UAL 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	4.01%	5.98%	3.51%	4.05%	3.56%	3.64%	89.75	96.37	86.61	99.86
周度	8.72%	15.70%	8.42%	9.81%	7.84%	8.01%	85.99	100.58	79.51	108.78
月度	16.14%	39.28%	17.55%	21.13%	16.31%	16.67%	79.00	109.48	67.11	128.88
季度	28.15%	82.38%	35.20%	39.01%	28.26%	28.87%	70.11	123.37	52.85	163.65
Annual	—	—	—	—	56.51%	57.74%	52.85	163.65	30.03	287.97
Option Time Horizon	—	—	—	—	21.53%	22.00%	74.98	115.35	60.46	143.06

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $93.00 | Strike (K): $95.00 (first OTM call ≥ spot) | Observed Mid-价格: $7.3500 (Bid $7.2000 / Ask $7.5000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 56.51% (CRR binomial tree, American, n=20 steps) | BS IV: 56.77% (European Black-Scholes) | Yahoo IV (Annual): 57.74% → 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
2008-01-07	$2.1500

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 1.28. Further, an Excess 峰度 of 28.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.92%	39	0.77%	0.77%
-11.92% to -8.91%	47	0.92%	1.69%
-8.91% to -5.91%	108	2.12%	3.82%
-5.91% to -2.90%	492	9.68%	13.49%
-2.90% to 0.10%	1925	37.86%	51.35%
0.10% to 3.10%	1799	35.38%	86.73%
3.10% to 6.11%	464	9.12%	95.85%
6.11% to 9.11%	124	2.44%	98.29%
9.11% to 12.12%	32	0.63%	98.92%
Greater than 12.12%	55	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.91%	4.11%	82.89%	68.27%
±2σ	-7.91%	8.11%	95.26%	95.45%
±3σ	-11.92%	12.12%	98.15%	99.73%

Descriptive Statistics

均值	0.100%
Standard Error	0.056%
中位数	0.024%
Mode	0.000%
Standard Deviation	4.006%
Sample Variance	16.046%
峰度	28.67
偏度	1.28
Range	105.308%
Minimum	-36.771%
Maximum	68.537%
Count	5085

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.582%	2553	50.21%	1.296%
负向	-2.429%	2504	49.24%	-1.196%
Zero	0.000%	28	0.55%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.79%
20	1 Month	5.51%
60	1 Quarter	5.61%
250	1 Year	4.30%
750	3 Years	3.95%
1,250	5 Years	4.05%
2,500	10 Years	3.90%
5,000	20 Years	4.68%
12,500	50 Years	4.68%

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 29.17. Further, an Excess 峰度 of 1438.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.35%	0	0.00%	0.00%
-13.35% to -8.87%	0	0.00%	0.00%
-8.87% to -4.38%	0	0.00%	0.00%
-4.38% to 0.10%	0	0.00%	0.00%
0.10% to 4.58%	3553	69.86%	69.86%
4.58% to 9.07%	1137	22.36%	92.21%
9.07% to 13.55%	230	4.52%	96.74%
13.55% to 18.03%	82	1.61%	98.35%
18.03% to 22.52%	40	0.79%	99.13%
Greater than 22.52%	44	0.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.39%	10.56%	94.34%	68.27%
±2σ	-7.37%	16.54%	97.99%	95.45%
±3σ	-13.35%	22.52%	99.13%	99.73%

Descriptive Statistics

均值	4.583%
Standard Error	0.084%
中位数	3.446%
Mode	2.434%
Standard Deviation	5.978%
Sample Variance	35.741%
峰度	1438.86
偏度	29.17
Range	314.449%
Minimum	0.551%
Maximum	315.000%
Count	5086

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.583%	5086	100.00%	4.583%
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 1.60. Further, an Excess 峰度 of 27.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.41%	33	0.65%	0.65%
-10.41% to -7.78%	28	0.55%	1.20%
-7.78% to -5.14%	128	2.52%	3.72%
-5.14% to -2.51%	518	10.18%	13.90%
-2.51% to 0.12%	1932	37.99%	51.89%
0.12% to 2.75%	1789	35.17%	87.06%
2.75% to 5.39%	452	8.89%	95.95%
5.39% to 8.02%	111	2.18%	98.13%
8.02% to 10.65%	47	0.92%	99.06%
Greater than 10.65%	48	0.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.39%	3.63%	82.52%	68.27%
±2σ	-6.90%	7.14%	95.75%	95.45%
±3σ	-10.41%	10.65%	98.41%	99.73%

Descriptive Statistics

均值	0.122%
Standard Error	0.049%
中位数	0.024%
Mode	0.000%
Standard Deviation	3.510%
Sample Variance	12.318%
峰度	27.27
偏度	1.60
Range	89.682%
Minimum	-36.029%
Maximum	53.653%
Count	5086

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.299%	2558	50.30%	1.156%
负向	-2.101%	2504	49.23%	-1.034%
Zero	0.000%	24	0.47%	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 1.55. Further, an Excess 峰度 of 13.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.69%	6	0.57%	0.57%
-25.69% to -19.16%	14	1.33%	1.90%
-19.16% to -12.62%	29	2.75%	4.64%
-12.62% to -6.08%	94	8.91%	13.55%
-6.08% to 0.46%	401	38.01%	51.56%
0.46% to 7.00%	367	34.79%	86.35%
7.00% to 13.54%	100	9.48%	95.83%
13.54% to 20.08%	25	2.37%	98.20%
20.08% to 26.62%	5	0.47%	98.67%
Greater than 26.62%	14	1.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.26%	9.18%	81.99%	68.27%
±2σ	-16.97%	17.90%	95.17%	95.45%
±3σ	-25.69%	26.62%	98.10%	99.73%

Descriptive Statistics

均值	0.463%
Standard Error	0.268%
中位数	0.223%
Mode	0.000%
Standard Deviation	8.719%
Sample Variance	76.020%
峰度	13.54
偏度	1.55
Range	120.452%
Minimum	-39.452%
Maximum	81.000%
Count	1055

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.951%	538	50.99%	3.035%
负向	-5.278%	514	48.72%	-2.571%
Zero	0.000%	3	0.28%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	14.09%
12	1 Quarter	13.50%
52	1 Year	9.94%
156	3 Years	9.45%
260	5 Years	9.81%
520	10 Years	9.31%
1,040	20 Years	11.07%
2,600	50 Years	11.04%

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 12.22. Further, an Excess 峰度 of 245.24 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.83%	0	0.00%	0.00%
-34.83% to -23.06%	0	0.00%	0.00%
-23.06% to -11.29%	0	0.00%	0.00%
-11.29% to 0.48%	0	0.00%	0.00%
0.48% to 12.26%	746	70.64%	70.64%
12.26% to 24.03%	231	21.88%	92.52%
24.03% to 35.80%	37	3.50%	96.02%
35.80% to 47.58%	18	1.70%	97.73%
47.58% to 59.35%	9	0.85%	98.58%
Greater than 59.35%	15	1.42%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.44%	27.95%	93.94%	68.27%
±2σ	-19.14%	43.65%	97.44%	95.45%
±3σ	-34.83%	59.35%	98.58%	99.73%

Descriptive Statistics

均值	12.258%
Standard Error	0.483%
中位数	8.784%
Mode	3.732%
Standard Deviation	15.697%
Sample Variance	246.396%
峰度	245.24
偏度	12.22
Range	362.352%
Minimum	1.981%
Maximum	364.333%
Count	1056

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.258%	1056	100.00%	12.258%
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 9.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.76%	6	0.57%	0.57%
-24.76% to -18.45%	7	0.66%	1.23%
-18.45% to -12.13%	22	2.08%	3.31%
-12.13% to -5.82%	119	11.27%	14.58%
-5.82% to 0.49%	418	39.58%	54.17%
0.49% to 6.80%	346	32.77%	86.93%
6.80% to 13.12%	79	7.48%	94.41%
13.12% to 19.43%	29	2.75%	97.16%
19.43% to 25.74%	15	1.42%	98.58%
Greater than 25.74%	15	1.42%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.93%	8.91%	82.67%	68.27%
±2σ	-16.34%	17.32%	94.89%	95.45%
±3σ	-24.76%	25.74%	98.01%	99.73%

Descriptive Statistics

均值	0.490%
Standard Error	0.259%
中位数	-0.038%
Mode	3.311%
Standard Deviation	8.417%
Sample Variance	70.838%
峰度	9.12
偏度	1.30
Range	104.112%
Minimum	-40.016%
Maximum	64.096%
Count	1056

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.952%	525	49.72%	2.959%
负向	-4.919%	530	50.19%	-2.469%
Zero	0.000%	1	0.10%	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 0.62. Further, an Excess 峰度 of 3.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -46.70%	2	0.83%	0.83%
-46.70% to -34.60%	2	0.83%	1.65%
-34.60% to -22.50%	8	3.31%	4.96%
-22.50% to -10.40%	27	11.16%	16.12%
-10.40% to 1.70%	85	35.12%	51.24%
1.70% to 13.80%	80	33.06%	84.30%
13.80% to 25.90%	23	9.50%	93.80%
25.90% to 38.01%	9	3.72%	97.52%
38.01% to 50.11%	2	0.83%	98.35%
Greater than 50.11%	4	1.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.43%	17.84%	78.51%	68.27%
±2σ	-30.57%	33.97%	94.21%	95.45%
±3σ	-46.70%	50.11%	97.52%	99.73%

Descriptive Statistics

均值	1.701%
Standard Error	1.037%
中位数	0.764%
Mode	2.749%
Standard Deviation	16.135%
Sample Variance	260.333%
峰度	3.04
偏度	0.62
Range	115.140%
Minimum	-48.774%
Maximum	66.366%
Count	242

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.363%	128	52.89%	6.539%
负向	-10.271%	114	47.11%	-4.838%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	19.42%
12	1 Year	18.84%
36	3 Years	20.41%
60	5 Years	21.13%
120	10 Years	20.04%
240	20 Years	24.07%
600	50 Years	24.03%

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 5.56. Further, an Excess 峰度 of 37.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -87.09%	0	0.00%	0.00%
-87.09% to -57.63%	0	0.00%	0.00%
-57.63% to -28.17%	0	0.00%	0.00%
-28.17% to 1.29%	0	0.00%	0.00%
1.29% to 30.75%	180	74.07%	74.07%
30.75% to 60.21%	45	18.52%	92.59%
60.21% to 89.67%	8	3.29%	95.88%
89.67% to 119.13%	4	1.65%	97.53%
119.13% to 148.59%	2	0.82%	98.35%
Greater than 148.59%	4	1.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.53%	70.03%	93.83%	68.27%
±2σ	-47.81%	109.31%	97.53%	95.45%
±3σ	-87.09%	148.59%	98.35%	99.73%

Descriptive Statistics

均值	30.748%
Standard Error	2.520%
中位数	20.733%
Mode	4.836%
Standard Deviation	39.280%
Sample Variance	1542.946%
峰度	37.53
偏度	5.56
Range	371.497%
Minimum	4.836%
Maximum	376.333%
Count	243

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.748%	243	100.00%	30.748%
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 1.83. Further, an Excess 峰度 of 7.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -51.52%	0	0.00%	0.00%
-51.52% to -38.36%	3	1.23%	1.23%
-38.36% to -25.20%	4	1.65%	2.88%
-25.20% to -12.04%	31	12.76%	15.64%
-12.04% to 1.12%	102	41.98%	57.61%
1.12% to 14.28%	70	28.81%	86.42%
14.28% to 27.44%	20	8.23%	94.65%
27.44% to 40.60%	6	2.47%	97.12%
40.60% to 53.76%	3	1.23%	98.35%
Greater than 53.76%	4	1.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.42%	18.67%	81.89%	68.27%
±2σ	-33.97%	36.21%	95.06%	95.45%
±3σ	-51.52%	53.76%	98.35%	99.73%

Descriptive Statistics

均值	1.123%
Standard Error	1.126%
中位数	-0.879%
Mode	7.527%
Standard Deviation	17.546%
Sample Variance	307.852%
峰度	7.45
偏度	1.83
Range	133.467%
Minimum	-39.711%
Maximum	93.756%
Count	243

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.765%	111	45.68%	6.288%
负向	-9.508%	132	54.32%	-5.165%
Zero	0.000%	0	0.00%	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 1.15 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -79.25%	0	0.00%	0.00%
-79.25% to -58.14%	2	2.50%	2.50%
-58.14% to -37.02%	2	2.50%	5.00%
-37.02% to -15.91%	10	12.50%	17.50%
-15.91% to 5.20%	26	32.50%	50.00%
5.20% to 26.32%	27	33.75%	83.75%
26.32% to 47.43%	8	10.00%	93.75%
47.43% to 68.55%	1	1.25%	95.00%
68.55% to 89.66%	4	5.00%	100.00%
Greater than 89.66%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.95%	33.36%	76.25%	68.27%
±2σ	-51.10%	61.51%	92.50%	95.45%
±3σ	-79.25%	89.66%	100.00%	99.73%

Descriptive Statistics

均值	5.204%
Standard Error	3.148%
中位数	4.758%
Mode	-60.738%
Standard Deviation	28.152%
Sample Variance	792.551%
峰度	1.15
偏度	0.42
Range	148.603%
Minimum	-60.738%
Maximum	87.865%
Count	80

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.444%	45	56.25%	13.187%
负向	-18.247%	35	43.75%	-7.983%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	33.86%
12	3 Years	41.84%
20	5 Years	39.01%
40	10 Years	36.66%
80	20 Years	42.83%
200	50 Years	42.83%

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 3.65. Further, an Excess 峰度 of 14.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -180.80%	0	0.00%	0.00%
-180.80% to -119.02%	0	0.00%	0.00%
-119.02% to -57.23%	0	0.00%	0.00%
-57.23% to 4.55%	0	0.00%	0.00%
4.55% to 66.34%	65	80.25%	80.25%
66.34% to 128.13%	8	9.88%	90.12%
128.13% to 189.91%	4	4.94%	95.06%
189.91% to 251.70%	1	1.23%	96.30%
251.70% to 313.49%	0	0.00%	96.30%
Greater than 313.49%	3	3.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.04%	148.72%	92.59%	68.27%
±2σ	-98.42%	231.11%	96.30%	95.45%
±3σ	-180.80%	313.49%	96.30%	99.73%

Descriptive Statistics

均值	66.342%
Standard Error	9.154%
中位数	39.798%
Mode	15.177%
Standard Deviation	82.382%
Sample Variance	6786.716%
峰度	14.45
偏度	3.65
Range	472.680%
Minimum	15.177%
Maximum	487.857%
Count	81

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	66.342%	81	100.00%	66.342%
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 2.34. Further, an Excess 峰度 of 7.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -102.06%	0	0.00%	0.00%
-102.06% to -75.66%	0	0.00%	0.00%
-75.66% to -49.26%	0	0.00%	0.00%
-49.26% to -22.86%	12	14.81%	14.81%
-22.86% to 3.54%	39	48.15%	62.96%
3.54% to 29.95%	20	24.69%	87.65%
29.95% to 56.35%	5	6.17%	93.83%
56.35% to 82.75%	2	2.47%	96.30%
82.75% to 109.15%	1	1.23%	97.53%
Greater than 109.15%	2	2.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.66%	38.75%	85.19%	68.27%
±2σ	-66.86%	73.95%	95.06%	95.45%
±3σ	-102.07%	109.15%	97.53%	99.73%

Descriptive Statistics

均值	3.544%
Standard Error	3.911%
中位数	-3.305%
Mode	-46.361%
Standard Deviation	35.203%
Sample Variance	1239.226%
峰度	7.60
偏度	2.34
Range	202.267%
Minimum	-46.361%
Maximum	155.906%
Count	81

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.936%	34	41.98%	12.985%
负向	-16.271%	47	58.02%	-9.441%
Zero	0.000%	0	0.00%	0.000%

UAL 深度分析报告