RIVN 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	4.90%	3.24%	4.02%	6.76%	4.41%	4.48%	15.81	17.26	15.13	18.04
周度	10.70%	10.60%	11.36%	15.84%	9.71%	9.87%	14.99	18.20	13.61	20.06
月度	20.87%	21.08%	23.20%	32.27%	20.20%	20.55%	13.50	20.22	11.03	24.75
季度	45.16%	53.98%	49.40%	58.25%	35.00%	35.60%	11.64	23.44	8.20	33.26
Annual	—	—	—	—	69.99%	71.19%	8.20	33.26	4.07	66.98
Option Time Horizon	—	—	—	—	26.67%	27.13%	12.65	21.57	9.69	28.16

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $16.52 | Strike (K): $17.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.5950 (Bid $1.5700 / Ask $1.6200) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 69.99% (CRR binomial tree, American, n=20 steps) | BS IV: 70.38% (European Black-Scholes) | Yahoo IV (Annual): 71.19% → 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 0.47. Further, an Excess 峰度 of 4.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.75%	6	0.54%	0.54%
-14.75% to -11.07%	8	0.72%	1.25%
-11.07% to -7.40%	36	3.23%	4.48%
-7.40% to -3.72%	150	13.44%	17.92%
-3.72% to -0.04%	385	34.50%	52.42%
-0.04% to 3.63%	345	30.91%	83.33%
3.63% to 7.31%	122	10.93%	94.27%
7.31% to 10.99%	39	3.49%	97.76%
10.99% to 14.67%	12	1.08%	98.84%
Greater than 14.67%	13	1.16%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.95%	4.86%	76.79%	68.27%
±2σ	-9.85%	9.76%	94.98%	95.45%
±3σ	-14.75%	14.67%	98.30%	99.73%

Descriptive Statistics

均值	-0.043%
Standard Error	0.147%
中位数	-0.280%
Mode	0.000%
Standard Deviation	4.903%
Sample Variance	24.038%
峰度	4.30
偏度	0.47
Range	52.244%
Minimum	-25.601%
Maximum	26.643%
Count	1116

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.661%	525	47.04%	1.722%
负向	-3.361%	586	52.51%	-1.765%
Zero	0.000%	5	0.45%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.53%
20	1 Month	4.80%
60	1 Quarter	5.68%
250	1 Year	5.32%
750	3 Years	6.08%
1,250	5 Years	6.76%
2,500	10 Years	6.76%
5,000	20 Years	6.76%
12,500	50 Years	6.76%

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 1.65. Further, an Excess 峰度 of 3.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.19%	0	0.00%	0.00%
-3.19% to -0.76%	0	0.00%	0.00%
-0.76% to 1.68%	0	0.00%	0.00%
1.68% to 4.11%	246	22.02%	22.02%
4.11% to 6.54%	441	39.48%	61.50%
6.54% to 8.97%	223	19.96%	81.47%
8.97% to 11.40%	123	11.01%	92.48%
11.40% to 13.83%	44	3.94%	96.42%
13.83% to 16.27%	22	1.97%	98.39%
Greater than 16.27%	18	1.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.30%	9.78%	77.53%	68.27%
±2σ	0.06%	13.02%	95.52%	95.45%
±3σ	-3.19%	16.27%	98.39%	99.73%

Descriptive Statistics

均值	6.540%
Standard Error	0.097%
中位数	5.766%
Mode	3.678%
Standard Deviation	3.242%
Sample Variance	10.510%
峰度	3.98
偏度	1.65
Range	23.703%
Minimum	1.780%
Maximum	25.483%
Count	1117

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.540%	1117	100.00%	6.540%
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 0.16. Further, an Excess 峰度 of 1.26 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.87%	5	0.45%	0.45%
-11.87% to -8.85%	13	1.16%	1.61%
-8.85% to -5.84%	55	4.92%	6.54%
-5.84% to -2.83%	155	13.88%	20.41%
-2.83% to 0.19%	345	30.89%	51.30%
0.19% to 3.20%	338	30.26%	81.56%
3.20% to 6.21%	127	11.37%	92.93%
6.21% to 9.23%	54	4.83%	97.76%
9.23% to 12.24%	20	1.79%	99.55%
Greater than 12.24%	5	0.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.83%	4.21%	73.50%	68.27%
±2σ	-7.85%	8.22%	93.91%	95.45%
±3σ	-11.87%	12.24%	99.10%	99.73%

Descriptive Statistics

均值	0.188%
Standard Error	0.120%
中位数	0.091%
Mode	0.000%
Standard Deviation	4.018%
Sample Variance	16.144%
峰度	1.26
偏度	0.16
Range	31.844%
Minimum	-15.646%
Maximum	16.198%
Count	1117

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.113%	571	51.12%	1.591%
负向	-2.931%	535	47.90%	-1.404%
Zero	0.000%	11	0.98%	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 1.89 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.46%	2	0.86%	0.86%
-32.46% to -24.44%	1	0.43%	1.29%
-24.44% to -16.42%	9	3.88%	5.17%
-16.42% to -8.39%	35	15.09%	20.26%
-8.39% to -0.37%	69	29.74%	50.00%
-0.37% to 7.66%	73	31.47%	81.47%
7.66% to 15.68%	28	12.07%	93.53%
15.68% to 23.71%	10	4.31%	97.84%
23.71% to 31.73%	4	1.72%	99.57%
Greater than 31.73%	1	0.43%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.07%	10.33%	75.00%	68.27%
±2σ	-21.77%	21.03%	95.26%	95.45%
±3σ	-32.46%	31.73%	98.71%	99.73%

Descriptive Statistics

均值	-0.367%
Standard Error	0.702%
中位数	-0.537%
Mode	-37.197%
Standard Deviation	10.699%
Sample Variance	114.466%
峰度	1.89
偏度	0.21
Range	82.625%
Minimum	-37.197%
Maximum	45.428%
Count	232

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.915%	113	48.71%	3.855%
负向	-8.301%	118	50.86%	-4.222%
Zero	0.000%	1	0.43%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	10.65%
12	1 Quarter	13.66%
52	1 Year	12.53%
156	3 Years	14.44%
260	5 Years	15.84%
520	10 Years	15.84%
1,040	20 Years	15.84%
2,600	50 Years	15.84%

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 2.00. Further, an Excess 峰度 of 5.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.13%	0	0.00%	0.00%
-14.13% to -6.18%	0	0.00%	0.00%
-6.18% to 1.76%	0	0.00%	0.00%
1.76% to 9.71%	46	19.74%	19.74%
9.71% to 17.66%	105	45.06%	64.81%
17.66% to 25.60%	45	19.31%	84.12%
25.60% to 33.55%	19	8.15%	92.27%
33.55% to 41.49%	9	3.86%	96.14%
41.49% to 49.44%	4	1.72%	97.85%
Greater than 49.44%	5	2.15%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.06%	28.25%	83.69%	68.27%
±2σ	-3.54%	38.84%	95.28%	95.45%
±3σ	-14.13%	49.44%	97.85%	99.73%

Descriptive Statistics

均值	17.655%
Standard Error	0.694%
中位数	15.280%
Mode	15.280%
Standard Deviation	10.595%
Sample Variance	112.245%
峰度	5.12
偏度	2.00
Range	62.432%
Minimum	5.438%
Maximum	67.870%
Count	233

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.655%	233	100.00%	17.655%
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 0.93. Further, an Excess 峰度 of 3.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.54%	0	0.00%	0.00%
-32.54% to -24.02%	2	0.86%	0.86%
-24.02% to -15.51%	9	3.86%	4.72%
-15.51% to -6.99%	40	17.17%	21.89%
-6.99% to 1.53%	70	30.04%	51.93%
1.53% to 10.04%	65	27.90%	79.83%
10.04% to 18.56%	36	15.45%	95.28%
18.56% to 27.08%	6	2.58%	97.85%
27.08% to 35.59%	1	0.43%	98.28%
Greater than 35.59%	4	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.83%	12.88%	75.97%	68.27%
±2σ	-21.19%	24.24%	96.14%	95.45%
±3σ	-32.54%	35.59%	98.28%	99.73%

Descriptive Statistics

均值	1.526%
Standard Error	0.744%
中位数	0.676%
Mode	-3.982%
Standard Deviation	11.356%
Sample Variance	128.961%
峰度	3.47
偏度	0.93
Range	84.064%
Minimum	-29.857%
Maximum	54.207%
Count	233

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.247%	124	53.22%	4.921%
负向	-7.257%	109	46.78%	-3.395%
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 0.43. Further, an Excess 峰度 of 1.07 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -64.10%	0	0.00%	0.00%
-64.10% to -48.45%	0	0.00%	0.00%
-48.45% to -32.79%	5	9.43%	9.43%
-32.79% to -17.14%	9	16.98%	26.42%
-17.14% to -1.49%	12	22.64%	49.06%
-1.49% to 14.16%	17	32.08%	81.13%
14.16% to 29.82%	7	13.21%	94.34%
29.82% to 45.47%	2	3.77%	98.11%
45.47% to 61.12%	0	0.00%	98.11%
Greater than 61.12%	1	1.89%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.36%	19.38%	69.81%	68.27%
±2σ	-43.23%	40.25%	98.11%	95.45%
±3σ	-64.10%	61.12%	98.11%	99.73%

Descriptive Statistics

均值	-1.488%
Standard Error	2.867%
中位数	-0.515%
Mode	-42.478%
Standard Deviation	20.870%
Sample Variance	435.561%
峰度	1.07
偏度	0.43
Range	108.384%
Minimum	-42.478%
Maximum	65.906%
Count	53

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.748%	26	49.06%	7.235%
负向	-17.123%	27	50.94%	-8.723%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	26.30%
12	1 Year	26.76%
36	3 Years	30.70%
60	5 Years	32.27%
120	10 Years	32.27%
240	20 Years	32.27%
600	50 Years	32.27%

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 1.61. Further, an Excess 峰度 of 2.60 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.04%	0	0.00%	0.00%
-22.04% to -6.23%	0	0.00%	0.00%
-6.23% to 9.58%	0	0.00%	0.00%
9.58% to 25.39%	9	16.67%	16.67%
25.39% to 41.20%	26	48.15%	64.81%
41.20% to 57.01%	9	16.67%	81.48%
57.01% to 72.82%	5	9.26%	90.74%
72.82% to 88.63%	3	5.56%	96.30%
88.63% to 104.44%	1	1.85%	98.15%
Greater than 104.44%	1	1.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	20.12%	62.28%	77.78%	68.27%
±2σ	-0.96%	83.36%	92.59%	95.45%
±3σ	-22.04%	104.44%	98.15%	99.73%

Descriptive Statistics

均值	41.199%
Standard Error	2.868%
中位数	34.989%
Mode	11.614%
Standard Deviation	21.079%
Sample Variance	444.322%
峰度	2.60
偏度	1.61
Range	101.986%
Minimum	11.614%
Maximum	113.600%
Count	54

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	41.199%	54	100.00%	41.199%
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 1.07. Further, an Excess 峰度 of 1.14 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -64.08%	0	0.00%	0.00%
-64.08% to -46.67%	0	0.00%	0.00%
-46.67% to -29.27%	1	1.85%	1.85%
-29.27% to -11.87%	10	18.52%	20.37%
-11.87% to 5.54%	23	42.59%	62.96%
5.54% to 22.94%	9	16.67%	79.63%
22.94% to 40.34%	6	11.11%	90.74%
40.34% to 57.74%	2	3.70%	94.44%
57.74% to 75.15%	3	5.56%	100.00%
Greater than 75.15%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.67%	28.74%	74.07%	68.27%
±2σ	-40.87%	51.94%	94.44%	95.45%
±3σ	-64.08%	75.15%	100.00%	99.73%

Descriptive Statistics

均值	5.535%
Standard Error	3.158%
中位数	-0.373%
Mode	-35.456%
Standard Deviation	23.204%
Sample Variance	538.440%
峰度	1.14
偏度	1.07
Range	108.896%
Minimum	-35.456%
Maximum	73.440%
Count	54

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.357%	26	48.15%	11.246%
负向	-11.014%	28	51.85%	-5.711%
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 1.77 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -134.95%	0	0.00%	0.00%
-134.95% to -101.08%	0	0.00%	0.00%
-101.08% to -67.21%	0	0.00%	0.00%
-67.21% to -33.33%	6	35.29%	35.29%
-33.33% to 0.54%	2	11.76%	47.06%
0.54% to 34.41%	7	41.18%	88.24%
34.41% to 68.28%	0	0.00%	88.24%
68.28% to 102.16%	1	5.88%	94.12%
102.16% to 136.03%	1	5.88%	100.00%
Greater than 136.03%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-44.62%	45.70%	82.35%	68.27%
±2σ	-89.79%	90.86%	94.12%	95.45%
±3σ	-134.95%	136.03%	100.00%	99.73%

Descriptive Statistics

均值	0.538%
Standard Error	10.954%
中位数	1.953%
Mode	-54.001%
Standard Deviation	45.163%
Sample Variance	2039.663%
峰度	1.77
偏度	1.25
Range	169.602%
Minimum	-54.001%
Maximum	115.601%
Count	17

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.512%	9	52.94%	16.153%
负向	-33.184%	8	47.06%	-15.616%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	45.89%
12	3 Years	60.51%
20	5 Years	58.25%
40	10 Years	58.25%
80	20 Years	58.25%
200	50 Years	58.25%

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 1.85. Further, an Excess 峰度 of 4.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -71.12%	0	0.00%	0.00%
-71.12% to -30.64%	0	0.00%	0.00%
-30.64% to 9.84%	0	0.00%	0.00%
9.84% to 50.33%	5	27.78%	27.78%
50.33% to 90.81%	7	38.89%	66.67%
90.81% to 131.29%	3	16.67%	83.33%
131.29% to 171.78%	2	11.11%	94.44%
171.78% to 212.26%	0	0.00%	94.44%
212.26% to 252.74%	0	0.00%	94.44%
Greater than 252.74%	1	5.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	36.83%	144.79%	88.89%	68.27%
±2σ	-17.15%	198.76%	94.44%	95.45%
±3σ	-71.12%	252.74%	94.44%	99.73%

Descriptive Statistics

均值	90.809%
Standard Error	12.723%
中位数	81.936%
Mode	36.082%
Standard Deviation	53.978%
Sample Variance	2913.646%
峰度	4.75
偏度	1.85
Range	222.858%
Minimum	36.082%
Maximum	258.940%
Count	18

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	90.809%	18	100.00%	90.809%
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 0.47. 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 -127.66%	0	0.00%	0.00%
-127.66% to -90.61%	0	0.00%	0.00%
-90.61% to -53.56%	1	5.56%	5.56%
-53.56% to -16.51%	2	11.11%	16.67%
-16.51% to 20.54%	8	44.44%	61.11%
20.54% to 57.58%	1	5.56%	66.67%
57.58% to 94.63%	5	27.78%	94.44%
94.63% to 131.68%	1	5.56%	100.00%
131.68% to 168.73%	0	0.00%	100.00%
Greater than 168.73%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-28.86%	69.93%	72.22%	68.27%
±2σ	-78.26%	119.33%	94.44%	95.45%
±3σ	-127.66%	168.73%	100.00%	99.73%

Descriptive Statistics

均值	20.535%
Standard Error	11.643%
中位数	2.112%
Mode	-53.672%
Standard Deviation	49.398%
Sample Variance	2440.182%
峰度	-0.73
偏度	0.47
Range	176.159%
Minimum	-53.672%
Maximum	122.487%
Count	18

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	60.075%	9	50.00%	30.038%
负向	-19.005%	9	50.00%	-9.502%
Zero	0.000%	0	0.00%	0.000%

RIVN 深度分析报告