.000%	4	0.31%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	6.34%
20	1 Month	5.74%
60	1 Quarter	6.05%
250	1 Year	4.70%
750	3 Years	4.36%
1,250	5 Years	5.53%
2,500	10 Years	5.58%
5,000	20 Years	5.58%
12,500	50 Years	5.58%

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 2.58. Further, an Excess 峰度 of 13.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.33%	0	0.00%	0.00%
-4.33% to -1.92%	0	0.00%	0.00%
-1.92% to 0.49%	0	0.00%	0.00%
0.49% to 2.90%	239	18.56%	18.56%
2.90% to 5.30%	543	42.16%	60.71%
5.30% to 7.71%	304	23.60%	84.32%
7.71% to 10.12%	111	8.62%	92.93%
10.12% to 12.53%	46	3.57%	96.51%
12.53% to 14.93%	21	1.63%	98.14%
Greater than 14.93%	24	1.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.09%	8.51%	82.45%	68.27%
±2σ	-1.12%	11.72%	95.89%	95.45%
±3σ	-4.33%	14.93%	98.14%	99.73%

Descriptive Statistics

均值	5.304%
Standard Error	0.089%
中位数	4.454%
Mode	2.792%
Standard Deviation	3.210%
Sample Variance	10.306%
峰度	13.37
偏度	2.58
Range	36.336%
Minimum	1.258%
Maximum	37.594%
Count	1288

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.304%	1288	100.00%	5.304%
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 0.08. Further, an Excess 峰度 of 2.61 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.70%	7	0.54%	0.54%
-10.70% to -8.03%	11	0.85%	1.40%
-8.03% to -5.36%	59	4.58%	5.98%
-5.36% to -2.69%	149	11.57%	17.55%
-2.69% to -0.02%	434	33.70%	51.24%
-0.02% to 2.65%	401	31.13%	82.38%
2.65% to 5.32%	152	11.80%	94.18%
5.32% to 8.00%	44	3.42%	97.59%
8.00% to 10.67%	20	1.55%	99.15%
Greater than 10.67%	11	0.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.58%	3.54%	75.62%	68.27%
±2σ	-7.14%	7.10%	93.94%	95.45%
±3σ	-10.70%	10.67%	98.60%	99.73%

Descriptive Statistics

均值	-0.017%
Standard Error	0.099%
中位数	-0.093%
Mode	0.000%
Standard Deviation	3.561%
Sample Variance	12.679%
峰度	2.61
偏度	0.08
Range	35.365%
Minimum	-18.300%
Maximum	17.065%
Count	1288

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.648%	623	48.37%	1.281%
负向	-2.529%	661	51.32%	-1.298%
Zero	0.000%	4	0.31%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.40. Further, an Excess 峰度 of 2.20 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.91%	1	0.37%	0.37%
-26.91% to -20.11%	3	1.12%	1.50%
-20.11% to -13.30%	14	5.24%	6.74%
-13.30% to -6.49%	34	12.73%	19.48%
-6.49% to 0.31%	80	29.96%	49.44%
0.31% to 7.12%	81	30.34%	79.78%
7.12% to 13.92%	43	16.10%	95.88%
13.92% to 20.73%	6	2.25%	98.13%
20.73% to 27.54%	2	0.75%	98.88%
Greater than 27.54%	3	1.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.76%	9.39%	74.53%	68.27%
±2σ	-17.84%	18.46%	94.38%	95.45%
±3σ	-26.91%	27.54%	98.50%	99.73%

Descriptive Statistics

均值	0.312%
Standard Error	0.555%
中位数	0.387%
Mode	-4.204%
Standard Deviation	9.075%
Sample Variance	82.348%
峰度	2.20
偏度	0.40
Range	67.563%
Minimum	-27.225%
Maximum	40.338%
Count	267

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.799%	140	52.43%	3.565%
负向	-6.839%	127	47.57%	-3.253%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	15.04%
12	1 Quarter	14.62%
52	1 Year	11.65%
156	3 Years	10.55%
260	5 Years	13.24%
520	10 Years	13.25%
1,040	20 Years	13.25%
2,600	50 Years	13.25%

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 1.99. Further, an Excess 峰度 of 6.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.26%	0	0.00%	0.00%
-12.26% to -5.61%	0	0.00%	0.00%
-5.61% to 1.04%	0	0.00%	0.00%
1.04% to 7.69%	53	19.78%	19.78%
7.69% to 14.34%	116	43.28%	63.06%
14.34% to 20.99%	55	20.52%	83.58%
20.99% to 27.64%	20	7.46%	91.04%
27.64% to 34.29%	13	4.85%	95.90%
34.29% to 40.94%	8	2.99%	98.88%
Greater than 40.94%	3	1.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.47%	23.21%	79.85%	68.27%
±2σ	-3.39%	32.08%	95.15%	95.45%
±3σ	-12.26%	40.94%	98.88%	99.73%

Descriptive Statistics

均值	14.342%
Standard Error	0.542%
中位数	11.713%
Mode	8.311%
Standard Deviation	8.867%
Sample Variance	78.631%
峰度	6.27
偏度	1.99
Range	65.728%
Minimum	2.540%
Maximum	68.268%
Count	268

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.342%	268	100.00%	14.342%
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 0.69. Further, an Excess 峰度 of 1.71 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.62%	0	0.00%	0.00%
-26.62% to -19.84%	4	1.49%	1.49%
-19.84% to -13.06%	5	1.87%	3.36%
-13.06% to -6.29%	49	18.28%	21.64%
-6.29% to 0.49%	87	32.46%	54.10%
0.49% to 7.27%	76	28.36%	82.46%
7.27% to 14.04%	29	10.82%	93.28%
14.04% to 20.82%	10	3.73%	97.01%
20.82% to 27.60%	4	1.49%	98.51%
Greater than 27.60%	4	1.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.55%	9.53%	74.25%	68.27%
±2σ	-17.58%	18.56%	94.78%	95.45%
±3σ	-26.62%	27.60%	98.51%	99.73%

Descriptive Statistics

均值	0.490%
Standard Error	0.552%
中位数	-0.645%
Mode	-7.829%
Standard Deviation	9.036%
Sample Variance	81.649%
峰度	1.71
偏度	0.69
Range	62.165%
Minimum	-23.267%
Maximum	38.898%
Count	268

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.695%	127	47.39%	3.647%
负向	-6.000%	141	52.61%	-3.157%
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 0.21. Further, an Excess 峰度 of -0.30 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -53.18%	0	0.00%	0.00%
-53.18% to -39.54%	0	0.00%	0.00%
-39.54% to -25.90%	4	6.56%	6.56%
-25.90% to -12.26%	10	16.39%	22.95%
-12.26% to 1.38%	19	31.15%	54.10%
1.38% to 15.02%	12	19.67%	73.77%
15.02% to 28.66%	11	18.03%	91.80%
28.66% to 42.30%	4	6.56%	98.36%
42.30% to 55.94%	1	1.64%	100.00%
Greater than 55.94%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.80%	19.57%	65.57%	68.27%
±2σ	-34.99%	37.76%	96.72%	95.45%
±3σ	-53.18%	55.94%	100.00%	99.73%

Descriptive Statistics

均值	1.382%
Standard Error	2.329%
中位数	-1.532%
Mode	-36.157%
Standard Deviation	18.187%
Sample Variance	330.765%
峰度	-0.30
偏度	0.21
Range	86.240%
Minimum	-36.157%
Maximum	50.083%
Count	61

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.106%	29	47.54%	8.132%
负向	-12.868%	32	52.46%	-6.750%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	24.65%
12	1 Year	26.00%
36	3 Years	23.27%
60	5 Years	28.56%
120	10 Years	28.55%
240	20 Years	28.55%
600	50 Years	28.55%

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 1.49. Further, an Excess 峰度 of 2.25 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.73%	0	0.00%	0.00%
-17.73% to -4.78%	0	0.00%	0.00%
-4.78% to 8.17%	0	0.00%	0.00%
8.17% to 21.11%	13	20.97%	20.97%
21.11% to 34.06%	25	40.32%	61.29%
34.06% to 47.00%	13	20.97%	82.26%
47.00% to 59.95%	6	9.68%	91.94%
59.95% to 72.89%	3	4.84%	96.77%
72.89% to 85.84%	1	1.61%	98.39%
Greater than 85.84%	1	1.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.80%	51.32%	79.03%	68.27%
±2σ	-0.46%	68.58%	93.55%	95.45%
±3σ	-17.73%	85.84%	98.39%	99.73%

Descriptive Statistics

均值	34.057%
Standard Error	2.192%
中位数	28.861%
Mode	11.541%
Standard Deviation	17.261%
Sample Variance	297.951%
峰度	2.25
偏度	1.49
Range	81.989%
Minimum	11.541%
Maximum	93.530%
Count	62

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	34.057%	62	100.00%	34.057%
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 0.79. Further, an Excess 峰度 of 0.73 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -53.78%	0	0.00%	0.00%
-53.78% to -39.87%	0	0.00%	0.00%
-39.87% to -25.97%	1	1.61%	1.61%
-25.97% to -12.06%	14	22.58%	24.19%
-12.06% to 1.85%	18	29.03%	53.23%
1.85% to 15.76%	17	27.42%	80.65%
15.76% to 29.66%	8	12.90%	93.55%
29.66% to 43.57%	2	3.23%	96.77%
43.57% to 57.48%	2	3.23%	100.00%
Greater than 57.48%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.69%	20.39%	69.35%	68.27%
±2σ	-35.24%	38.93%	95.16%	95.45%
±3σ	-53.78%	57.48%	100.00%	99.73%

Descriptive Statistics

均值	1.849%
Standard Error	2.355%
中位数	1.168%
Mode	-33.426%
Standard Deviation	18.543%
Sample Variance	343.861%
峰度	0.73
偏度	0.79
Range	88.163%
Minimum	-33.426%
Maximum	54.737%
Count	62

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.695%	32	51.61%	8.101%
负向	-12.919%	30	48.39%	-6.251%
Zero	0.000%	0	0.00%	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 1.25. Further, an Excess 峰度 of 3.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -98.30%	0	0.00%	0.00%
-98.30% to -72.85%	0	0.00%	0.00%
-72.85% to -47.41%	1	5.00%	5.00%
-47.41% to -21.96%	1	5.00%	10.00%
-21.96% to 3.48%	9	45.00%	55.00%
3.48% to 28.93%	6	30.00%	85.00%
28.93% to 54.37%	2	10.00%	95.00%
54.37% to 79.81%	0	0.00%	95.00%
79.81% to 105.26%	0	0.00%	95.00%
Greater than 105.26%	1	5.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.45%	37.41%	75.00%	68.27%
±2σ	-64.37%	71.33%	95.00%	95.45%
±3σ	-98.30%	105.26%	95.00%	99.73%

Descriptive Statistics

均值	3.481%
Standard Error	7.586%
中位数	-0.534%
Mode	-53.462%
Standard Deviation	33.926%
Sample Variance	1150.952%
峰度	3.43
偏度	1.25
Range	158.965%
Minimum	-53.462%
Maximum	105.503%
Count	20

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.319%	10	50.00%	13.660%
负向	-20.357%	10	50.00%	-10.178%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	56.14%
12	3 Years	45.30%
20	5 Years	50.27%
40	10 Years	50.27%
80	20 Years	50.27%
200	50 Years	50.27%

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 1.49. Further, an Excess 峰度 of 1.35 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -49.35%	0	0.00%	0.00%
-49.35% to -20.37%	0	0.00%	0.00%
-20.37% to 8.61%	0	0.00%	0.00%
8.61% to 37.59%	3	14.29%	14.29%
37.59% to 66.57%	12	57.14%	71.43%
66.57% to 95.55%	2	9.52%	80.95%
95.55% to 124.53%	1	4.76%	85.71%
124.53% to 153.51%	2	9.52%	95.24%
153.51% to 182.49%	1	4.76%	100.00%
Greater than 182.49%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	27.93%	105.21%	76.19%	68.27%
±2σ	-10.71%	143.85%	90.48%	95.45%
±3σ	-49.35%	182.49%	100.00%	99.73%

Descriptive Statistics

均值	66.569%
Standard Error	8.432%
中位数	50.702%
Mode	27.698%
Standard Deviation	38.639%
Sample Variance	1492.939%
峰度	1.35
偏度	1.49
Range	136.333%
Minimum	27.698%
Maximum	164.031%
Count	21

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	66.569%	21	100.00%	66.569%
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 1.62. Further, an Excess 峰度 of 3.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -102.93%	0	0.00%	0.00%
-102.93% to -75.84%	0	0.00%	0.00%
-75.84% to -48.76%	1	4.76%	4.76%
-48.76% to -21.68%	3	14.29%	19.05%
-21.68% to 5.40%	9	42.86%	61.90%
5.40% to 32.48%	6	28.57%	90.48%
32.48% to 59.56%	0	0.00%	90.48%
59.56% to 86.65%	1	4.76%	95.24%
86.65% to 113.73%	0	0.00%	95.24%
Greater than 113.73%	1	4.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.71%	41.51%	85.71%	68.27%
±2σ	-66.82%	77.62%	95.24%	95.45%
±3σ	-102.93%	113.73%	95.24%	99.73%

Descriptive Statistics

均值	5.401%
Standard Error	7.880%
中位数	-2.754%
Mode	-49.118%
Standard Deviation	36.109%
Sample Variance	1303.855%
峰度	3.81
偏度	1.62
Range	165.464%
Minimum	-49.118%
Maximum	116.346%
Count	21

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	31.408%	10	47.62%	14.956%
负向	-18.243%	11	52.38%	-9.556%
Zero	0.000%	0	0.00%	0.000%

RBLX 深度分析报告