REGN 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	3.97%	3.76%	3.55%	2.59%	2.73%	2.88%	731.33	772.37	711.63	793.75
周度	8.77%	10.32%	8.97%	6.01%	6.01%	6.34%	707.73	798.13	666.44	847.58
月度	24.93%	27.92%	18.26%	12.92%	12.51%	13.20%	663.17	851.75	585.18	965.28
季度	31.47%	47.12%	32.21%	22.50%	21.67%	22.87%	605.13	933.45	487.22	1159.35
Annual	—	—	—	—	43.34%	45.73%	487.22	1159.35	315.85	1788.37
Option Time Horizon	—	—	—	—	16.52%	17.43%	637.14	886.55	540.14	1045.76

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $751.57 | Strike (K): $755.00 (first OTM call ≥ spot) | Observed Mid-价格: $49.1500 (Bid $47.2000 / Ask $51.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.46% | Binomial IV (Annual): 43.34% (CRR binomial tree, American, n=20 steps) | BS IV: 43.05% (European Black-Scholes) | Yahoo IV (Annual): 45.73% → 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
2026-02-20	$0.9400
2025-11-20	$0.8800
2025-08-18	$0.8800
2025-05-20	$0.8800
2025-02-20	$0.8800

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 1.54. Further, an Excess 峰度 of 33.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.80%	38	0.43%	0.43%
-11.80% to -8.82%	74	0.84%	1.27%
-8.82% to -5.84%	231	2.62%	3.89%
-5.84% to -2.86%	934	10.58%	14.47%
-2.86% to 0.12%	3510	39.77%	54.24%
0.12% to 3.10%	2816	31.91%	86.14%
3.10% to 6.08%	807	9.14%	95.29%
6.08% to 9.05%	250	2.83%	98.12%
9.05% to 12.03%	85	0.96%	99.08%
Greater than 12.03%	81	0.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.85%	4.09%	81.59%	68.27%
±2σ	-7.83%	8.06%	95.85%	95.45%
±3σ	-11.80%	12.03%	98.65%	99.73%

Descriptive Statistics

均值	0.118%
Standard Error	0.042%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.972%
Sample Variance	15.778%
峰度	33.52
偏度	1.54
Range	132.006%
Minimum	-56.557%
Maximum	75.449%
Count	8826

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.775%	4163	47.17%	1.309%
负向	-2.438%	4311	48.84%	-1.191%
Zero	0.000%	352	3.99%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.50%
20	1 Month	2.50%
60	1 Quarter	2.78%
250	1 Year	3.08%
750	3 Years	2.54%
1,250	5 Years	2.59%
2,500	10 Years	2.81%
5,000	20 Years	3.55%
12,500	50 Years	4.79%

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 5.00. Further, an Excess 峰度 of 67.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.51%	0	0.00%	0.00%
-6.51% to -3.69%	0	0.00%	0.00%
-3.69% to -0.87%	0	0.00%	0.00%
-0.87% to 1.95%	1143	12.95%	12.95%
1.95% to 4.77%	4503	51.01%	63.96%
4.77% to 7.59%	1969	22.31%	86.27%
7.59% to 10.41%	694	7.86%	94.13%
10.41% to 13.23%	255	2.89%	97.02%
13.23% to 16.05%	117	1.33%	98.35%
Greater than 16.05%	146	1.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.01%	8.53%	88.85%	68.27%
±2σ	-2.75%	12.29%	96.35%	95.45%
±3σ	-6.51%	16.05%	98.35%	99.73%

Descriptive Statistics

均值	4.774%
Standard Error	0.040%
中位数	3.783%
Mode	6.250%
Standard Deviation	3.760%
Sample Variance	14.138%
峰度	67.14
偏度	5.00
Range	97.257%
Minimum	0.417%
Maximum	97.674%
Count	8827

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.774%	8827	100.00%	4.774%
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 1.06. Further, an Excess 峰度 of 28.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.54%	62	0.70%	0.70%
-10.54% to -7.88%	86	0.97%	1.68%
-7.88% to -5.21%	284	3.22%	4.89%
-5.21% to -2.55%	910	10.31%	15.20%
-2.55% to 0.11%	3249	36.81%	52.01%
0.11% to 2.77%	2867	32.48%	84.49%
2.77% to 5.43%	929	10.52%	95.02%
5.43% to 8.10%	283	3.21%	98.22%
8.10% to 10.76%	84	0.95%	99.17%
Greater than 10.76%	73	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.44%	3.66%	79.36%	68.27%
±2σ	-6.99%	7.21%	95.36%	95.45%
±3σ	-10.54%	10.76%	98.47%	99.73%

Descriptive Statistics

均值	0.110%
Standard Error	0.038%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.550%
Sample Variance	12.602%
峰度	28.59
偏度	1.06
Range	111.447%
Minimum	-37.884%
Maximum	73.563%
Count	8827

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.484%	4362	49.42%	1.228%
负向	-2.408%	4098	46.43%	-1.118%
Zero	0.000%	367	4.16%	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 1.54. Further, an Excess 峰度 of 17.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.73%	4	0.22%	0.22%
-25.73% to -19.15%	12	0.66%	0.87%
-19.15% to -12.58%	49	2.68%	3.55%
-12.58% to -6.00%	228	12.47%	16.02%
-6.00% to 0.58%	704	38.49%	54.51%
0.58% to 7.15%	564	30.84%	85.35%
7.15% to 13.73%	178	9.73%	95.08%
13.73% to 20.31%	49	2.68%	97.76%
20.31% to 26.88%	21	1.15%	98.91%
Greater than 26.88%	20	1.09%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.19%	9.35%	79.28%	68.27%
±2σ	-16.96%	18.12%	95.74%	95.45%
±3σ	-25.73%	26.88%	98.69%	99.73%

Descriptive Statistics

均值	0.577%
Standard Error	0.205%
中位数	0.000%
Mode	0.000%
Standard Deviation	8.769%
Sample Variance	76.890%
峰度	17.93
偏度	1.54
Range	168.487%
Minimum	-61.016%
Maximum	107.471%
Count	1829

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.405%	906	49.53%	3.173%
负向	-5.311%	894	48.88%	-2.596%
Zero	0.000%	29	1.59%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	4.29%
12	1 Quarter	5.37%
52	1 Year	6.90%
156	3 Years	5.84%
260	5 Years	6.01%
520	10 Years	6.39%
1,040	20 Years	8.18%
2,600	50 Years	10.98%

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 6.40. Further, an Excess 峰度 of 77.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.12%	0	0.00%	0.00%
-19.12% to -11.38%	0	0.00%	0.00%
-11.38% to -3.64%	0	0.00%	0.00%
-3.64% to 4.10%	137	7.49%	7.49%
4.10% to 11.84%	1037	56.67%	64.15%
11.84% to 19.57%	423	23.11%	87.27%
19.57% to 27.31%	146	7.98%	95.25%
27.31% to 35.05%	44	2.40%	97.65%
35.05% to 42.79%	21	1.15%	98.80%
Greater than 42.79%	22	1.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.52%	22.15%	90.98%	68.27%
±2σ	-8.80%	32.47%	96.94%	95.45%
±3σ	-19.12%	42.79%	98.80%	99.73%

Descriptive Statistics

均值	11.835%
Standard Error	0.241%
中位数	9.315%
Mode	13.333%
Standard Deviation	10.319%
Sample Variance	106.480%
峰度	77.81
偏度	6.40
Range	177.980%
Minimum	1.615%
Maximum	179.595%
Count	1830

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.835%	1830	100.00%	11.835%
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 3.91. Further, an Excess 峰度 of 61.71 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.60%	9	0.49%	0.49%
-26.60% to -19.87%	8	0.44%	0.93%
-19.87% to -13.14%	47	2.57%	3.50%
-13.14% to -6.41%	206	11.26%	14.75%
-6.41% to 0.31%	693	37.87%	52.62%
0.31% to 7.04%	610	33.33%	85.96%
7.04% to 13.77%	182	9.95%	95.90%
13.77% to 20.50%	48	2.62%	98.52%
20.50% to 27.22%	13	0.71%	99.23%
Greater than 27.22%	14	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.66%	9.28%	81.42%	68.27%
±2σ	-17.63%	18.25%	96.39%	95.45%
±3σ	-26.60%	27.22%	98.74%	99.73%

Descriptive Statistics

均值	0.314%
Standard Error	0.210%
中位数	0.000%
Mode	0.000%
Standard Deviation	8.970%
Sample Variance	80.457%
峰度	61.71
偏度	3.91
Range	207.181%
Minimum	-50.000%
Maximum	157.181%
Count	1830

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.020%	906	49.51%	2.980%
负向	-5.428%	899	49.13%	-2.667%
Zero	0.000%	25	1.37%	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 7.56. Further, an Excess 峰度 of 100.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -71.88%	0	0.00%	0.00%
-71.88% to -53.19%	1	0.24%	0.24%
-53.19% to -34.49%	3	0.71%	0.95%
-34.49% to -15.80%	43	10.24%	11.19%
-15.80% to 2.90%	202	48.10%	59.29%
2.90% to 21.59%	133	31.67%	90.95%
21.59% to 40.29%	24	5.71%	96.67%
40.29% to 58.98%	7	1.67%	98.33%
58.98% to 77.67%	4	0.95%	99.29%
Greater than 77.67%	3	0.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.03%	27.82%	90.95%	68.27%
±2σ	-46.95%	52.75%	97.62%	95.45%
±3σ	-71.88%	77.67%	99.29%	99.73%

Descriptive Statistics

均值	2.897%
Standard Error	1.216%
中位数	0.000%
Mode	0.000%
Standard Deviation	24.926%
Sample Variance	621.287%
峰度	100.89
偏度	7.56
Range	417.880%
Minimum	-58.997%
Maximum	358.883%
Count	420

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.848%	209	49.76%	7.886%
负向	-10.172%	206	49.05%	-4.989%
Zero	0.000%	5	1.19%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	8.71%
12	1 Year	13.83%
36	3 Years	12.87%
60	5 Years	12.92%
120	10 Years	13.80%
240	20 Years	18.04%
600	50 Years	24.70%

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 6.24. Further, an Excess 峰度 of 62.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.69%	0	0.00%	0.00%
-54.69% to -33.75%	0	0.00%	0.00%
-33.75% to -12.81%	0	0.00%	0.00%
-12.81% to 8.13%	10	2.38%	2.38%
8.13% to 29.07%	266	63.18%	65.56%
29.07% to 50.01%	108	25.65%	91.21%
50.01% to 70.95%	19	4.51%	95.72%
70.95% to 91.89%	7	1.66%	97.39%
91.89% to 112.83%	3	0.71%	98.10%
Greater than 112.83%	8	1.90%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.15%	56.99%	93.82%	68.27%
±2σ	-26.77%	84.91%	97.39%	95.45%
±3σ	-54.69%	112.83%	98.10%	99.73%

Descriptive Statistics

均值	29.072%
Standard Error	1.361%
中位数	23.024%
Mode	33.333%
Standard Deviation	27.919%
Sample Variance	779.465%
峰度	62.56
偏度	6.24
Range	372.796%
Minimum	4.087%
Maximum	376.883%
Count	421

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.072%	421	100.00%	29.072%
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 1.75. Further, an Excess 峰度 of 12.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -53.80%	1	0.24%	0.24%
-53.80% to -40.10%	3	0.71%	0.95%
-40.10% to -26.41%	11	2.61%	3.56%
-26.41% to -12.71%	55	13.06%	16.63%
-12.71% to 0.98%	155	36.82%	53.44%
0.98% to 14.68%	132	31.35%	84.80%
14.68% to 28.37%	49	11.64%	96.44%
28.37% to 42.06%	9	2.14%	98.57%
42.06% to 55.76%	1	0.24%	98.81%
Greater than 55.76%	5	1.19%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.28%	19.24%	80.29%	68.27%
±2σ	-35.54%	37.50%	96.20%	95.45%
±3σ	-53.80%	55.76%	98.57%	99.73%

Descriptive Statistics

均值	0.982%
Standard Error	0.890%
中位数	0.081%
Mode	0.000%
Standard Deviation	18.259%
Sample Variance	333.395%
峰度	12.70
偏度	1.75
Range	220.727%
Minimum	-78.706%
Maximum	142.021%
Count	421

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.006%	211	50.12%	6.518%
负向	-11.371%	205	48.69%	-5.537%
Zero	0.000%	5	1.19%	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 1.37. Further, an Excess 峰度 of 3.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -87.26%	0	0.00%	0.00%
-87.26% to -63.66%	1	0.71%	0.71%
-63.66% to -40.06%	4	2.86%	3.57%
-40.06% to -16.46%	20	14.29%	17.86%
-16.46% to 7.14%	61	43.57%	61.43%
7.14% to 30.75%	35	25.00%	86.43%
30.75% to 54.35%	8	5.71%	92.14%
54.35% to 77.95%	8	5.71%	97.86%
77.95% to 101.55%	0	0.00%	97.86%
Greater than 101.55%	3	2.14%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.32%	38.61%	78.57%	68.27%
±2σ	-55.79%	70.08%	95.71%	95.45%
±3σ	-87.26%	101.55%	97.86%	99.73%

Descriptive Statistics

均值	7.145%
Standard Error	2.660%
中位数	0.986%
Mode	-7.818%
Standard Deviation	31.469%
Sample Variance	990.275%
峰度	3.79
偏度	1.37
Range	209.490%
Minimum	-66.204%
Maximum	143.286%
Count	140

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.679%	73	52.14%	14.433%
负向	-15.696%	65	46.43%	-7.287%
Zero	0.000%	2	1.43%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	21.68%
12	3 Years	22.97%
20	5 Years	22.50%
40	10 Years	24.49%
80	20 Years	32.80%
200	50 Years	45.06%

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 3.38. Further, an Excess 峰度 of 16.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -84.04%	0	0.00%	0.00%
-84.04% to -48.70%	0	0.00%	0.00%
-48.70% to -13.36%	0	0.00%	0.00%
-13.36% to 21.98%	13	9.22%	9.22%
21.98% to 57.33%	81	57.45%	66.67%
57.33% to 92.67%	29	20.57%	87.23%
92.67% to 128.01%	9	6.38%	93.62%
128.01% to 163.35%	5	3.55%	97.16%
163.35% to 198.69%	1	0.71%	97.87%
Greater than 198.69%	3	2.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	10.20%	104.45%	90.07%	68.27%
±2σ	-36.92%	151.57%	96.45%	95.45%
±3σ	-84.04%	198.69%	97.87%	99.73%

Descriptive Statistics

均值	57.325%
Standard Error	3.968%
中位数	44.954%
Mode	57.143%
Standard Deviation	47.121%
Sample Variance	2220.394%
峰度	16.97
偏度	3.38
Range	364.914%
Minimum	11.969%
Maximum	376.883%
Count	141

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	57.325%	141	100.00%	57.325%
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 2.14. Further, an Excess 峰度 of 9.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -94.52%	0	0.00%	0.00%
-94.52% to -70.36%	0	0.00%	0.00%
-70.36% to -46.20%	3	2.13%	2.13%
-46.20% to -22.04%	18	12.77%	14.89%
-22.04% to 2.12%	58	41.13%	56.03%
2.12% to 26.28%	45	31.91%	87.94%
26.28% to 50.44%	9	6.38%	94.33%
50.44% to 74.59%	3	2.13%	96.45%
74.59% to 98.75%	2	1.42%	97.87%
Greater than 98.75%	3	2.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.10%	34.33%	78.72%	68.27%
±2σ	-62.31%	66.54%	95.74%	95.45%
±3σ	-94.52%	98.76%	97.87%	99.73%

Descriptive Statistics

均值	2.116%
Standard Error	2.713%
中位数	-0.556%
Mode	-58.442%
Standard Deviation	32.213%
Sample Variance	1037.649%
峰度	9.44
偏度	2.14
Range	252.281%
Minimum	-58.442%
Maximum	193.839%
Count	141

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.606%	69	48.94%	11.552%
负向	-18.739%	71	50.35%	-9.436%
Zero	0.000%	1	0.71%	0.000%

REGN 深度分析报告