SRPT 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	6.05%	5.00%	4.29%	4.87%	4.71%	4.76%	19.37	21.28	18.47	22.31
周度	12.64%	15.53%	12.05%	11.66%	10.38%	10.48%	18.30	22.52	16.50	24.98
月度	26.52%	36.85%	26.52%	25.47%	21.60%	21.82%	16.36	25.19	13.18	31.27
季度	44.39%	84.38%	44.57%	45.49%	37.41%	37.79%	13.96	29.51	9.61	42.90
Annual	—	—	—	—	74.83%	75.59%	9.61	42.90	4.55	90.67
Option Time Horizon	—	—	—	—	28.51%	28.80%	15.26	27.00	11.48	35.91

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $20.30 | Strike (K): $22.50 (first OTM call ≥ spot) | Observed Mid-价格: $1.5250 (Bid $1.2000 / Ask $1.8500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 74.83% (CRR binomial tree, American, n=20 steps) | BS IV: 75.04% (European Black-Scholes) | Yahoo IV (Annual): 75.59% → 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 7.96. Further, an Excess 峰度 of 232.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.00%	23	0.32%	0.32%
-18.00% to -13.46%	24	0.33%	0.65%
-13.46% to -8.92%	117	1.61%	2.26%
-8.92% to -4.39%	638	8.79%	11.05%
-4.39% to 0.15%	3166	43.61%	54.66%
0.15% to 4.69%	2496	34.38%	89.05%
4.69% to 9.23%	561	7.73%	96.78%
9.23% to 13.76%	126	1.74%	98.51%
13.76% to 18.30%	51	0.70%	99.21%
Greater than 18.30%	57	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.90%	6.20%	86.44%	68.27%
±2σ	-11.95%	12.25%	97.23%	95.45%
±3σ	-18.00%	18.30%	98.90%	99.73%

Descriptive Statistics

均值	0.151%
Standard Error	0.071%
中位数	0.000%
Mode	0.000%
Standard Deviation	6.050%
Sample Variance	36.599%
峰度	232.99
偏度	7.96
Range	263.737%
Minimum	-64.004%
Maximum	199.733%
Count	7259

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.714%	3375	46.49%	1.727%
负向	-3.168%	3610	49.73%	-1.575%
Zero	0.000%	274	3.77%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.28%
20	1 Month	5.39%
60	1 Quarter	6.00%
250	1 Year	7.60%
750	3 Years	5.23%
1,250	5 Years	4.87%
2,500	10 Years	5.04%
5,000	20 Years	6.16%
12,500	50 Years	6.59%

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 4.78. Further, an Excess 峰度 of 47.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.53%	0	0.00%	0.00%
-8.53% to -4.77%	0	0.00%	0.00%
-4.77% to -1.02%	0	0.00%	0.00%
-1.02% to 2.73%	759	10.45%	10.45%
2.73% to 6.48%	3962	54.57%	65.03%
6.48% to 10.24%	1591	21.91%	86.94%
10.24% to 13.99%	530	7.30%	94.24%
13.99% to 17.74%	211	2.91%	97.15%
17.74% to 21.49%	96	1.32%	98.47%
Greater than 21.49%	111	1.53%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.48%	11.49%	90.03%	68.27%
±2σ	-3.52%	16.49%	96.61%	95.45%
±3σ	-8.53%	21.49%	98.47%	99.73%

Descriptive Statistics

均值	6.484%
Standard Error	0.059%
中位数	5.184%
Mode	5.263%
Standard Deviation	5.003%
Sample Variance	25.029%
峰度	47.02
偏度	4.78
Range	99.148%
Minimum	0.781%
Maximum	99.929%
Count	7260

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.484%	7260	100.00%	6.484%
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 -0.25. Further, an Excess 峰度 of 6.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.55%	62	0.85%	0.85%
-12.55% to -9.33%	79	1.09%	1.94%
-9.33% to -6.11%	215	2.96%	4.90%
-6.11% to -2.89%	844	11.63%	16.53%
-2.89% to 0.33%	2473	34.06%	50.59%
0.33% to 3.55%	2364	32.56%	83.15%
3.55% to 6.77%	839	11.56%	94.71%
6.77% to 9.99%	244	3.36%	98.07%
9.99% to 13.21%	88	1.21%	99.28%
Greater than 13.21%	52	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.96%	4.63%	77.73%	68.27%
±2σ	-8.26%	8.92%	94.83%	95.45%
±3σ	-12.55%	13.21%	98.43%	99.73%

Descriptive Statistics

均值	0.332%
Standard Error	0.050%
中位数	0.276%
Mode	0.000%
Standard Deviation	4.294%
Sample Variance	18.442%
峰度	6.50
偏度	-0.25
Range	75.742%
Minimum	-41.132%
Maximum	34.610%
Count	7260

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.167%	3804	52.40%	1.659%
负向	-3.043%	3166	43.61%	-1.327%
Zero	0.000%	290	3.99%	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 2.65. Further, an Excess 峰度 of 29.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -37.24%	8	0.53%	0.53%
-37.24% to -27.76%	8	0.53%	1.06%
-27.76% to -18.28%	27	1.79%	2.85%
-18.28% to -8.80%	169	11.21%	14.07%
-8.80% to 0.69%	613	40.68%	54.74%
0.69% to 10.17%	485	32.18%	86.93%
10.17% to 19.65%	115	7.63%	94.56%
19.65% to 29.13%	52	3.45%	98.01%
29.13% to 38.62%	14	0.93%	98.94%
Greater than 38.62%	16	1.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.96%	13.33%	82.48%	68.27%
±2σ	-24.60%	25.97%	96.15%	95.45%
±3σ	-37.24%	38.62%	98.41%	99.73%

Descriptive Statistics

均值	0.686%
Standard Error	0.326%
中位数	-0.045%
Mode	0.000%
Standard Deviation	12.643%
Sample Variance	159.850%
峰度	29.94
偏度	2.65
Range	233.245%
Minimum	-59.546%
Maximum	173.699%
Count	1507

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.885%	732	48.57%	4.316%
负向	-7.255%	754	50.03%	-3.630%
Zero	0.000%	21	1.39%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	12.89%
12	1 Quarter	14.89%
52	1 Year	18.08%
156	3 Years	12.69%
260	5 Years	11.66%
520	10 Years	12.05%
1,040	20 Years	14.77%
2,600	50 Years	15.67%

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 4.56. Further, an Excess 峰度 of 32.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.38%	0	0.00%	0.00%
-29.38% to -17.73%	0	0.00%	0.00%
-17.73% to -6.08%	0	0.00%	0.00%
-6.08% to 5.57%	74	4.91%	4.91%
5.57% to 17.21%	946	62.73%	67.64%
17.21% to 28.86%	309	20.49%	88.13%
28.86% to 40.51%	112	7.43%	95.56%
40.51% to 52.16%	26	1.72%	97.28%
52.16% to 63.81%	9	0.60%	97.88%
Greater than 63.81%	32	2.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.68%	32.75%	91.51%	68.27%
±2σ	-13.85%	48.28%	96.49%	95.45%
±3σ	-29.38%	63.81%	97.88%	99.73%

Descriptive Statistics

均值	17.215%
Standard Error	0.400%
中位数	13.062%
Mode	14.286%
Standard Deviation	15.533%
Sample Variance	241.286%
峰度	32.94
偏度	4.56
Range	200.196%
Minimum	3.038%
Maximum	203.234%
Count	1508

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.215%	1508	100.00%	17.215%
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 2.14. Further, an Excess 峰度 of 20.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -35.27%	7	0.46%	0.46%
-35.27% to -26.23%	11	0.73%	1.19%
-26.23% to -17.18%	44	2.92%	4.11%
-17.18% to -8.14%	159	10.54%	14.66%
-8.14% to 0.90%	561	37.20%	51.86%
0.90% to 9.94%	522	34.62%	86.47%
9.94% to 18.98%	142	9.42%	95.89%
18.98% to 28.02%	32	2.12%	98.01%
28.02% to 37.06%	14	0.93%	98.94%
Greater than 37.06%	16	1.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.16%	12.95%	81.50%	68.27%
±2σ	-23.21%	25.01%	95.76%	95.45%
±3σ	-35.27%	37.06%	98.47%	99.73%

Descriptive Statistics

均值	0.899%
Standard Error	0.310%
中位数	0.550%
Mode	0.000%
Standard Deviation	12.055%
Sample Variance	145.335%
峰度	20.68
偏度	2.14
Range	199.560%
Minimum	-55.022%
Maximum	144.538%
Count	1508

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.408%	779	51.66%	4.343%
负向	-7.368%	705	46.75%	-3.445%
Zero	0.000%	24	1.59%	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 1.98. Further, an Excess 峰度 of 8.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -76.82%	0	0.00%	0.00%
-76.82% to -56.93%	1	0.29%	0.29%
-56.93% to -37.04%	11	3.18%	3.47%
-37.04% to -17.15%	43	12.43%	15.90%
-17.15% to 2.74%	146	42.20%	58.09%
2.74% to 22.64%	97	28.03%	86.13%
22.64% to 42.53%	31	8.96%	95.09%
42.53% to 62.42%	7	2.02%	97.11%
62.42% to 82.31%	4	1.16%	98.27%
Greater than 82.31%	6	1.73%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.78%	29.27%	81.79%	68.27%
±2σ	-50.30%	55.79%	95.95%	95.45%
±3σ	-76.82%	82.31%	98.27%	99.73%

Descriptive Statistics

均值	2.744%
Standard Error	1.426%
中位数	-0.772%
Mode	-12.500%
Standard Deviation	26.521%
Sample Variance	703.368%
峰度	8.17
偏度	1.98
Range	216.164%
Minimum	-69.207%
Maximum	146.957%
Count	346

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.758%	167	48.27%	10.019%
负向	-14.222%	177	51.16%	-7.275%
Zero	0.000%	2	0.58%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	33.58%
12	1 Year	38.53%
36	3 Years	28.42%
60	5 Years	25.47%
120	10 Years	27.63%
240	20 Years	33.83%
600	50 Years	35.26%

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 2.59. Further, an Excess 峰度 of 8.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -66.41%	0	0.00%	0.00%
-66.41% to -38.77%	0	0.00%	0.00%
-38.77% to -11.13%	0	0.00%	0.00%
-11.13% to 16.50%	33	9.51%	9.51%
16.50% to 44.14%	203	58.50%	68.01%
44.14% to 71.78%	63	18.16%	86.17%
71.78% to 99.42%	23	6.63%	92.80%
99.42% to 127.06%	10	2.88%	95.68%
127.06% to 154.70%	7	2.02%	97.69%
Greater than 154.70%	8	2.31%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.29%	81.00%	89.05%	68.27%
±2σ	-29.56%	117.85%	94.24%	95.45%
±3σ	-66.41%	154.70%	97.69%	99.73%

Descriptive Statistics

均值	44.143%
Standard Error	1.978%
中位数	32.081%
Mode	33.333%
Standard Deviation	36.852%
Sample Variance	1358.041%
峰度	8.11
偏度	2.59
Range	241.315%
Minimum	8.235%
Maximum	249.550%
Count	347

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	44.143%	347	100.00%	44.143%
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 2.33. Further, an Excess 峰度 of 14.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -76.12%	0	0.00%	0.00%
-76.12% to -56.23%	3	0.86%	0.86%
-56.23% to -36.33%	7	2.02%	2.88%
-36.33% to -16.44%	45	12.97%	15.85%
-16.44% to 3.45%	142	40.92%	56.77%
3.45% to 23.34%	107	30.84%	87.61%
23.34% to 43.23%	25	7.20%	94.81%
43.23% to 63.12%	8	2.31%	97.12%
63.12% to 83.01%	5	1.44%	98.56%
Greater than 83.01%	5	1.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.07%	29.97%	82.13%	68.27%
±2σ	-49.59%	56.49%	94.52%	95.45%
±3σ	-76.12%	83.01%	98.56%	99.73%

Descriptive Statistics

均值	3.447%
Standard Error	1.424%
中位数	1.389%
Mode	0.000%
Standard Deviation	26.521%
Sample Variance	703.342%
峰度	14.42
偏度	2.33
Range	278.462%
Minimum	-59.859%
Maximum	218.603%
Count	347

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.923%	180	51.87%	10.335%
负向	-14.574%	164	47.26%	-6.888%
Zero	0.000%	3	0.86%	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 1.86. Further, an Excess 峰度 of 4.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -126.31%	0	0.00%	0.00%
-126.31% to -93.02%	0	0.00%	0.00%
-93.02% to -59.73%	1	0.87%	0.87%
-59.73% to -26.44%	17	14.78%	15.65%
-26.44% to 6.85%	53	46.09%	61.74%
6.85% to 40.15%	28	24.35%	86.09%
40.15% to 73.44%	8	6.96%	93.04%
73.44% to 106.73%	3	2.61%	95.65%
106.73% to 140.02%	2	1.74%	97.39%
Greater than 140.02%	3	2.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-37.53%	51.24%	80.00%	68.27%
±2σ	-81.92%	95.63%	95.65%	95.45%
±3σ	-126.31%	140.02%	97.39%	99.73%

Descriptive Statistics

均值	6.854%
Standard Error	4.139%
中位数	1.048%
Mode	-73.686%
Standard Deviation	44.388%
Sample Variance	1970.289%
峰度	4.96
偏度	1.86
Range	257.637%
Minimum	-73.686%
Maximum	183.951%
Count	115

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	36.009%	58	50.44%	18.161%
负向	-22.813%	57	49.56%	-11.307%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	57.54%
12	3 Years	50.92%
20	5 Years	45.49%
40	10 Years	51.10%
80	20 Years	64.47%
200	50 Years	65.93%

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 2.68. Further, an Excess 峰度 of 9.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -156.63%	0	0.00%	0.00%
-156.63% to -93.34%	0	0.00%	0.00%
-93.34% to -30.06%	0	0.00%	0.00%
-30.06% to 33.22%	9	7.76%	7.76%
33.22% to 96.50%	70	60.34%	68.10%
96.50% to 159.78%	19	16.38%	84.48%
159.78% to 223.06%	9	7.76%	92.24%
223.06% to 286.35%	5	4.31%	96.55%
286.35% to 349.63%	2	1.72%	98.28%
Greater than 349.63%	2	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.12%	180.88%	86.21%	68.27%
±2σ	-72.25%	265.25%	93.97%	95.45%
±3σ	-156.63%	349.63%	98.28%	99.73%

Descriptive Statistics

均值	96.501%
Standard Error	7.834%
中位数	65.698%
Mode	100.000%
Standard Deviation	84.376%
Sample Variance	7119.361%
峰度	9.17
偏度	2.68
Range	497.064%
Minimum	24.817%
Maximum	521.881%
Count	116

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	96.501%	116	100.00%	96.501%
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 2.41. Further, an Excess 峰度 of 11.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -125.25%	0	0.00%	0.00%
-125.25% to -91.82%	0	0.00%	0.00%
-91.82% to -58.40%	3	2.59%	2.59%
-58.40% to -24.97%	16	13.79%	16.38%
-24.97% to 8.45%	49	42.24%	58.62%
8.45% to 41.88%	31	26.72%	85.34%
41.88% to 75.31%	10	8.62%	93.97%
75.31% to 108.73%	4	3.45%	97.41%
108.73% to 142.16%	2	1.72%	99.14%
Greater than 142.16%	1	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-36.11%	53.02%	81.90%	68.27%
±2σ	-80.68%	97.59%	95.69%	95.45%
±3σ	-125.25%	142.16%	99.14%	99.73%

Descriptive Statistics

均值	8.454%
Standard Error	4.138%
中位数	-1.183%
Mode	-63.995%
Standard Deviation	44.568%
Sample Variance	1986.324%
峰度	11.63
偏度	2.41
Range	344.324%
Minimum	-63.995%
Maximum	280.329%
Count	116

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	38.364%	57	49.14%	18.851%
负向	-20.442%	59	50.86%	-10.397%
Zero	0.000%	0	0.00%	0.000%

SRPT 深度分析报告