ROKU 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	4.65%	3.23%	3.76%	5.51%	3.85%	3.95%	110.87	119.74	106.68	124.45
周度	11.60%	11.75%	10.66%	13.20%	8.48%	8.69%	105.85	125.42	97.25	136.51
月度	23.57%	22.48%	20.75%	28.51%	17.65%	18.09%	96.58	137.46	80.95	164.00
季度	37.53%	37.45%	35.45%	50.93%	30.57%	31.33%	84.87	156.42	62.52	212.36
Annual	—	—	—	—	61.14%	62.66%	62.52	212.36	33.92	391.39
Option Time Horizon	—	—	—	—	23.30%	23.88%	91.27	145.45	72.30	183.61

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $115.22 | Strike (K): $120.00 (first OTM call ≥ spot) | Observed Mid-价格: $9.0500 (Bid $8.8500 / Ask $9.2500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 61.14% (CRR binomial tree, American, n=20 steps) | BS IV: 61.82% (European Black-Scholes) | Yahoo IV (Annual): 62.66% → 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 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.26. Further, an Excess 峰度 of 14.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.76%	13	0.60%	0.60%
-13.76% to -10.28%	17	0.79%	1.39%
-10.28% to -6.79%	59	2.74%	4.13%
-6.79% to -3.31%	264	12.26%	16.40%
-3.31% to 0.18%	765	35.53%	51.93%
0.18% to 3.66%	695	32.28%	84.21%
3.66% to 7.15%	235	10.92%	95.12%
7.15% to 10.63%	63	2.93%	98.05%
10.63% to 14.12%	25	1.16%	99.21%
Greater than 14.12%	17	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.47%	4.83%	79.66%	68.27%
±2σ	-9.12%	9.47%	95.68%	95.45%
±3σ	-13.76%	14.12%	98.61%	99.73%

Descriptive Statistics

均值	0.179%
Standard Error	0.100%
中位数	0.034%
Mode	0.000%
Standard Deviation	4.647%
Sample Variance	21.591%
峰度	14.60
偏度	1.26
Range	78.746%
Minimum	-23.810%
Maximum	54.936%
Count	2153

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.271%	1084	50.35%	1.647%
负向	-2.967%	1065	49.47%	-1.468%
Zero	0.000%	4	0.19%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.16%
20	1 Month	4.49%
60	1 Quarter	5.06%
250	1 Year	4.34%
750	3 Years	4.75%
1,250	5 Years	5.51%
2,500	10 Years	5.86%
5,000	20 Years	5.86%
12,500	50 Years	5.86%

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 3.47. Further, an Excess 峰度 of 26.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.07%	0	0.00%	0.00%
-4.07% to -1.64%	0	0.00%	0.00%
-1.64% to 0.78%	0	0.00%	0.00%
0.78% to 3.20%	369	17.13%	17.13%
3.20% to 5.63%	967	44.89%	62.02%
5.63% to 8.05%	493	22.89%	84.91%
8.05% to 10.47%	190	8.82%	93.73%
10.47% to 12.90%	74	3.44%	97.17%
12.90% to 15.32%	27	1.25%	98.42%
Greater than 15.32%	34	1.58%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.40%	8.86%	84.54%	68.27%
±2σ	-0.83%	12.09%	96.15%	95.45%
±3σ	-4.07%	15.32%	98.42%	99.73%

Descriptive Statistics

均值	5.627%
Standard Error	0.070%
中位数	4.872%
Mode	4.388%
Standard Deviation	3.231%
Sample Variance	10.438%
峰度	26.38
偏度	3.47
Range	48.159%
Minimum	1.047%
Maximum	49.206%
Count	2154

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.627%	2154	100.00%	5.627%
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 -0.32. Further, an Excess 峰度 of 5.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.23%	17	0.79%	0.79%
-11.23% to -8.41%	21	0.97%	1.76%
-8.41% to -5.60%	69	3.20%	4.97%
-5.60% to -2.78%	283	13.14%	18.11%
-2.78% to 0.04%	678	31.48%	49.58%
0.04% to 2.85%	680	31.57%	81.15%
2.85% to 5.67%	285	13.23%	94.38%
5.67% to 8.49%	94	4.36%	98.75%
8.49% to 11.30%	20	0.93%	99.68%
Greater than 11.30%	7	0.32%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.72%	3.79%	74.84%	68.27%
±2σ	-7.47%	7.55%	95.17%	95.45%
±3σ	-11.23%	11.30%	98.89%	99.73%

Descriptive Statistics

均值	0.037%
Standard Error	0.081%
中位数	0.073%
Mode	0.000%
Standard Deviation	3.756%
Sample Variance	14.106%
峰度	5.42
偏度	-0.32
Range	59.261%
Minimum	-32.766%
Maximum	26.495%
Count	2154

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.743%	1091	50.65%	1.389%
负向	-2.756%	1057	49.07%	-1.352%
Zero	0.000%	6	0.28%	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 2.79. Further, an Excess 峰度 of 25.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.85%	0	0.00%	0.00%
-33.85% to -25.15%	5	1.12%	1.12%
-25.15% to -16.45%	7	1.57%	2.68%
-16.45% to -7.75%	71	15.88%	18.57%
-7.75% to 0.95%	153	34.23%	52.80%
0.95% to 9.65%	141	31.54%	84.34%
9.65% to 18.34%	52	11.63%	95.97%
18.34% to 27.04%	10	2.24%	98.21%
27.04% to 35.74%	4	0.89%	99.11%
Greater than 35.74%	4	0.89%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.65%	12.55%	78.97%	68.27%
±2σ	-22.25%	24.14%	96.64%	95.45%
±3σ	-33.85%	35.74%	99.11%	99.73%

Descriptive Statistics

均值	0.948%
Standard Error	0.549%
中位数	0.350%
Mode	2.004%
Standard Deviation	11.598%
Sample Variance	134.523%
峰度	25.96
偏度	2.79
Range	154.518%
Minimum	-33.680%
Maximum	120.838%
Count	447

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.358%	232	51.90%	4.338%
负向	-7.081%	214	47.88%	-3.390%
Zero	0.000%	1	0.22%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	10.83%
12	1 Quarter	12.28%
52	1 Year	10.12%
156	3 Years	11.42%
260	5 Years	13.20%
520	10 Years	14.24%
1,040	20 Years	14.24%
2,600	50 Years	14.24%

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 5.20. Further, an Excess 峰度 of 49.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.66%	0	0.00%	0.00%
-19.66% to -10.84%	0	0.00%	0.00%
-10.84% to -2.03%	0	0.00%	0.00%
-2.03% to 6.79%	43	9.60%	9.60%
6.79% to 15.60%	247	55.13%	64.73%
15.60% to 24.41%	105	23.44%	88.17%
24.41% to 33.23%	30	6.70%	94.87%
33.23% to 42.04%	9	2.01%	96.88%
42.04% to 50.86%	8	1.79%	98.66%
Greater than 50.86%	6	1.34%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.85%	27.35%	90.62%	68.27%
±2σ	-7.90%	39.10%	96.43%	95.45%
±3σ	-19.66%	50.86%	98.66%	99.73%

Descriptive Statistics

均值	15.600%
Standard Error	0.555%
中位数	12.495%
Mode	7.756%
Standard Deviation	11.752%
Sample Variance	138.113%
峰度	49.23
偏度	5.20
Range	151.783%
Minimum	4.076%
Maximum	155.859%
Count	448

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.600%	448	100.00%	15.600%
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 0.32. Further, an Excess 峰度 of 4.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.62%	3	0.67%	0.67%
-31.62% to -23.63%	4	0.89%	1.56%
-23.63% to -15.63%	13	2.90%	4.46%
-15.63% to -7.64%	63	14.06%	18.53%
-7.64% to 0.35%	152	33.93%	52.46%
0.35% to 8.34%	132	29.46%	81.92%
8.34% to 16.33%	59	13.17%	95.09%
16.33% to 24.33%	14	3.12%	98.21%
24.33% to 32.32%	4	0.89%	99.11%
Greater than 32.32%	4	0.89%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.31%	11.01%	75.22%	68.27%
±2σ	-20.96%	21.66%	95.54%	95.45%
±3σ	-31.62%	32.32%	98.44%	99.73%

Descriptive Statistics

均值	0.350%
Standard Error	0.503%
中位数	-0.239%
Mode	-14.688%
Standard Deviation	10.656%
Sample Variance	113.557%
峰度	4.45
偏度	0.32
Range	113.254%
Minimum	-54.952%
Maximum	58.302%
Count	448

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.298%	216	48.21%	4.001%
负向	-7.049%	232	51.79%	-3.650%
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 1.53. Further, an Excess 峰度 of 4.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -66.96%	0	0.00%	0.00%
-66.96% to -49.28%	0	0.00%	0.00%
-49.28% to -31.60%	1	0.97%	0.97%
-31.60% to -13.91%	23	22.33%	23.30%
-13.91% to 3.77%	34	33.01%	56.31%
3.77% to 21.45%	29	28.16%	84.47%
21.45% to 39.13%	6	5.83%	90.29%
39.13% to 56.81%	8	7.77%	98.06%
56.81% to 74.49%	0	0.00%	98.06%
Greater than 74.49%	2	1.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.81%	27.34%	72.82%	68.27%
±2σ	-43.38%	50.92%	98.06%	95.45%
±3σ	-66.96%	74.49%	98.06%	99.73%

Descriptive Statistics

均值	3.766%
Standard Error	2.323%
中位数	1.747%
Mode	-32.770%
Standard Deviation	23.575%
Sample Variance	555.758%
峰度	4.43
偏度	1.53
Range	148.177%
Minimum	-32.770%
Maximum	115.407%
Count	103

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.163%	58	56.31%	10.228%
负向	-14.792%	45	43.69%	-6.462%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	23.62%
12	1 Year	20.95%
36	3 Years	25.73%
60	5 Years	28.51%
120	10 Years	32.77%
240	20 Years	32.77%
600	50 Years	32.77%

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 2.80. Further, an Excess 峰度 of 13.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.07%	0	0.00%	0.00%
-28.07% to -11.21%	0	0.00%	0.00%
-11.21% to 5.65%	0	0.00%	0.00%
5.65% to 22.51%	15	14.42%	14.42%
22.51% to 39.37%	46	44.23%	58.65%
39.37% to 56.24%	25	24.04%	82.69%
56.24% to 73.10%	12	11.54%	94.23%
73.10% to 89.96%	4	3.85%	98.08%
89.96% to 106.82%	1	0.96%	99.04%
Greater than 106.82%	1	0.96%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.89%	61.86%	83.65%	68.27%
±2σ	-5.59%	84.34%	96.15%	95.45%
±3σ	-28.07%	106.82%	99.04%	99.73%

Descriptive Statistics

均值	39.374%
Standard Error	2.204%
中位数	33.749%
Mode	9.247%
Standard Deviation	22.482%
Sample Variance	505.418%
峰度	13.83
偏度	2.80
Range	169.833%
Minimum	9.247%
Maximum	179.080%
Count	104

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	39.374%	104	100.00%	39.374%
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 0.11. Further, an Excess 峰度 of -0.07 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -61.74%	0	0.00%	0.00%
-61.74% to -46.18%	1	0.96%	0.96%
-46.18% to -30.62%	7	6.73%	7.69%
-30.62% to -15.05%	11	10.58%	18.27%
-15.05% to 0.51%	40	38.46%	56.73%
0.51% to 16.07%	23	22.12%	78.85%
16.07% to 31.64%	12	11.54%	90.38%
31.64% to 47.20%	9	8.65%	99.04%
47.20% to 62.76%	1	0.96%	100.00%
Greater than 62.76%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.24%	21.26%	70.19%	68.27%
±2σ	-40.99%	42.01%	96.15%	95.45%
±3σ	-61.74%	62.76%	100.00%	99.73%

Descriptive Statistics

均值	0.510%
Standard Error	2.035%
中位数	-2.368%
Mode	-53.440%
Standard Deviation	20.751%
Sample Variance	430.621%
峰度	-0.07
偏度	0.11
Range	101.691%
Minimum	-53.440%
Maximum	48.251%
Count	104

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.716%	46	44.23%	8.278%
负向	-13.930%	58	55.77%	-7.769%
Zero	0.000%	0	0.00%	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 0.53. Further, an Excess 峰度 of -0.22 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -101.32%	0	0.00%	0.00%
-101.32% to -73.17%	0	0.00%	0.00%
-73.17% to -45.02%	1	2.94%	2.94%
-45.02% to -16.87%	9	26.47%	29.41%
-16.87% to 11.28%	8	23.53%	52.94%
11.28% to 39.43%	8	23.53%	76.47%
39.43% to 67.58%	5	14.71%	91.18%
67.58% to 95.73%	2	5.88%	97.06%
95.73% to 123.88%	1	2.94%	100.00%
Greater than 123.88%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-26.25%	48.81%	70.59%	68.27%
±2σ	-63.79%	86.35%	94.12%	95.45%
±3σ	-101.32%	123.88%	100.00%	99.73%

Descriptive Statistics

均值	11.281%
Standard Error	6.437%
中位数	6.806%
Mode	-46.195%
Standard Deviation	37.533%
Sample Variance	1408.696%
峰度	-0.22
偏度	0.53
Range	145.508%
Minimum	-46.195%
Maximum	99.313%
Count	34

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.907%	20	58.82%	21.122%
负向	-23.900%	14	41.18%	-9.841%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	40.90%
12	3 Years	50.85%
20	5 Years	50.93%
40	10 Years	61.46%
80	20 Years	61.46%
200	50 Years	61.46%

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 1.66. Further, an Excess 峰度 of 4.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.78%	0	0.00%	0.00%
-31.78% to -3.69%	0	0.00%	0.00%
-3.69% to 24.41%	0	0.00%	0.00%
24.41% to 52.50%	7	20.00%	20.00%
52.50% to 80.59%	14	40.00%	60.00%
80.59% to 108.68%	8	22.86%	82.86%
108.68% to 136.77%	4	11.43%	94.29%
136.77% to 164.86%	1	2.86%	97.14%
164.86% to 192.95%	0	0.00%	97.14%
Greater than 192.95%	1	2.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	43.13%	118.04%	74.29%	68.27%
±2σ	5.68%	155.49%	94.29%	95.45%
±3σ	-31.78%	192.95%	97.14%	99.73%

Descriptive Statistics

均值	80.586%
Standard Error	6.331%
中位数	77.897%
Mode	28.478%
Standard Deviation	37.454%
Sample Variance	1402.776%
峰度	4.27
偏度	1.66
Range	188.315%
Minimum	28.478%
Maximum	216.793%
Count	35

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	80.586%	35	100.00%	80.586%
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 0.83. Further, an Excess 峰度 of 0.05 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -105.99%	0	0.00%	0.00%
-105.99% to -79.40%	0	0.00%	0.00%
-79.40% to -52.81%	0	0.00%	0.00%
-52.81% to -26.22%	8	22.86%	22.86%
-26.22% to 0.36%	11	31.43%	54.29%
0.36% to 26.95%	10	28.57%	82.86%
26.95% to 53.54%	2	5.71%	88.57%
53.54% to 80.13%	2	5.71%	94.29%
80.13% to 106.71%	2	5.71%	100.00%
Greater than 106.71%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-35.09%	35.81%	71.43%	68.27%
±2σ	-70.54%	71.26%	94.29%	95.45%
±3σ	-105.99%	106.71%	100.00%	99.73%

Descriptive Statistics

均值	0.364%
Standard Error	5.992%
中位数	-8.567%
Mode	-49.680%
Standard Deviation	35.450%
Sample Variance	1256.684%
峰度	0.05
偏度	0.83
Range	136.503%
Minimum	-49.680%
Maximum	86.823%
Count	35

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	31.859%	16	45.71%	14.564%
负向	-26.159%	19	54.29%	-14.201%
Zero	0.000%	0	0.00%	0.000%

ROKU 深度分析报告