TTWO 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	3.21%	3.10%	2.89%	2.71%	2.88%	3.04%	204.76	216.91	198.95	223.25
周度	6.76%	7.44%	6.68%	6.39%	6.34%	6.68%	197.80	224.55	185.64	239.26
月度	13.90%	16.37%	14.68%	13.70%	13.21%	13.91%	184.68	240.50	161.83	274.45
季度	21.83%	30.74%	22.60%	22.95%	22.87%	24.09%	167.66	264.91	133.38	332.99
Annual	—	—	—	—	45.74%	48.18%	133.38	332.99	84.42	526.13
Option Time Horizon	—	—	—	—	17.43%	18.36%	177.04	250.88	148.72	298.66

Calculation Notes: Computed at 2026-04-26T02:49 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $210.75 | Strike (K): $220.00 (first OTM call ≥ spot) | Observed Mid-价格: $11.4000 (Bid $11.1000 / Ask $11.7000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 45.74% (CRR binomial tree, American, n=20 steps) | BS IV: 46.29% (European Black-Scholes) | Yahoo IV (Annual): 48.18% → 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
2008-09-25	$0.0010

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.86. Further, an Excess 峰度 of 22.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.52%	48	0.66%	0.66%
-9.52% to -7.11%	66	0.91%	1.57%
-7.11% to -4.71%	197	2.71%	4.28%
-4.71% to -2.30%	733	10.09%	14.37%
-2.30% to 0.11%	2759	37.97%	52.34%
0.11% to 2.51%	2418	33.28%	85.62%
2.51% to 4.92%	684	9.41%	95.03%
4.92% to 7.32%	214	2.95%	97.98%
7.32% to 9.73%	86	1.18%	99.16%
Greater than 9.73%	61	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.10%	3.31%	80.57%	68.27%
±2σ	-6.31%	6.52%	95.05%	95.45%
±3σ	-9.52%	9.73%	98.50%	99.73%

Descriptive Statistics

均值	0.106%
Standard Error	0.038%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.208%
Sample Variance	10.294%
峰度	22.11
偏度	0.86
Range	86.258%
Minimum	-31.362%
Maximum	54.896%
Count	7266

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.200%	3595	49.48%	1.088%
负向	-2.043%	3494	48.09%	-0.982%
Zero	0.000%	177	2.44%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.77%
20	1 Month	2.95%
60	1 Quarter	3.59%
250	1 Year	2.61%
750	3 Years	2.40%
1,250	5 Years	2.71%
2,500	10 Years	2.87%
5,000	20 Years	3.36%
12,500	50 Years	4.09%

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 4.59. Further, an Excess 峰度 of 49.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.30%	0	0.00%	0.00%
-5.30% to -2.97%	0	0.00%	0.00%
-2.97% to -0.64%	0	0.00%	0.00%
-0.64% to 1.68%	843	11.60%	11.60%
1.68% to 4.01%	3936	54.16%	65.76%
4.01% to 6.34%	1456	20.04%	85.80%
6.34% to 8.66%	547	7.53%	93.33%
8.66% to 10.99%	259	3.56%	96.89%
10.99% to 13.31%	118	1.62%	98.51%
Greater than 13.31%	108	1.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.91%	7.11%	88.30%	68.27%
±2σ	-2.19%	10.21%	95.83%	95.45%
±3σ	-5.30%	13.31%	98.51%	99.73%

Descriptive Statistics

均值	4.009%
Standard Error	0.036%
中位数	3.125%
Mode	5.000%
Standard Deviation	3.102%
Sample Variance	9.621%
峰度	49.29
偏度	4.59
Range	63.840%
Minimum	0.569%
Maximum	64.409%
Count	7267

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.009%	7267	100.00%	4.009%
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 0.77. Further, an Excess 峰度 of 17.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.59%	39	0.54%	0.54%
-8.59% to -6.42%	88	1.21%	1.75%
-6.42% to -4.26%	242	3.33%	5.08%
-4.26% to -2.10%	739	10.17%	15.25%
-2.10% to 0.07%	2683	36.92%	52.17%
0.07% to 2.23%	2365	32.54%	84.71%
2.23% to 4.40%	736	10.13%	94.84%
4.40% to 6.56%	218	3.00%	97.84%
6.56% to 8.73%	93	1.28%	99.12%
Greater than 8.73%	64	0.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.82%	2.96%	79.68%	68.27%
±2σ	-5.70%	5.84%	94.76%	95.45%
±3σ	-8.59%	8.73%	98.58%	99.73%

Descriptive Statistics

均值	0.069%
Standard Error	0.034%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.886%
Sample Variance	8.327%
峰度	17.09
偏度	0.77
Range	75.644%
Minimum	-28.016%
Maximum	47.628%
Count	7267

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.030%	3549	48.84%	0.991%
负向	-1.895%	3537	48.67%	-0.922%
Zero	0.000%	181	2.49%	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 0.86. Further, an Excess 峰度 of 10.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.79%	9	0.60%	0.60%
-19.79% to -14.72%	17	1.12%	1.72%
-14.72% to -9.65%	47	3.11%	4.83%
-9.65% to -4.58%	168	11.11%	15.94%
-4.58% to 0.49%	528	34.92%	50.86%
0.49% to 5.55%	508	33.60%	84.46%
5.55% to 10.62%	157	10.38%	94.84%
10.62% to 15.69%	50	3.31%	98.15%
15.69% to 20.76%	14	0.93%	99.07%
Greater than 20.76%	14	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.27%	7.24%	79.30%	68.27%
±2σ	-13.03%	14.00%	95.04%	95.45%
±3σ	-19.79%	20.76%	98.54%	99.73%

Descriptive Statistics

均值	0.486%
Standard Error	0.174%
中位数	0.336%
Mode	0.000%
Standard Deviation	6.757%
Sample Variance	45.658%
峰度	10.53
偏度	0.86
Range	102.220%
Minimum	-32.353%
Maximum	69.867%
Count	1512

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.782%	805	53.24%	2.546%
负向	-4.494%	693	45.83%	-2.060%
Zero	0.000%	14	0.93%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	6.43%
12	1 Quarter	8.02%
52	1 Year	5.95%
156	3 Years	5.60%
260	5 Years	6.39%
520	10 Years	6.57%
1,040	20 Years	7.79%
2,600	50 Years	9.38%

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 2.97. Further, an Excess 峰度 of 14.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.38%	0	0.00%	0.00%
-12.38% to -6.80%	0	0.00%	0.00%
-6.80% to -1.22%	0	0.00%	0.00%
-1.22% to 4.36%	217	14.34%	14.34%
4.36% to 9.94%	762	50.36%	64.71%
9.94% to 15.52%	305	20.16%	84.86%
15.52% to 21.10%	121	8.00%	92.86%
21.10% to 26.67%	68	4.49%	97.36%
26.67% to 32.25%	10	0.66%	98.02%
Greater than 32.25%	30	1.98%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.50%	17.38%	87.11%	68.27%
±2σ	-4.94%	24.81%	96.36%	95.45%
±3σ	-12.38%	32.25%	98.02%	99.73%

Descriptive Statistics

均值	9.939%
Standard Error	0.191%
中位数	7.680%
Mode	5.000%
Standard Deviation	7.438%
Sample Variance	55.323%
峰度	14.60
偏度	2.97
Range	71.951%
Minimum	1.571%
Maximum	73.522%
Count	1513

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.939%	1513	100.00%	9.939%
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 0.97. Further, an Excess 峰度 of 7.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.02%	6	0.40%	0.40%
-20.02% to -15.01%	15	0.99%	1.39%
-15.01% to -10.00%	51	3.37%	4.76%
-10.00% to -4.99%	171	11.30%	16.06%
-4.99% to 0.01%	561	37.08%	53.14%
0.01% to 5.02%	482	31.86%	85.00%
5.02% to 10.03%	146	9.65%	94.65%
10.03% to 15.04%	44	2.91%	97.55%
15.04% to 20.05%	18	1.19%	98.74%
Greater than 20.05%	19	1.26%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.66%	6.69%	78.52%	68.27%
±2σ	-13.34%	13.37%	94.91%	95.45%
±3σ	-20.02%	20.05%	98.35%	99.73%

Descriptive Statistics

均值	0.015%
Standard Error	0.172%
中位数	-0.334%
Mode	0.000%
Standard Deviation	6.679%
Sample Variance	44.612%
峰度	7.41
偏度	0.97
Range	87.268%
Minimum	-40.721%
Maximum	46.547%
Count	1513

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.827%	709	46.86%	2.262%
负向	-4.298%	791	52.28%	-2.247%
Zero	0.000%	13	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 1.10. Further, an Excess 峰度 of 8.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.69%	1	0.29%	0.29%
-39.69% to -29.26%	3	0.86%	1.15%
-29.26% to -18.84%	13	3.74%	4.89%
-18.84% to -8.42%	40	11.49%	16.38%
-8.42% to 2.00%	125	35.92%	52.30%
2.00% to 12.42%	109	31.32%	83.62%
12.42% to 22.85%	40	11.49%	95.11%
22.85% to 33.27%	10	2.87%	97.99%
33.27% to 43.69%	3	0.86%	98.85%
Greater than 43.69%	4	1.15%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.89%	15.90%	79.89%	68.27%
±2σ	-25.79%	29.79%	96.26%	95.45%
±3σ	-39.69%	43.69%	98.56%	99.73%

Descriptive Statistics

均值	2.002%
Standard Error	0.745%
中位数	1.310%
Mode	-7.662%
Standard Deviation	13.896%
Sample Variance	193.099%
峰度	8.30
偏度	1.10
Range	154.440%
Minimum	-57.410%
Maximum	97.030%
Count	348

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.447%	195	56.03%	5.854%
负向	-8.818%	152	43.68%	-3.852%
Zero	0.000%	1	0.29%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	15.93%
12	1 Year	12.34%
36	3 Years	12.37%
60	5 Years	13.70%
120	10 Years	14.05%
240	20 Years	16.89%
600	50 Years	20.17%

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 2.83. Further, an Excess 峰度 of 12.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.96%	0	0.00%	0.00%
-25.96% to -13.68%	0	0.00%	0.00%
-13.68% to -1.41%	0	0.00%	0.00%
-1.41% to 10.87%	55	15.76%	15.76%
10.87% to 23.14%	170	48.71%	64.47%
23.14% to 35.41%	75	21.49%	85.96%
35.41% to 47.69%	24	6.88%	92.84%
47.69% to 59.96%	12	3.44%	96.28%
59.96% to 72.24%	7	2.01%	98.28%
Greater than 72.24%	6	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.77%	39.51%	88.25%	68.27%
±2σ	-9.59%	55.87%	95.70%	95.45%
±3σ	-25.96%	72.24%	98.28%	99.73%

Descriptive Statistics

均值	23.141%
Standard Error	0.876%
中位数	18.477%
Mode	32.000%
Standard Deviation	16.366%
Sample Variance	267.860%
峰度	12.94
偏度	2.83
Range	136.822%
Minimum	5.423%
Maximum	142.245%
Count	349

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.141%	349	100.00%	23.141%
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 2.43. Further, an Excess 峰度 of 18.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -44.31%	1	0.29%	0.29%
-44.31% to -33.30%	1	0.29%	0.57%
-33.30% to -22.30%	8	2.29%	2.87%
-22.30% to -11.29%	53	15.19%	18.05%
-11.29% to -0.28%	130	37.25%	55.30%
-0.28% to 10.72%	105	30.09%	85.39%
10.72% to 21.73%	32	9.17%	94.56%
21.73% to 32.74%	13	3.72%	98.28%
32.74% to 43.74%	2	0.57%	98.85%
Greater than 43.74%	4	1.15%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.96%	14.39%	81.95%	68.27%
±2σ	-29.63%	29.07%	95.99%	95.45%
±3σ	-44.31%	43.74%	98.57%	99.73%

Descriptive Statistics

均值	-0.282%
Standard Error	0.786%
中位数	-1.508%
Mode	-49.103%
Standard Deviation	14.675%
Sample Variance	215.370%
峰度	18.68
偏度	2.43
Range	179.089%
Minimum	-49.103%
Maximum	129.986%
Count	349

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.966%	152	43.55%	4.776%
负向	-9.006%	196	56.16%	-5.058%
Zero	0.000%	1	0.29%	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 0.55. Further, an Excess 峰度 of 2.41 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -59.97%	0	0.00%	0.00%
-59.97% to -43.59%	1	0.86%	0.86%
-43.59% to -27.22%	5	4.31%	5.17%
-27.22% to -10.85%	21	18.10%	23.28%
-10.85% to 5.52%	30	25.86%	49.14%
5.52% to 21.89%	34	29.31%	78.45%
21.89% to 38.27%	20	17.24%	95.69%
38.27% to 54.64%	3	2.59%	98.28%
54.64% to 71.01%	1	0.86%	99.14%
Greater than 71.01%	1	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.31%	27.35%	71.55%	68.27%
±2σ	-38.14%	49.18%	96.55%	95.45%
±3σ	-59.96%	71.01%	99.14%	99.73%

Descriptive Statistics

均值	5.522%
Standard Error	2.027%
中位数	6.220%
Mode	-47.979%
Standard Deviation	21.829%
Sample Variance	476.516%
峰度	2.41
偏度	0.55
Range	148.941%
Minimum	-47.979%
Maximum	100.962%
Count	116

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.695%	71	61.21%	11.443%
负向	-15.261%	45	38.79%	-5.920%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	18.41%
12	3 Years	20.99%
20	5 Years	22.95%
40	10 Years	24.59%
80	20 Years	29.60%
200	50 Years	34.86%

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 2.99. Further, an Excess 峰度 of 13.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.73%	0	0.00%	0.00%
-48.73% to -25.68%	0	0.00%	0.00%
-25.68% to -2.62%	0	0.00%	0.00%
-2.62% to 20.43%	15	12.82%	12.82%
20.43% to 43.49%	64	54.70%	67.52%
43.49% to 66.54%	20	17.09%	84.62%
66.54% to 89.59%	10	8.55%	93.16%
89.59% to 112.65%	4	3.42%	96.58%
112.65% to 135.70%	1	0.85%	97.44%
Greater than 135.70%	3	2.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.75%	74.22%	88.03%	68.27%
±2σ	-17.99%	104.96%	95.73%	95.45%
±3σ	-48.73%	135.70%	97.44%	99.73%

Descriptive Statistics

均值	43.486%
Standard Error	2.842%
中位数	33.112%
Mode	15.220%
Standard Deviation	30.739%
Sample Variance	944.895%
峰度	13.50
偏度	2.99
Range	220.494%
Minimum	15.220%
Maximum	235.714%
Count	117

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	43.486%	117	100.00%	43.486%
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 1.23. Further, an Excess 峰度 of 2.76 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -69.14%	0	0.00%	0.00%
-69.14% to -52.19%	0	0.00%	0.00%
-52.19% to -35.24%	3	2.56%	2.56%
-35.24% to -18.29%	23	19.66%	22.22%
-18.29% to -1.34%	46	39.32%	61.54%
-1.34% to 15.61%	23	19.66%	81.20%
15.61% to 32.56%	14	11.97%	93.16%
32.56% to 49.51%	4	3.42%	96.58%
49.51% to 66.46%	2	1.71%	98.29%
Greater than 66.46%	2	1.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.94%	21.26%	76.92%	68.27%
±2σ	-46.54%	43.86%	95.73%	95.45%
±3σ	-69.14%	66.46%	98.29%	99.73%

Descriptive Statistics

均值	-1.341%
Standard Error	2.089%
中位数	-5.520%
Mode	-50.957%
Standard Deviation	22.600%
Sample Variance	510.763%
峰度	2.76
偏度	1.23
Range	144.296%
Minimum	-50.957%
Maximum	93.339%
Count	117

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.065%	42	35.90%	7.921%
负向	-14.449%	75	64.10%	-9.262%
Zero	0.000%	0	0.00%	0.000%

TTWO 深度分析报告