STLA 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	3.13%	1.55%	1.51%	2.85%	14.49%	3.64%	6.97	9.32	6.03	10.77
周度	6.51%	4.96%	5.48%	7.40%	31.91%	8.02%	5.86	11.09	4.26	15.26
月度	12.24%	11.18%	12.48%	16.43%	66.42%	16.69%	4.15	15.66	2.14	30.43
季度	19.52%	19.32%	19.36%	28.07%	115.04%	28.91%	2.55	25.47	0.81	80.46
Annual	—	—	—	—	230.08%	57.81%	0.81	80.46	0.08	803.12
Option Time Horizon	—	—	—	—	87.67%	22.03%	3.35	19.37	1.40	46.54

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $8.06 | Strike (K): $9.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.3750 (Bid $0.3500 / Ask $0.4000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 1058.00% | Binomial IV (Annual): 230.08% (CRR binomial tree, American, n=20 steps) | BS IV: 406.78% (European Black-Scholes) | Yahoo IV (Annual): 57.81% → period-scaled as σ_period = σ_annual·√h | 价格 bands: Upper = S·e^+σ√h, 低er = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2025-04-23	$0.7700
2024-04-22	$1.6520
2023-04-24	$1.4730
2022-04-19	$1.1220
2021-04-19	$0.3830
2021-03-15	$0.1160
2021-01-14	$2.2370
2019-05-20	$1.4510
2019-04-23	$0.7320
2016-01-04	$0.0109

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 1.18. Further, an Excess 峰度 of 29.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.30%	27	0.86%	0.86%
-9.30% to -6.95%	27	0.86%	1.72%
-6.95% to -4.61%	72	2.30%	4.02%
-4.61% to -2.26%	314	10.01%	14.03%
-2.26% to 0.08%	1147	36.56%	50.59%
0.08% to 2.43%	1064	33.92%	84.51%
2.43% to 4.78%	361	11.51%	96.02%
4.78% to 7.12%	77	2.45%	98.47%
7.12% to 9.47%	25	0.80%	99.27%
Greater than 9.47%	23	0.73%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.04%	3.21%	81.45%	68.27%
±2σ	-6.17%	6.34%	95.98%	95.45%
±3σ	-9.30%	9.47%	98.41%	99.73%

Descriptive Statistics

均值	0.084%
Standard Error	0.056%
中位数	0.051%
Mode	0.000%
Standard Deviation	3.128%
Sample Variance	9.785%
峰度	29.83
偏度	1.18
Range	74.216%
Minimum	-23.690%
Maximum	50.526%
Count	3137

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.108%	1575	50.21%	1.058%
负向	-2.019%	1515	48.30%	-0.975%
Zero	0.000%	47	1.50%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.21%
20	1 Month	3.74%
60	1 Quarter	4.32%
250	1 Year	3.50%
750	3 Years	2.88%
1,250	5 Years	2.85%
2,500	10 Years	2.87%
5,000	20 Years	3.06%
12,500	50 Years	3.06%

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 6.55. Further, an Excess 峰度 of 96.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.57%	0	0.00%	0.00%
-2.57% to -1.40%	0	0.00%	0.00%
-1.40% to -0.23%	0	0.00%	0.00%
-0.23% to 0.93%	294	9.37%	9.37%
0.93% to 2.10%	1731	55.16%	64.53%
2.10% to 3.26%	714	22.75%	87.28%
3.26% to 4.43%	245	7.81%	95.09%
4.43% to 5.59%	83	2.64%	97.74%
5.59% to 6.76%	27	0.86%	98.60%
Greater than 6.76%	44	1.40%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.54%	3.65%	88.91%	68.27%
±2σ	-1.01%	5.20%	97.20%	95.45%
±3σ	-2.57%	6.76%	98.60%	99.73%

Descriptive Statistics

均值	2.096%
Standard Error	0.028%
中位数	1.723%
Mode	1.233%
Standard Deviation	1.554%
Sample Variance	2.414%
峰度	96.97
偏度	6.55
Range	35.594%
Minimum	0.083%
Maximum	35.677%
Count	3138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.096%	3138	100.00%	2.096%
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 0.44. Further, an Excess 峰度 of 8.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.45%	18	0.57%	0.57%
-4.45% to -3.32%	28	0.89%	1.47%
-3.32% to -2.19%	98	3.12%	4.59%
-2.19% to -1.05%	405	12.91%	17.50%
-1.05% to 0.08%	1055	33.62%	51.12%
0.08% to 1.21%	1015	32.35%	83.46%
1.21% to 2.34%	354	11.28%	94.74%
2.34% to 3.48%	106	3.38%	98.12%
3.48% to 4.61%	29	0.92%	99.04%
Greater than 4.61%	30	0.96%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.43%	1.59%	77.76%	68.27%
±2σ	-2.94%	3.10%	95.54%	95.45%
±3σ	-4.45%	4.61%	98.47%	99.73%

Descriptive Statistics

均值	0.079%
Standard Error	0.027%
中位数	0.053%
Mode	0.000%
Standard Deviation	1.510%
Sample Variance	2.280%
峰度	8.12
偏度	0.44
Range	27.797%
Minimum	-14.229%
Maximum	13.568%
Count	3138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.132%	1580	50.35%	0.570%
负向	-1.051%	1466	46.72%	-0.491%
Zero	0.000%	92	2.93%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.30. Further, an Excess 峰度 of 5.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.18%	7	0.97%	0.97%
-19.18% to -14.29%	7	0.97%	1.94%
-14.29% to -9.41%	29	4.02%	5.96%
-9.41% to -4.53%	77	10.68%	16.64%
-4.53% to 0.36%	229	31.76%	48.40%
0.36% to 5.24%	248	34.40%	82.80%
5.24% to 10.13%	86	11.93%	94.73%
10.13% to 15.01%	26	3.61%	98.34%
15.01% to 19.89%	7	0.97%	99.31%
Greater than 19.89%	5	0.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.15%	6.87%	77.25%	68.27%
±2σ	-12.66%	13.38%	94.59%	95.45%
±3σ	-19.18%	19.89%	98.34%	99.73%

Descriptive Statistics

均值	0.359%
Standard Error	0.243%
中位数	0.628%
Mode	0.000%
Standard Deviation	6.512%
Sample Variance	42.410%
峰度	5.49
偏度	0.30
Range	73.530%
Minimum	-26.162%
Maximum	47.368%
Count	721

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.688%	384	53.26%	2.497%
负向	-4.616%	334	46.33%	-2.138%
Zero	0.000%	3	0.42%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	11.15%
12	1 Quarter	11.88%
52	1 Year	9.35%
156	3 Years	7.50%
260	5 Years	7.40%
520	10 Years	7.35%
1,040	20 Years	7.62%
2,600	50 Years	7.62%

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 2.71. Further, an Excess 峰度 of 13.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.92%	0	0.00%	0.00%
-7.92% to -4.20%	0	0.00%	0.00%
-4.20% to -0.48%	0	0.00%	0.00%
-0.48% to 3.24%	120	16.62%	16.62%
3.24% to 6.96%	320	44.32%	60.94%
6.96% to 10.67%	177	24.52%	85.46%
10.67% to 14.39%	61	8.45%	93.91%
14.39% to 18.11%	19	2.63%	96.54%
18.11% to 21.83%	13	1.80%	98.34%
Greater than 21.83%	12	1.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.00%	11.91%	81.72%	68.27%
±2σ	-2.96%	16.87%	95.71%	95.45%
±3σ	-7.92%	21.83%	98.34%	99.73%

Descriptive Statistics

均值	6.956%
Standard Error	0.185%
中位数	5.974%
Mode	2.456%
Standard Deviation	4.958%
Sample Variance	24.579%
峰度	13.87
偏度	2.71
Range	48.121%
Minimum	0.101%
Maximum	48.222%
Count	722

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.956%	722	100.00%	6.956%
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 1.30. Further, an Excess 峰度 of 6.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.09%	2	0.28%	0.28%
-16.09% to -11.98%	4	0.55%	0.83%
-11.98% to -7.87%	19	2.63%	3.46%
-7.87% to -3.75%	104	14.40%	17.87%
-3.75% to 0.36%	263	36.43%	54.29%
0.36% to 4.47%	211	29.22%	83.52%
4.47% to 8.58%	77	10.66%	94.18%
8.58% to 12.70%	24	3.32%	97.51%
12.70% to 16.81%	9	1.25%	98.75%
Greater than 16.81%	9	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.12%	5.84%	77.56%	68.27%
±2σ	-10.61%	11.32%	95.71%	95.45%
±3σ	-16.09%	16.81%	98.48%	99.73%

Descriptive Statistics

均值	0.359%
Standard Error	0.204%
中位数	-0.023%
Mode	0.000%
Standard Deviation	5.483%
Sample Variance	30.063%
峰度	6.56
偏度	1.30
Range	56.821%
Minimum	-18.653%
Maximum	38.168%
Count	722

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.247%	355	49.17%	2.088%
负向	-3.459%	361	50.00%	-1.730%
Zero	0.000%	6	0.83%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.42. Further, an Excess 峰度 of 1.25 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -35.35%	3	1.65%	1.65%
-35.35% to -26.17%	0	0.00%	1.65%
-26.17% to -16.99%	5	2.75%	4.40%
-16.99% to -7.81%	33	18.13%	22.53%
-7.81% to 1.37%	53	29.12%	51.65%
1.37% to 10.55%	47	25.82%	77.47%
10.55% to 19.73%	31	17.03%	94.51%
19.73% to 28.91%	9	4.95%	99.45%
28.91% to 38.09%	1	0.55%	100.00%
Greater than 38.09%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.87%	13.61%	66.48%	68.27%
±2σ	-23.11%	25.85%	96.70%	95.45%
±3σ	-35.35%	38.09%	98.35%	99.73%

Descriptive Statistics

均值	1.370%
Standard Error	0.907%
中位数	0.740%
Mode	-44.722%
Standard Deviation	12.239%
Sample Variance	149.798%
峰度	1.25
偏度	-0.42
Range	80.204%
Minimum	-44.722%
Maximum	35.482%
Count	182

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.186%	98	53.85%	5.485%
负向	-8.916%	84	46.15%	-4.115%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	27.33%
12	1 Year	19.82%
36	3 Years	16.56%
60	5 Years	16.43%
120	10 Years	16.97%
240	20 Years	17.18%
600	50 Years	17.18%

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 3.52. Further, an Excess 峰度 of 24.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.87%	0	0.00%	0.00%
-15.87% to -7.48%	0	0.00%	0.00%
-7.48% to 0.91%	4	2.19%	2.19%
0.91% to 9.29%	22	12.02%	14.21%
9.29% to 17.68%	80	43.72%	57.92%
17.68% to 26.07%	52	28.42%	86.34%
26.07% to 34.46%	16	8.74%	95.08%
34.46% to 42.85%	5	2.73%	97.81%
42.85% to 51.23%	2	1.09%	98.91%
Greater than 51.23%	2	1.09%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.50%	28.87%	84.70%	68.27%
±2σ	-4.68%	40.05%	97.27%	95.45%
±3σ	-15.87%	51.23%	98.91%	99.73%

Descriptive Statistics

均值	17.683%
Standard Error	0.827%
中位数	15.890%
Mode	0.173%
Standard Deviation	11.184%
Sample Variance	125.078%
峰度	24.83
偏度	3.52
Range	109.327%
Minimum	0.173%
Maximum	109.500%
Count	183

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.683%	183	100.00%	17.683%
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 1.26. Further, an Excess 峰度 of 4.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.60%	0	0.00%	0.00%
-36.60% to -27.24%	1	0.55%	0.55%
-27.24% to -17.88%	7	3.83%	4.37%
-17.88% to -8.52%	28	15.30%	19.67%
-8.52% to 0.84%	67	36.61%	56.28%
0.84% to 10.21%	44	24.04%	80.33%
10.21% to 19.57%	22	12.02%	92.35%
19.57% to 28.93%	12	6.56%	98.91%
28.93% to 38.29%	0	0.00%	98.91%
Greater than 38.29%	2	1.09%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.64%	13.33%	71.04%	68.27%
±2σ	-24.12%	25.81%	96.72%	95.45%
±3σ	-36.60%	38.29%	98.91%	99.73%

Descriptive Statistics

均值	0.845%
Standard Error	0.923%
中位数	-0.488%
Mode	-30.286%
Standard Deviation	12.483%
Sample Variance	155.815%
峰度	4.92
偏度	1.26
Range	99.410%
Minimum	-30.286%
Maximum	69.124%
Count	183

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.302%	88	48.09%	4.954%
负向	-7.999%	94	51.37%	-4.109%
Zero	0.000%	1	0.55%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.05. Further, an Excess 峰度 of -0.31 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -55.25%	0	0.00%	0.00%
-55.25% to -40.60%	0	0.00%	0.00%
-40.60% to -25.96%	4	6.56%	6.56%
-25.96% to -11.32%	9	14.75%	21.31%
-11.32% to 3.32%	15	24.59%	45.90%
3.32% to 17.96%	21	34.43%	80.33%
17.96% to 32.60%	8	13.11%	93.44%
32.60% to 47.24%	3	4.92%	98.36%
47.24% to 61.88%	1	1.64%	100.00%
Greater than 61.88%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.20%	22.84%	70.49%	68.27%
±2σ	-35.72%	42.36%	96.72%	95.45%
±3σ	-55.25%	61.88%	100.00%	99.73%

Descriptive Statistics

均值	3.319%
Standard Error	2.500%
中位数	5.372%
Mode	-35.185%
Standard Deviation	19.522%
Sample Variance	381.107%
峰度	-0.31
偏度	0.05
Range	85.322%
Minimum	-35.185%
Maximum	50.137%
Count	61

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.095%	35	57.38%	9.809%
负向	-15.225%	26	42.62%	-6.489%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	31.36%
12	3 Years	29.32%
20	5 Years	28.07%
40	10 Years	30.27%
80	20 Years	30.29%
200	50 Years	30.29%

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 2.54. Further, an Excess 峰度 of 9.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.10%	0	0.00%	0.00%
-22.10% to -7.61%	0	0.00%	0.00%
-7.61% to 6.88%	0	0.00%	0.00%
6.88% to 21.38%	9	14.52%	14.52%
21.38% to 35.87%	30	48.39%	62.90%
35.87% to 50.36%	14	22.58%	85.48%
50.36% to 64.85%	4	6.45%	91.94%
64.85% to 79.34%	3	4.84%	96.77%
79.34% to 93.83%	1	1.61%	98.39%
Greater than 93.83%	1	1.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.55%	55.19%	85.48%	68.27%
±2σ	-2.78%	74.51%	96.77%	95.45%
±3σ	-22.10%	93.83%	98.39%	99.73%

Descriptive Statistics

均值	35.868%
Standard Error	2.454%
中位数	29.360%
Mode	12.125%
Standard Deviation	19.322%
Sample Variance	373.335%
峰度	9.55
偏度	2.54
Range	120.042%
Minimum	12.125%
Maximum	132.167%
Count	62

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.868%	62	100.00%	35.868%
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 0.58. Further, an Excess 峰度 of -0.23 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -56.76%	0	0.00%	0.00%
-56.76% to -42.24%	0	0.00%	0.00%
-42.24% to -27.72%	3	4.84%	4.84%
-27.72% to -13.19%	13	20.97%	25.81%
-13.19% to 1.33%	19	30.65%	56.45%
1.33% to 15.86%	12	19.35%	75.81%
15.86% to 30.38%	10	16.13%	91.94%
30.38% to 44.90%	3	4.84%	96.77%
44.90% to 59.43%	2	3.23%	100.00%
Greater than 59.43%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.03%	20.70%	69.35%	68.27%
±2σ	-37.40%	40.06%	96.77%	95.45%
±3σ	-56.76%	59.43%	100.00%	99.73%

Descriptive Statistics

均值	1.331%
Standard Error	2.459%
中位数	-2.679%
Mode	-32.302%
Standard Deviation	19.365%
Sample Variance	375.008%
峰度	-0.23
偏度	0.58
Range	83.638%
Minimum	-32.302%
Maximum	51.336%
Count	62

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.212%	29	46.77%	8.518%
负向	-13.504%	33	53.23%	-7.188%
Zero	0.000%	0	0.00%	0.000%

STLA 深度分析报告