SOFI 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	4.57%	3.72%	3.80%	5.89%	4.08%	4.16%	17.70	19.21	17.00	20.01
周度	9.99%	9.24%	9.56%	14.24%	8.98%	9.15%	16.86	20.17	15.41	22.07
月度	19.24%	18.19%	20.33%	31.79%	18.69%	19.06%	15.30	22.23	12.69	26.80
季度	37.42%	33.96%	38.94%	56.96%	32.37%	33.01%	13.34	25.49	9.65	35.23
Annual	—	—	—	—	64.73%	66.02%	9.65	35.23	5.05	67.30
Option Time Horizon	—	—	—	—	24.67%	25.16%	14.41	23.60	11.26	30.20

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $18.44 | Strike (K): $19.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.6250 (Bid $1.6100 / Ask $1.6400) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 64.73% (CRR binomial tree, American, n=20 steps) | BS IV: 65.18% (European Black-Scholes) | Yahoo IV (Annual): 66.02% → 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 2.04. Further, an Excess 峰度 of 21.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.59%	3	0.23%	0.23%
-13.59% to -10.16%	10	0.75%	0.98%
-10.16% to -6.73%	49	3.68%	4.65%
-6.73% to -3.30%	176	13.21%	17.87%
-3.30% to 0.13%	454	34.08%	51.95%
0.13% to 3.56%	410	30.78%	82.73%
3.56% to 6.99%	171	12.84%	95.57%
6.99% to 10.42%	33	2.48%	98.05%
10.42% to 13.85%	18	1.35%	99.40%
Greater than 13.85%	8	0.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.44%	4.70%	77.70%	68.27%
±2σ	-9.01%	9.28%	95.80%	95.45%
±3σ	-13.59%	13.85%	99.17%	99.73%

Descriptive Statistics

均值	0.131%
Standard Error	0.125%
中位数	-0.158%
Mode	0.000%
Standard Deviation	4.572%
Sample Variance	20.904%
峰度	21.36
偏度	2.04
Range	73.189%
Minimum	-15.268%
Maximum	57.921%
Count	1332

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.444%	648	48.65%	1.675%
负向	-3.052%	674	50.60%	-1.544%
Zero	0.000%	10	0.75%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.97%
20	1 Month	4.81%
60	1 Quarter	5.37%
250	1 Year	5.29%
750	3 Years	5.41%
1,250	5 Years	5.89%
2,500	10 Years	6.07%
5,000	20 Years	6.07%
12,500	50 Years	6.07%

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 7.95. Further, an Excess 峰度 of 139.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.32%	0	0.00%	0.00%
-5.32% to -2.52%	0	0.00%	0.00%
-2.52% to 0.27%	0	0.00%	0.00%
0.27% to 3.06%	156	11.70%	11.70%
3.06% to 5.86%	688	51.61%	63.32%
5.86% to 8.65%	313	23.48%	86.80%
8.65% to 11.44%	110	8.25%	95.05%
11.44% to 14.23%	39	2.93%	97.97%
14.23% to 17.03%	12	0.90%	98.87%
Greater than 17.03%	15	1.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.13%	9.58%	88.60%	68.27%
±2σ	-1.59%	13.30%	97.07%	95.45%
±3σ	-5.32%	17.03%	98.87%	99.73%

Descriptive Statistics

均值	5.856%
Standard Error	0.102%
中位数	5.070%
Mode	2.730%
Standard Deviation	3.724%
Sample Variance	13.867%
峰度	139.90
偏度	7.95
Range	81.073%
Minimum	1.500%
Maximum	82.573%
Count	1333

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.856%	1333	100.00%	5.856%
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 Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.50. Further, an Excess 峰度 of 7.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.18%	6	0.45%	0.45%
-11.18% to -8.33%	13	0.98%	1.43%
-8.33% to -5.48%	42	3.15%	4.58%
-5.48% to -2.63%	202	15.15%	19.73%
-2.63% to 0.22%	424	31.81%	51.54%
0.22% to 3.07%	397	29.78%	81.32%
3.07% to 5.92%	165	12.38%	93.70%
5.92% to 8.77%	60	4.50%	98.20%
8.77% to 11.62%	17	1.28%	99.47%
Greater than 11.62%	7	0.53%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.58%	4.02%	74.49%	68.27%
±2σ	-7.38%	7.82%	94.97%	95.45%
±3σ	-11.18%	11.62%	99.02%	99.73%

Descriptive Statistics

均值	0.219%
Standard Error	0.104%
中位数	0.089%
Mode	0.000%
Standard Deviation	3.800%
Sample Variance	14.443%
峰度	7.49
偏度	-0.50
Range	55.455%
Minimum	-36.259%
Maximum	19.196%
Count	1333

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.977%	675	50.64%	1.507%
负向	-2.713%	633	47.49%	-1.288%
Zero	0.000%	25	1.88%	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 0.97. Further, an Excess 峰度 of 3.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.35%	0	0.00%	0.00%
-29.35% to -21.86%	0	0.00%	0.00%
-21.86% to -14.36%	20	7.22%	7.22%
-14.36% to -6.87%	36	13.00%	20.22%
-6.87% to 0.62%	88	31.77%	51.99%
0.62% to 8.12%	88	31.77%	83.75%
8.12% to 15.61%	27	9.75%	93.50%
15.61% to 23.10%	10	3.61%	97.11%
23.10% to 30.60%	6	2.17%	99.28%
Greater than 30.60%	2	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.37%	10.61%	75.45%	68.27%
±2σ	-19.36%	20.61%	94.58%	95.45%
±3σ	-29.35%	30.60%	99.28%	99.73%

Descriptive Statistics

均值	0.623%
Standard Error	0.600%
中位数	0.360%
Mode	0.000%
Standard Deviation	9.991%
Sample Variance	99.810%
峰度	3.44
偏度	0.97
Range	76.639%
Minimum	-20.983%
Maximum	55.656%
Count	277

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.770%	140	50.54%	3.927%
负向	-6.881%	133	48.01%	-3.304%
Zero	0.000%	4	1.44%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	12.17%
12	1 Quarter	12.61%
52	1 Year	12.07%
156	3 Years	13.16%
260	5 Years	14.24%
520	10 Years	14.72%
1,040	20 Years	14.72%
2,600	50 Years	14.72%

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 2.61. Further, an Excess 峰度 of 12.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.79%	0	0.00%	0.00%
-11.79% to -4.86%	0	0.00%	0.00%
-4.86% to 2.07%	0	0.00%	0.00%
2.07% to 9.00%	47	16.91%	16.91%
9.00% to 15.93%	130	46.76%	63.67%
15.93% to 22.85%	51	18.35%	82.01%
22.85% to 29.78%	30	10.79%	92.81%
29.78% to 36.71%	14	5.04%	97.84%
36.71% to 43.64%	1	0.36%	98.20%
Greater than 43.64%	5	1.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.69%	25.16%	80.94%	68.27%
±2σ	-2.55%	34.40%	96.76%	95.45%
±3σ	-11.79%	43.64%	98.20%	99.73%

Descriptive Statistics

均值	15.925%
Standard Error	0.554%
中位数	13.774%
Mode	8.901%
Standard Deviation	9.239%
Sample Variance	85.368%
峰度	12.86
偏度	2.61
Range	82.000%
Minimum	3.029%
Maximum	85.029%
Count	278

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.925%	278	100.00%	15.925%
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 0.08. Further, an Excess 峰度 of 0.72 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.22%	1	0.36%	0.36%
-28.22% to -21.05%	2	0.72%	1.08%
-21.05% to -13.88%	11	3.96%	5.04%
-13.88% to -6.72%	41	14.75%	19.78%
-6.72% to 0.45%	87	31.29%	51.08%
0.45% to 7.62%	77	27.70%	78.78%
7.62% to 14.78%	35	12.59%	91.37%
14.78% to 21.95%	18	6.47%	97.84%
21.95% to 29.12%	6	2.16%	100.00%
Greater than 29.12%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.11%	10.00%	73.38%	68.27%
±2σ	-18.66%	19.56%	93.88%	95.45%
±3σ	-28.22%	29.12%	99.64%	99.73%

Descriptive Statistics

均值	0.449%
Standard Error	0.573%
中位数	0.218%
Mode	-2.230%
Standard Deviation	9.556%
Sample Variance	91.319%
峰度	0.72
偏度	0.08
Range	63.351%
Minimum	-36.019%
Maximum	27.332%
Count	278

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.616%	141	50.72%	3.863%
负向	-6.978%	136	48.92%	-3.414%
Zero	0.000%	1	0.36%	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 0.65. 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 -56.49%	0	0.00%	0.00%
-56.49% to -42.06%	0	0.00%	0.00%
-42.06% to -27.63%	2	3.17%	3.17%
-27.63% to -13.20%	11	17.46%	20.63%
-13.20% to 1.23%	23	36.51%	57.14%
1.23% to 15.67%	14	22.22%	79.37%
15.67% to 30.10%	7	11.11%	90.48%
30.10% to 44.53%	4	6.35%	96.83%
44.53% to 58.96%	2	3.17%	100.00%
Greater than 58.96%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.01%	20.48%	69.84%	68.27%
±2σ	-37.25%	39.72%	95.24%	95.45%
±3σ	-56.49%	58.96%	100.00%	99.73%

Descriptive Statistics

均值	1.234%
Standard Error	2.424%
中位数	-4.203%
Mode	-35.238%
Standard Deviation	19.243%
Sample Variance	370.299%
峰度	0.05
偏度	0.65
Range	85.563%
Minimum	-35.238%
Maximum	50.325%
Count	63

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.454%	28	44.44%	8.202%
负向	-12.541%	35	55.56%	-6.967%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	28.45%
12	1 Year	29.31%
36	3 Years	30.68%
60	5 Years	31.79%
120	10 Years	31.88%
240	20 Years	31.88%
600	50 Years	31.88%

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 1.98. Further, an Excess 峰度 of 7.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.88%	0	0.00%	0.00%
-14.88% to -1.23%	0	0.00%	0.00%
-1.23% to 12.41%	0	0.00%	0.00%
12.41% to 26.06%	11	17.19%	17.19%
26.06% to 39.70%	28	43.75%	60.94%
39.70% to 53.35%	12	18.75%	79.69%
53.35% to 66.99%	8	12.50%	92.19%
66.99% to 80.64%	4	6.25%	98.44%
80.64% to 94.28%	0	0.00%	98.44%
Greater than 94.28%	1	1.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	21.51%	57.89%	75.00%	68.27%
±2σ	3.31%	76.09%	98.44%	95.45%
±3σ	-14.88%	94.28%	98.44%	99.73%

Descriptive Statistics

均值	39.701%
Standard Error	2.274%
中位数	36.398%
Mode	12.903%
Standard Deviation	18.193%
Sample Variance	330.970%
峰度	7.77
偏度	1.98
Range	115.656%
Minimum	12.903%
Maximum	128.559%
Count	64

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	39.701%	64	100.00%	39.701%
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 0.06. Further, an Excess 峰度 of 0.03 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -58.97%	0	0.00%	0.00%
-58.97% to -43.72%	1	1.56%	1.56%
-43.72% to -28.47%	3	4.69%	6.25%
-28.47% to -13.22%	10	15.62%	21.88%
-13.22% to 2.03%	16	25.00%	46.88%
2.03% to 17.28%	20	31.25%	78.12%
17.28% to 32.53%	10	15.62%	93.75%
32.53% to 47.78%	3	4.69%	98.44%
47.78% to 63.02%	1	1.56%	100.00%
Greater than 63.02%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.30%	22.36%	64.06%	68.27%
±2σ	-38.64%	42.69%	96.88%	95.45%
±3σ	-58.97%	63.03%	100.00%	99.73%

Descriptive Statistics

均值	2.029%
Standard Error	2.541%
中位数	4.163%
Mode	-49.920%
Standard Deviation	20.332%
Sample Variance	413.370%
峰度	0.03
偏度	0.06
Range	104.659%
Minimum	-49.920%
Maximum	54.739%
Count	64

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.749%	35	54.69%	9.160%
负向	-15.737%	29	45.31%	-7.131%
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 0.73. Further, an Excess 峰度 of -0.14 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -107.70%	0	0.00%	0.00%
-107.70% to -79.63%	0	0.00%	0.00%
-79.63% to -51.57%	0	0.00%	0.00%
-51.57% to -23.50%	4	19.05%	19.05%
-23.50% to 4.57%	9	42.86%	61.90%
4.57% to 32.63%	4	19.05%	80.95%
32.63% to 60.70%	2	9.52%	90.48%
60.70% to 88.76%	2	9.52%	100.00%
88.76% to 116.83%	0	0.00%	100.00%
Greater than 116.83%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.85%	41.99%	71.43%	68.27%
±2σ	-70.28%	79.41%	90.48%	95.45%
±3σ	-107.70%	116.83%	100.00%	99.73%

Descriptive Statistics

均值	4.566%
Standard Error	8.166%
中位数	-9.176%
Mode	-50.962%
Standard Deviation	37.421%
Sample Variance	1400.360%
峰度	-0.14
偏度	0.73
Range	134.750%
Minimum	-50.962%
Maximum	83.788%
Count	21

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	36.067%	10	47.62%	17.175%
负向	-24.071%	11	52.38%	-12.609%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	56.62%
12	3 Years	57.83%
20	5 Years	56.96%
40	10 Years	57.03%
80	20 Years	57.03%
200	50 Years	57.03%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.79. Further, an Excess 峰度 of 0.02 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.97%	0	0.00%	0.00%
-19.97% to 5.50%	0	0.00%	0.00%
5.50% to 30.97%	0	0.00%	0.00%
30.97% to 56.44%	3	13.64%	13.64%
56.44% to 81.91%	11	50.00%	63.64%
81.91% to 107.38%	3	13.64%	77.27%
107.38% to 132.85%	3	13.64%	90.91%
132.85% to 158.32%	1	4.55%	95.45%
158.32% to 183.79%	1	4.55%	100.00%
Greater than 183.79%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	47.95%	115.87%	68.18%	68.27%
±2σ	13.99%	149.83%	95.45%	95.45%
±3σ	-19.97%	183.79%	100.00%	99.73%

Descriptive Statistics

均值	81.909%
Standard Error	7.240%
中位数	70.036%
Mode	31.057%
Standard Deviation	33.961%
Sample Variance	1153.335%
峰度	0.02
偏度	0.79
Range	131.864%
Minimum	31.057%
Maximum	162.921%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	81.909%	22	100.00%	81.909%
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 0.78. Further, an Excess 峰度 of 0.72 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -111.11%	0	0.00%	0.00%
-111.11% to -81.91%	0	0.00%	0.00%
-81.91% to -52.70%	0	0.00%	0.00%
-52.70% to -23.50%	6	27.27%	27.27%
-23.50% to 5.70%	5	22.73%	50.00%
5.70% to 34.91%	7	31.82%	81.82%
34.91% to 64.11%	2	9.09%	90.91%
64.11% to 93.31%	1	4.55%	95.45%
93.31% to 122.51%	1	4.55%	100.00%
Greater than 122.51%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.23%	44.64%	68.18%	68.27%
±2σ	-72.17%	83.58%	95.45%	95.45%
±3σ	-111.11%	122.51%	100.00%	99.73%

Descriptive Statistics

均值	5.702%
Standard Error	8.301%
中位数	3.838%
Mode	-49.920%
Standard Deviation	38.937%
Sample Variance	1516.123%
峰度	0.72
偏度	0.78
Range	157.142%
Minimum	-49.920%
Maximum	107.222%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.971%	11	50.00%	17.986%
负向	-24.567%	11	50.00%	-12.283%
Zero	0.000%	0	0.00%	0.000%

SOFI 深度分析报告