SNAP 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	4.54%	2.55%	3.15%	5.40%	5.05%	5.14%	5.37	5.94	5.11	6.25
周度	9.33%	9.11%	9.50%	12.93%	11.11%	11.32%	5.06	6.31	4.52	7.06
月度	17.73%	18.58%	19.67%	28.58%	23.12%	23.57%	4.48	7.12	3.56	8.97
季度	31.45%	37.42%	41.66%	45.18%	40.05%	40.82%	3.79	8.43	2.54	12.59
Annual	—	—	—	—	80.10%	81.64%	2.54	12.59	1.14	28.04
Option Time Horizon	—	—	—	—	30.52%	31.11%	4.16	7.67	3.07	10.40

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $5.65 | Strike (K): $6.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.5650 (Bid $0.5500 / Ask $0.5800) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 80.10% (CRR binomial tree, American, n=20 steps) | BS IV: 81.05% (European Black-Scholes) | Yahoo IV (Annual): 81.64% → 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 0.74. Further, an Excess 峰度 of 30.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.58%	17	0.74%	0.74%
-13.58% to -10.17%	8	0.35%	1.09%
-10.17% to -6.77%	48	2.09%	3.18%
-6.77% to -3.36%	244	10.61%	13.79%
-3.36% to 0.04%	857	37.28%	51.07%
0.04% to 3.44%	799	34.75%	85.82%
3.44% to 6.85%	245	10.66%	96.48%
6.85% to 10.25%	57	2.48%	98.96%
10.25% to 13.66%	12	0.52%	99.48%
Greater than 13.66%	12	0.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.50%	4.58%	83.08%	68.27%
±2σ	-9.04%	9.12%	96.82%	95.45%
±3σ	-13.58%	13.66%	98.74%	99.73%

Descriptive Statistics

均值	0.040%
Standard Error	0.095%
中位数	-0.058%
Mode	0.000%
Standard Deviation	4.539%
Sample Variance	20.602%
峰度	30.45
偏度	0.74
Range	101.896%
Minimum	-43.080%
Maximum	58.816%
Count	2299

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.924%	1126	48.98%	1.432%
负向	-2.778%	1152	50.11%	-1.392%
Zero	0.000%	21	0.91%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.26%
20	1 Month	6.84%
60	1 Quarter	5.80%
250	1 Year	4.69%
750	3 Years	4.72%
1,250	5 Years	5.40%
2,500	10 Years	5.25%
5,000	20 Years	5.25%
12,500	50 Years	5.25%

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 2.27. Further, an Excess 峰度 of 10.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.77%	0	0.00%	0.00%
-2.77% to -0.86%	0	0.00%	0.00%
-0.86% to 1.05%	2	0.09%	0.09%
1.05% to 2.96%	471	20.48%	20.57%
2.96% to 4.87%	928	40.35%	60.91%
4.87% to 6.78%	525	22.83%	83.74%
6.78% to 8.69%	213	9.26%	93.00%
8.69% to 10.60%	86	3.74%	96.74%
10.60% to 12.51%	36	1.57%	98.30%
Greater than 12.51%	39	1.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.32%	7.42%	79.87%	68.27%
±2σ	-0.22%	9.96%	95.91%	95.45%
±3σ	-2.77%	12.51%	98.30%	99.73%

Descriptive Statistics

均值	4.870%
Standard Error	0.053%
中位数	4.309%
Mode	5.089%
Standard Deviation	2.546%
Sample Variance	6.481%
峰度	10.09
偏度	2.27
Range	27.524%
Minimum	0.841%
Maximum	28.365%
Count	2300

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.870%	2300	100.00%	4.870%
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 -0.01. Further, an Excess 峰度 of 2.59 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.42%	12	0.52%	0.52%
-9.42% to -7.06%	27	1.17%	1.70%
-7.06% to -4.70%	93	4.04%	5.74%
-4.70% to -2.33%	305	13.26%	19.00%
-2.33% to 0.03%	728	31.65%	50.65%
0.03% to 2.39%	697	30.30%	80.96%
2.39% to 4.75%	309	13.43%	94.39%
4.75% to 7.12%	88	3.83%	98.22%
7.12% to 9.48%	26	1.13%	99.35%
Greater than 9.48%	15	0.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.12%	3.18%	73.39%	68.27%
±2σ	-6.27%	6.33%	95.00%	95.45%
±3σ	-9.42%	9.48%	98.83%	99.73%

Descriptive Statistics

均值	0.030%
Standard Error	0.066%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.150%
Sample Variance	9.923%
峰度	2.59
偏度	-0.01
Range	37.218%
Minimum	-18.707%
Maximum	18.511%
Count	2300

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.403%	1136	49.39%	1.187%
负向	-2.356%	1130	49.13%	-1.158%
Zero	0.000%	34	1.48%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.19. Further, an Excess 峰度 of 2.48 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.84%	5	1.05%	1.05%
-27.84% to -20.85%	6	1.26%	2.31%
-20.85% to -13.85%	10	2.10%	4.40%
-13.85% to -6.86%	68	14.26%	18.66%
-6.86% to 0.14%	158	33.12%	51.78%
0.14% to 7.13%	145	30.40%	82.18%
7.13% to 14.13%	56	11.74%	93.92%
14.13% to 21.12%	21	4.40%	98.32%
21.12% to 28.12%	3	0.63%	98.95%
Greater than 28.12%	5	1.05%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.19%	9.46%	75.68%	68.27%
±2σ	-18.52%	18.79%	94.34%	95.45%
±3σ	-27.84%	28.12%	97.90%	99.73%

Descriptive Statistics

均值	0.137%
Standard Error	0.427%
中位数	-0.365%
Mode	-8.364%
Standard Deviation	9.327%
Sample Variance	87.000%
峰度	2.48
偏度	0.19
Range	78.756%
Minimum	-34.757%
Maximum	43.999%
Count	477

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.160%	233	48.85%	3.497%
负向	-6.597%	243	50.94%	-3.361%
Zero	0.000%	1	0.21%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	15.72%
12	1 Quarter	14.04%
52	1 Year	11.03%
156	3 Years	11.15%
260	5 Years	12.93%
520	10 Years	12.60%
1,040	20 Years	12.60%
2,600	50 Years	12.60%

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 2.95. Further, an Excess 峰度 of 12.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.79%	0	0.00%	0.00%
-13.79% to -6.95%	0	0.00%	0.00%
-6.95% to -0.12%	0	0.00%	0.00%
-0.12% to 6.72%	64	13.39%	13.39%
6.72% to 13.56%	244	51.05%	64.44%
13.56% to 20.39%	107	22.38%	86.82%
20.39% to 27.23%	34	7.11%	93.93%
27.23% to 34.06%	14	2.93%	96.86%
34.06% to 40.90%	6	1.26%	98.12%
Greater than 40.90%	9	1.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.44%	22.67%	87.45%	68.27%
±2σ	-4.67%	31.78%	95.40%	95.45%
±3σ	-13.79%	40.90%	98.12%	99.73%

Descriptive Statistics

均值	13.556%
Standard Error	0.417%
中位数	11.143%
Mode	13.491%
Standard Deviation	9.114%
Sample Variance	83.071%
峰度	12.41
偏度	2.95
Range	68.519%
Minimum	2.754%
Maximum	71.273%
Count	478

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.556%	478	100.00%	13.556%
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 4.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.76%	1	0.21%	0.21%
-27.76% to -20.63%	4	0.84%	1.05%
-20.63% to -13.51%	14	2.93%	3.97%
-13.51% to -6.38%	69	14.44%	18.41%
-6.38% to 0.75%	166	34.73%	53.14%
0.75% to 7.87%	141	29.50%	82.64%
7.87% to 15.00%	62	12.97%	95.61%
15.00% to 22.13%	7	1.46%	97.07%
22.13% to 29.25%	5	1.05%	98.12%
Greater than 29.25%	9	1.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.76%	10.25%	77.62%	68.27%
±2σ	-18.26%	19.75%	95.40%	95.45%
±3σ	-27.76%	29.25%	97.91%	99.73%

Descriptive Statistics

均值	0.746%
Standard Error	0.435%
中位数	-0.063%
Mode	-0.423%
Standard Deviation	9.502%
Sample Variance	90.282%
峰度	4.36
偏度	1.07
Range	84.289%
Minimum	-31.476%
Maximum	52.813%
Count	478

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.624%	236	49.37%	3.764%
负向	-6.012%	240	50.21%	-3.019%
Zero	0.000%	2	0.42%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.28. Further, an Excess 峰度 of 0.57 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -52.88%	0	0.00%	0.00%
-52.88% to -39.58%	1	0.92%	0.92%
-39.58% to -26.28%	4	3.67%	4.59%
-26.28% to -12.98%	19	17.43%	22.02%
-12.98% to 0.31%	31	28.44%	50.46%
0.31% to 13.61%	32	29.36%	79.82%
13.61% to 26.91%	15	13.76%	93.58%
26.91% to 40.21%	4	3.67%	97.25%
40.21% to 53.50%	3	2.75%	100.00%
Greater than 53.50%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.42%	18.04%	70.64%	68.27%
±2σ	-35.15%	35.77%	95.41%	95.45%
±3σ	-52.88%	53.50%	100.00%	99.73%

Descriptive Statistics

均值	0.314%
Standard Error	1.698%
中位数	0.207%
Mode	-50.422%
Standard Deviation	17.730%
Sample Variance	314.349%
峰度	0.57
偏度	0.28
Range	101.284%
Minimum	-50.422%
Maximum	50.862%
Count	109

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.694%	56	51.38%	7.035%
负向	-13.823%	53	48.62%	-6.721%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	34.32%
12	1 Year	25.05%
36	3 Years	26.15%
60	5 Years	28.58%
120	10 Years	27.68%
240	20 Years	27.68%
600	50 Years	27.68%

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 2.44. Further, an Excess 峰度 of 9.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.13%	0	0.00%	0.00%
-22.13% to -8.19%	0	0.00%	0.00%
-8.19% to 5.74%	0	0.00%	0.00%
5.74% to 19.68%	24	21.82%	21.82%
19.68% to 33.62%	46	41.82%	63.64%
33.62% to 47.55%	21	19.09%	82.73%
47.55% to 61.49%	9	8.18%	90.91%
61.49% to 75.43%	7	6.36%	97.27%
75.43% to 89.36%	2	1.82%	99.09%
Greater than 89.36%	1	0.91%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	15.03%	52.20%	85.45%	68.27%
±2σ	-3.55%	70.78%	96.36%	95.45%
±3σ	-22.13%	89.36%	99.09%	99.73%

Descriptive Statistics

均值	33.617%
Standard Error	1.772%
中位数	28.793%
Mode	12.518%
Standard Deviation	18.582%
Sample Variance	345.278%
峰度	9.61
偏度	2.44
Range	128.040%
Minimum	12.518%
Maximum	140.558%
Count	110

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	33.617%	110	100.00%	33.617%
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 1.35. Further, an Excess 峰度 of 4.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -55.81%	0	0.00%	0.00%
-55.81% to -41.05%	0	0.00%	0.00%
-41.05% to -26.30%	4	3.64%	3.64%
-26.30% to -11.54%	16	14.55%	18.18%
-11.54% to 3.21%	42	38.18%	56.36%
3.21% to 17.96%	26	23.64%	80.00%
17.96% to 32.72%	16	14.55%	94.55%
32.72% to 47.47%	4	3.64%	98.18%
47.47% to 62.23%	1	0.91%	99.09%
Greater than 62.23%	1	0.91%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.46%	22.88%	72.73%	68.27%
±2σ	-36.13%	42.55%	96.36%	95.45%
±3σ	-55.81%	62.23%	99.09%	99.73%

Descriptive Statistics

均值	3.210%
Standard Error	1.876%
中位数	0.253%
Mode	-35.718%
Standard Deviation	19.672%
Sample Variance	386.988%
峰度	4.55
偏度	1.35
Range	136.001%
Minimum	-35.718%
Maximum	100.283%
Count	110

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.477%	55	50.00%	8.738%
负向	-11.263%	54	49.09%	-5.529%
Zero	0.000%	1	0.91%	0.000%

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 0.27 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -93.19%	0	0.00%	0.00%
-93.19% to -69.61%	0	0.00%	0.00%
-69.61% to -46.02%	2	5.56%	5.56%
-46.02% to -22.43%	5	13.89%	19.44%
-22.43% to 1.15%	15	41.67%	61.11%
1.15% to 24.74%	7	19.44%	80.56%
24.74% to 48.33%	3	8.33%	88.89%
48.33% to 71.91%	3	8.33%	97.22%
71.91% to 95.50%	1	2.78%	100.00%
Greater than 95.50%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.30%	32.60%	75.00%	68.27%
±2σ	-61.75%	64.05%	91.67%	95.45%
±3σ	-93.20%	95.50%	100.00%	99.73%

Descriptive Statistics

均值	1.152%
Standard Error	5.242%
中位数	-6.220%
Mode	-65.285%
Standard Deviation	31.449%
Sample Variance	989.049%
峰度	0.27
偏度	0.47
Range	140.976%
Minimum	-65.285%
Maximum	75.691%
Count	36

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	28.627%	16	44.44%	12.723%
负向	-20.827%	20	55.56%	-11.571%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	33.97%
12	3 Years	41.31%
20	5 Years	45.18%
40	10 Years	49.06%
80	20 Years	49.06%
200	50 Years	49.06%

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 2.31. Further, an Excess 峰度 of 7.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.69%	0	0.00%	0.00%
-43.69% to -15.63%	0	0.00%	0.00%
-15.63% to 12.44%	0	0.00%	0.00%
12.44% to 40.50%	8	21.62%	21.62%
40.50% to 68.56%	15	40.54%	62.16%
68.56% to 96.63%	9	24.32%	86.49%
96.63% to 124.69%	2	5.41%	91.89%
124.69% to 152.76%	2	5.41%	97.30%
152.76% to 180.82%	0	0.00%	97.30%
Greater than 180.82%	1	2.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	31.14%	105.98%	86.49%	68.27%
±2σ	-6.27%	143.40%	97.30%	95.45%
±3σ	-43.69%	180.82%	97.30%	99.73%

Descriptive Statistics

均值	68.563%
Standard Error	6.152%
中位数	59.309%
Mode	27.702%
Standard Deviation	37.419%
Sample Variance	1400.200%
峰度	7.36
偏度	2.31
Range	195.531%
Minimum	27.702%
Maximum	223.233%
Count	37

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	68.563%	37	100.00%	68.563%
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 2.32. Further, an Excess 峰度 of 8.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -115.25%	0	0.00%	0.00%
-115.25% to -84.01%	0	0.00%	0.00%
-84.01% to -52.76%	0	0.00%	0.00%
-52.76% to -21.51%	7	18.92%	18.92%
-21.51% to 9.73%	13	35.14%	54.05%
9.73% to 40.98%	12	32.43%	86.49%
40.98% to 72.23%	3	8.11%	94.59%
72.23% to 103.48%	1	2.70%	97.30%
103.48% to 134.72%	0	0.00%	97.30%
Greater than 134.72%	1	2.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.93%	51.40%	78.38%	68.27%
±2σ	-73.59%	93.06%	97.30%	95.45%
±3σ	-115.25%	134.72%	97.30%	99.73%

Descriptive Statistics

均值	9.735%
Standard Error	6.849%
中位数	6.910%
Mode	-44.428%
Standard Deviation	41.663%
Sample Variance	1735.810%
峰度	8.23
偏度	2.32
Range	230.460%
Minimum	-44.428%
Maximum	186.032%
Count	37

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	32.341%	21	56.76%	18.356%
负向	-19.936%	16	43.24%	-8.621%
Zero	0.000%	0	0.00%	0.000%

SNAP 深度分析报告