SNDL 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	7.26%	8.36%	5.84%	6.20%	5.81%	5.81%	1.42	1.60	1.34	1.70
周度	20.02%	27.41%	15.06%	14.55%	12.79%	12.78%	1.33	1.72	1.17	1.95
月度	52.08%	75.92%	34.83%	31.17%	26.62%	26.61%	1.16	1.97	0.89	2.57
季度	98.70%	180.31%	93.87%	56.50%	46.11%	46.09%	0.95	2.39	0.60	3.80
Annual	—	—	—	—	92.23%	92.19%	0.60	3.80	0.24	9.55
Option Time Horizon	—	—	—	—	35.14%	35.13%	1.06	2.15	0.75	3.05

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $1.51 | Strike (K): $2.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.0750 (Bid $0.0500 / Ask $0.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 92.23% (CRR binomial tree, American, n=20 steps) | BS IV: 92.45% (European Black-Scholes) | Yahoo IV (Annual): 92.19% → 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 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.73. Further, an Excess 峰度 of 41.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.77%	6	0.35%	0.35%
-21.77% to -16.33%	7	0.41%	0.77%
-16.33% to -10.89%	21	1.24%	2.01%
-10.89% to -5.45%	158	9.34%	11.35%
-5.45% to -0.00%	704	41.63%	52.99%
-0.00% to 5.44%	606	35.84%	88.82%
5.44% to 10.88%	116	6.86%	95.68%
10.88% to 16.32%	37	2.19%	97.87%
16.32% to 21.77%	13	0.77%	98.64%
Greater than 21.77%	23	1.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.26%	7.25%	86.10%	68.27%
±2σ	-14.52%	14.51%	96.51%	95.45%
±3σ	-21.77%	21.77%	98.29%	99.73%

Descriptive Statistics

均值	-0.003%
Standard Error	0.176%
中位数	-0.602%
Mode	0.000%
Standard Deviation	7.256%
Sample Variance	52.651%
峰度	41.18
偏度	3.73
Range	137.441%
Minimum	-41.473%
Maximum	95.968%
Count	1691

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.037%	704	41.63%	2.097%
负向	-3.963%	896	52.99%	-2.100%
Zero	0.000%	91	5.38%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	9.72%
20	1 Month	5.75%
60	1 Quarter	4.93%
250	1 Year	5.29%
750	3 Years	5.52%
1,250	5 Years	6.20%
2,500	10 Years	8.28%
5,000	20 Years	8.28%
12,500	50 Years	8.28%

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 5.73. Further, an Excess 峰度 of 51.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.68%	0	0.00%	0.00%
-16.68% to -10.41%	0	0.00%	0.00%
-10.41% to -4.13%	0	0.00%	0.00%
-4.13% to 2.14%	36	2.13%	2.13%
2.14% to 8.41%	1128	66.67%	68.79%
8.41% to 14.68%	342	20.21%	89.01%
14.68% to 20.96%	107	6.32%	95.33%
20.96% to 27.23%	31	1.83%	97.16%
27.23% to 33.50%	22	1.30%	98.46%
Greater than 33.50%	26	1.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.05%	16.77%	92.26%	68.27%
±2σ	-8.32%	25.14%	96.75%	95.45%
±3σ	-16.68%	33.50%	98.46%	99.73%

Descriptive Statistics

均值	8.411%
Standard Error	0.203%
中位数	6.143%
Mode	5.263%
Standard Deviation	8.364%
Sample Variance	69.960%
峰度	51.92
偏度	5.73
Range	116.742%
Minimum	1.000%
Maximum	117.742%
Count	1692

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.411%	1692	100.00%	8.411%
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 17.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.88%	15	0.89%	0.89%
-16.88% to -12.49%	10	0.59%	1.48%
-12.49% to -8.11%	56	3.31%	4.79%
-8.11% to -3.73%	160	9.46%	14.24%
-3.73% to 0.65%	643	38.00%	52.25%
0.65% to 5.03%	574	33.92%	86.17%
5.03% to 9.41%	162	9.57%	95.74%
9.41% to 13.79%	46	2.72%	98.46%
13.79% to 18.17%	10	0.59%	99.05%
Greater than 18.17%	16	0.95%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.19%	6.49%	81.91%	68.27%
±2σ	-11.04%	12.33%	95.86%	95.45%
±3σ	-16.88%	18.17%	98.17%	99.73%

Descriptive Statistics

均值	0.647%
Standard Error	0.142%
中位数	0.505%
Mode	0.000%
Standard Deviation	5.841%
Sample Variance	34.112%
峰度	17.82
偏度	1.62
Range	98.623%
Minimum	-32.236%
Maximum	66.387%
Count	1692

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.230%	887	52.42%	2.217%
负向	-3.764%	706	41.73%	-1.571%
Zero	0.000%	99	5.85%	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 5.39. Further, an Excess 峰度 of 48.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -59.87%	0	0.00%	0.00%
-59.87% to -44.86%	1	0.28%	0.28%
-44.86% to -29.85%	4	1.14%	1.42%
-29.85% to -14.84%	29	8.26%	9.69%
-14.84% to 0.17%	185	52.71%	62.39%
0.17% to 15.19%	97	27.64%	90.03%
15.19% to 30.20%	26	7.41%	97.44%
30.20% to 45.21%	4	1.14%	98.58%
45.21% to 60.22%	1	0.28%	98.86%
Greater than 60.22%	4	1.14%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.84%	20.19%	89.17%	68.27%
±2σ	-39.86%	40.21%	97.44%	95.45%
±3σ	-59.87%	60.22%	98.86%	99.73%

Descriptive Statistics

均值	0.174%
Standard Error	1.068%
中位数	-2.232%
Mode	0.000%
Standard Deviation	20.016%
Sample Variance	400.632%
峰度	48.44
偏度	5.39
Range	248.919%
Minimum	-46.429%
Maximum	202.490%
Count	351

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.010%	133	37.89%	5.309%
负向	-8.583%	210	59.83%	-5.135%
Zero	0.000%	8	2.28%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	13.74%
12	1 Quarter	11.22%
52	1 Year	12.53%
156	3 Years	12.61%
260	5 Years	14.55%
520	10 Years	20.45%
1,040	20 Years	20.45%
2,600	50 Years	20.45%

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 4.87. Further, an Excess 峰度 of 31.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -58.62%	0	0.00%	0.00%
-58.62% to -38.06%	0	0.00%	0.00%
-38.06% to -17.51%	0	0.00%	0.00%
-17.51% to 3.05%	1	0.28%	0.28%
3.05% to 23.61%	250	71.02%	71.31%
23.61% to 44.17%	69	19.60%	90.91%
44.17% to 64.73%	13	3.69%	94.60%
64.73% to 85.29%	10	2.84%	97.44%
85.29% to 105.84%	3	0.85%	98.30%
Greater than 105.84%	6	1.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.80%	51.02%	92.90%	68.27%
±2σ	-31.21%	78.43%	96.31%	95.45%
±3σ	-58.62%	105.84%	98.30%	99.73%

Descriptive Statistics

均值	23.611%
Standard Error	1.461%
中位数	15.686%
Mode	12.500%
Standard Deviation	27.411%
Sample Variance	751.361%
峰度	31.15
偏度	4.87
Range	258.908%
Minimum	2.538%
Maximum	261.446%
Count	352

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.611%	352	100.00%	23.611%
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 1.32. Further, an Excess 峰度 of 8.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.88%	3	0.85%	0.85%
-42.88% to -31.59%	1	0.28%	1.14%
-31.59% to -20.29%	9	2.56%	3.69%
-20.29% to -8.99%	43	12.22%	15.91%
-8.99% to 2.31%	126	35.80%	51.70%
2.31% to 13.61%	128	36.36%	88.07%
13.61% to 24.90%	28	7.95%	96.02%
24.90% to 36.20%	4	1.14%	97.16%
36.20% to 47.50%	5	1.42%	98.58%
Greater than 47.50%	5	1.42%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.76%	17.37%	81.25%	68.27%
±2σ	-27.82%	32.44%	95.45%	95.45%
±3σ	-42.88%	47.50%	97.73%	99.73%

Descriptive Statistics

均值	2.307%
Standard Error	0.803%
中位数	1.943%
Mode	0.000%
Standard Deviation	15.064%
Sample Variance	226.934%
峰度	8.86
偏度	1.32
Range	149.324%
Minimum	-55.991%
Maximum	93.333%
Count	352

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.329%	207	58.81%	6.074%
负向	-9.471%	140	39.77%	-3.767%
Zero	0.000%	5	1.42%	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 6.11. Further, an Excess 峰度 of 46.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -154.83%	0	0.00%	0.00%
-154.83% to -115.77%	0	0.00%	0.00%
-115.77% to -76.71%	0	0.00%	0.00%
-76.71% to -37.66%	5	6.25%	6.25%
-37.66% to 1.40%	49	61.25%	67.50%
1.40% to 40.46%	19	23.75%	91.25%
40.46% to 79.52%	6	7.50%	98.75%
79.52% to 118.57%	0	0.00%	98.75%
118.57% to 157.63%	0	0.00%	98.75%
Greater than 157.63%	1	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-50.68%	53.48%	92.50%	68.27%
±2σ	-102.75%	105.55%	98.75%	95.45%
±3σ	-154.83%	157.63%	98.75%	99.73%

Descriptive Statistics

均值	1.401%
Standard Error	5.822%
中位数	-6.492%
Mode	0.000%
Standard Deviation	52.077%
Sample Variance	2712.053%
峰度	46.96
偏度	6.11
Range	466.383%
Minimum	-60.133%
Maximum	406.250%
Count	80

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	37.597%	27	33.75%	12.689%
负向	-17.706%	51	63.75%	-11.288%
Zero	0.000%	2	2.50%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	25.06%
12	1 Year	30.34%
36	3 Years	27.27%
60	5 Years	31.17%
120	10 Years	49.15%
240	20 Years	49.15%
600	50 Years	49.15%

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 3.41. Further, an Excess 峰度 of 14.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -163.09%	0	0.00%	0.00%
-163.09% to -106.15%	0	0.00%	0.00%
-106.15% to -49.21%	0	0.00%	0.00%
-49.21% to 7.73%	0	0.00%	0.00%
7.73% to 64.67%	55	67.90%	67.90%
64.67% to 121.60%	16	19.75%	87.65%
121.60% to 178.54%	4	4.94%	92.59%
178.54% to 235.48%	3	3.70%	96.30%
235.48% to 292.42%	1	1.23%	97.53%
Greater than 292.42%	2	2.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.25%	140.58%	91.36%	68.27%
±2σ	-87.17%	216.50%	93.83%	95.45%
±3σ	-163.09%	292.42%	97.53%	99.73%

Descriptive Statistics

均值	64.665%
Standard Error	8.435%
中位数	41.085%
Mode	25.000%
Standard Deviation	75.919%
Sample Variance	5763.655%
峰度	14.17
偏度	3.41
Range	481.992%
Minimum	11.111%
Maximum	493.103%
Count	81

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	64.665%	81	100.00%	64.665%
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 1.43. Further, an Excess 峰度 of 4.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -92.80%	0	0.00%	0.00%
-92.80% to -66.67%	1	1.23%	1.23%
-66.67% to -40.55%	1	1.23%	2.47%
-40.55% to -14.42%	11	13.58%	16.05%
-14.42% to 11.70%	35	43.21%	59.26%
11.70% to 37.82%	23	28.40%	87.65%
37.82% to 63.95%	4	4.94%	92.59%
63.95% to 90.07%	3	3.70%	96.30%
90.07% to 116.20%	1	1.23%	97.53%
Greater than 116.20%	2	2.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.13%	46.53%	79.01%	68.27%
±2σ	-57.96%	81.36%	93.83%	95.45%
±3σ	-92.80%	116.20%	97.53%	99.73%

Descriptive Statistics

均值	11.700%
Standard Error	3.870%
中位数	6.711%
Mode	-80.110%
Standard Deviation	34.832%
Sample Variance	1213.261%
峰度	4.62
偏度	1.43
Range	238.443%
Minimum	-80.110%
Maximum	158.333%
Count	81

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.796%	52	64.20%	17.844%
负向	-17.774%	28	34.57%	-6.144%
Zero	0.000%	1	1.24%	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 4.31. Further, an Excess 峰度 of 20.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -289.01%	0	0.00%	0.00%
-289.01% to -214.99%	0	0.00%	0.00%
-214.99% to -140.96%	0	0.00%	0.00%
-140.96% to -66.94%	1	3.85%	3.85%
-66.94% to 7.09%	19	73.08%	76.92%
7.09% to 81.12%	4	15.38%	92.31%
81.12% to 155.14%	1	3.85%	96.15%
155.14% to 229.17%	0	0.00%	96.15%
229.17% to 303.19%	0	0.00%	96.15%
Greater than 303.19%	1	3.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-91.61%	105.79%	96.15%	68.27%
±2σ	-190.31%	204.49%	96.15%	95.45%
±3σ	-289.01%	303.19%	96.15%	99.73%

Descriptive Statistics

均值	7.091%
Standard Error	19.357%
中位数	-7.868%
Mode	-75.342%
Standard Deviation	98.701%
Sample Variance	9741.955%
峰度	20.45
偏度	4.31
Range	541.314%
Minimum	-75.342%
Maximum	465.972%
Count	26

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	77.750%	8	30.77%	23.923%
负向	-24.314%	18	69.23%	-16.833%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	49.59%
12	3 Years	48.99%
20	5 Years	56.50%
40	10 Years	104.91%
80	20 Years	104.91%
200	50 Years	104.91%

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 2.47. Further, an Excess 峰度 of 7.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -381.04%	0	0.00%	0.00%
-381.04% to -245.81%	0	0.00%	0.00%
-245.81% to -110.57%	0	0.00%	0.00%
-110.57% to 24.66%	0	0.00%	0.00%
24.66% to 159.90%	20	74.07%	74.07%
159.90% to 295.14%	3	11.11%	85.19%
295.14% to 430.37%	2	7.41%	92.59%
430.37% to 565.61%	1	3.70%	96.30%
565.61% to 700.84%	0	0.00%	96.30%
Greater than 700.84%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.41%	340.21%	88.89%	68.27%
±2σ	-200.73%	520.53%	96.30%	95.45%
±3σ	-381.04%	700.84%	96.30%	99.73%

Descriptive Statistics

均值	159.900%
Standard Error	34.701%
中位数	83.163%
Mode	25.000%
Standard Deviation	180.314%
Sample Variance	32513.151%
峰度	7.06
偏度	2.47
Range	812.931%
Minimum	25.000%
Maximum	837.931%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	159.900%	27	100.00%	159.900%
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 2.08. Further, an Excess 峰度 of 4.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -240.20%	0	0.00%	0.00%
-240.20% to -169.80%	0	0.00%	0.00%
-169.80% to -99.40%	0	0.00%	0.00%
-99.40% to -29.00%	2	7.41%	7.41%
-29.00% to 41.41%	18	66.67%	74.07%
41.41% to 111.81%	3	11.11%	85.19%
111.81% to 182.21%	2	7.41%	92.59%
182.21% to 252.62%	0	0.00%	92.59%
252.62% to 323.02%	1	3.70%	96.30%
Greater than 323.02%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-52.46%	135.28%	85.19%	68.27%
±2σ	-146.33%	229.15%	92.59%	95.45%
±3σ	-240.20%	323.02%	96.30%	99.73%

Descriptive Statistics

均值	41.408%
Standard Error	18.065%
中位数	9.135%
Mode	-82.209%
Standard Deviation	93.870%
Sample Variance	8811.582%
峰度	4.37
偏度	2.08
Range	414.848%
Minimum	-82.209%
Maximum	332.639%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	62.053%	21	77.78%	48.264%
负向	-30.850%	6	22.22%	-6.855%
Zero	0.000%	0	0.00%	0.000%

SNDL 深度分析报告