UPST 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	7.23%	5.05%	5.66%	8.60%	5.60%	5.68%	31.66	35.42	29.94	37.46
周度	18.25%	18.11%	15.31%	21.44%	12.34%	12.51%	29.60	37.89	26.17	42.86
月度	34.68%	48.49%	31.72%	46.55%	25.68%	26.05%	25.91	43.30	20.04	55.97
季度	102.64%	111.95%	79.82%	102.89%	44.48%	45.12%	21.47	52.25	13.76	81.52
Annual	—	—	—	—	88.96%	90.23%	13.76	81.52	5.65	198.43
Option Time Horizon	—	—	—	—	33.90%	34.38%	23.86	47.00	17.00	65.97

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $33.49 | Strike (K): $35.00 (first OTM call ≥ spot) | Observed Mid-价格: $4.0000 (Bid $3.9000 / Ask $4.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 88.96% (CRR binomial tree, American, n=20 steps) | BS IV: 89.65% (European Black-Scholes) | Yahoo IV (Annual): 90.23% → 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 1.77. Further, an Excess 峰度 of 23.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.43%	4	0.30%	0.30%
-21.43% to -16.01%	6	0.45%	0.74%
-16.01% to -10.58%	27	2.01%	2.76%
-10.58% to -5.16%	188	14.00%	16.75%
-5.16% to 0.26%	491	36.56%	53.31%
0.26% to 5.68%	421	31.35%	84.66%
5.68% to 11.11%	145	10.80%	95.46%
11.11% to 16.53%	35	2.61%	98.06%
16.53% to 21.95%	12	0.89%	98.96%
Greater than 21.95%	14	1.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.97%	7.49%	80.12%	68.27%
±2σ	-14.20%	14.72%	96.20%	95.45%
±3σ	-21.43%	21.95%	98.66%	99.73%

Descriptive Statistics

均值	0.262%
Standard Error	0.197%
中位数	-0.230%
Mode	-0.998%
Standard Deviation	7.230%
Sample Variance	52.274%
峰度	23.25
偏度	1.77
Range	145.748%
Minimum	-56.424%
Maximum	89.324%
Count	1343

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.277%	645	48.03%	2.534%
负向	-4.391%	695	51.75%	-2.272%
Zero	0.000%	3	0.22%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.78%
20	1 Month	6.07%
60	1 Quarter	6.63%
250	1 Year	6.21%
750	3 Years	7.64%
1,250	5 Years	8.60%
2,500	10 Years	9.03%
5,000	20 Years	9.03%
12,500	50 Years	9.03%

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 2.38. Further, an Excess 峰度 of 9.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.40%	0	0.00%	0.00%
-6.40% to -2.61%	0	0.00%	0.00%
-2.61% to 1.18%	0	0.00%	0.00%
1.18% to 4.97%	263	19.57%	19.57%
4.97% to 8.76%	567	42.19%	61.76%
8.76% to 12.55%	311	23.14%	84.90%
12.55% to 16.34%	114	8.48%	93.38%
16.34% to 20.13%	34	2.53%	95.91%
20.13% to 23.92%	29	2.16%	98.07%
Greater than 23.92%	26	1.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.71%	13.81%	82.89%	68.27%
±2σ	-1.35%	18.87%	95.16%	95.45%
±3σ	-6.40%	23.92%	98.07%	99.73%

Descriptive Statistics

均值	8.759%
Standard Error	0.138%
中位数	7.508%
Mode	3.450%
Standard Deviation	5.054%
Sample Variance	25.547%
峰度	9.61
偏度	2.38
Range	50.053%
Minimum	2.155%
Maximum	52.208%
Count	1344

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.759%	1344	100.00%	8.759%
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 0.02. Further, an Excess 峰度 of 2.67 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.91%	8	0.60%	0.60%
-16.91% to -12.66%	18	1.34%	1.93%
-12.66% to -8.42%	55	4.09%	6.03%
-8.42% to -4.17%	179	13.32%	19.35%
-4.17% to 0.07%	392	29.17%	48.51%
0.07% to 4.32%	450	33.48%	81.99%
4.32% to 8.56%	165	12.28%	94.27%
8.56% to 12.81%	55	4.09%	98.36%
12.81% to 17.05%	16	1.19%	99.55%
Greater than 17.05%	6	0.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.59%	5.73%	74.03%	68.27%
±2σ	-11.25%	11.39%	94.72%	95.45%
±3σ	-16.91%	17.05%	98.96%	99.73%

Descriptive Statistics

均值	0.072%
Standard Error	0.154%
中位数	0.215%
Mode	0.000%
Standard Deviation	5.660%
Sample Variance	32.033%
峰度	2.67
偏度	0.02
Range	62.435%
Minimum	-27.413%
Maximum	35.022%
Count	1344

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.113%	694	51.64%	2.124%
负向	-4.269%	646	48.06%	-2.052%
Zero	0.000%	4	0.30%	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 2.74. Further, an Excess 峰度 of 21.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -53.42%	0	0.00%	0.00%
-53.42% to -39.73%	1	0.36%	0.36%
-39.73% to -26.04%	7	2.51%	2.87%
-26.04% to -12.36%	44	15.77%	18.64%
-12.36% to 1.33%	96	34.41%	53.05%
1.33% to 15.02%	92	32.97%	86.02%
15.02% to 28.71%	25	8.96%	94.98%
28.71% to 42.40%	9	3.23%	98.21%
42.40% to 56.09%	3	1.08%	99.28%
Greater than 56.09%	2	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.92%	19.58%	76.70%	68.27%
±2σ	-35.17%	37.83%	97.13%	95.45%
±3σ	-53.42%	56.09%	99.28%	99.73%

Descriptive Statistics

均值	1.332%
Standard Error	1.093%
中位数	0.236%
Mode	-2.830%
Standard Deviation	18.251%
Sample Variance	333.098%
峰度	21.30
偏度	2.74
Range	212.995%
Minimum	-51.005%
Maximum	161.990%
Count	279

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.277%	142	50.90%	6.757%
负向	-11.048%	137	49.10%	-5.425%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	14.86%
12	1 Quarter	16.09%
52	1 Year	14.72%
156	3 Years	19.10%
260	5 Years	21.44%
520	10 Years	22.43%
1,040	20 Years	22.43%
2,600	50 Years	22.43%

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 4.40. Further, an Excess 峰度 of 35.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.29%	0	0.00%	0.00%
-29.29% to -15.70%	0	0.00%	0.00%
-15.70% to -2.12%	0	0.00%	0.00%
-2.12% to 11.47%	32	11.43%	11.43%
11.47% to 25.05%	149	53.21%	64.64%
25.05% to 38.64%	56	20.00%	84.64%
38.64% to 52.22%	26	9.29%	93.93%
52.22% to 65.81%	12	4.29%	98.21%
65.81% to 79.39%	3	1.07%	99.29%
Greater than 79.39%	2	0.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.94%	43.16%	88.21%	68.27%
±2σ	-11.18%	61.28%	97.86%	95.45%
±3σ	-29.29%	79.39%	99.29%	99.73%

Descriptive Statistics

均值	25.051%
Standard Error	1.082%
中位数	19.373%
Mode	18.118%
Standard Deviation	18.113%
Sample Variance	328.068%
峰度	35.44
偏度	4.40
Range	197.491%
Minimum	6.472%
Maximum	203.963%
Count	280

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.051%	280	100.00%	25.051%
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 0.05. Further, an Excess 峰度 of 1.02 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -45.18%	1	0.36%	0.36%
-45.18% to -33.70%	3	1.07%	1.43%
-33.70% to -22.21%	11	3.93%	5.36%
-22.21% to -10.72%	38	13.57%	18.93%
-10.72% to 0.76%	99	35.36%	54.29%
0.76% to 12.25%	72	25.71%	80.00%
12.25% to 23.74%	35	12.50%	92.50%
23.74% to 35.22%	15	5.36%	97.86%
35.22% to 46.71%	6	2.14%	100.00%
Greater than 46.71%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.55%	16.08%	72.50%	68.27%
±2σ	-29.87%	31.39%	94.29%	95.45%
±3σ	-45.18%	46.71%	99.64%	99.73%

Descriptive Statistics

均值	0.764%
Standard Error	0.915%
中位数	-0.019%
Mode	-62.231%
Standard Deviation	15.315%
Sample Variance	234.548%
峰度	1.02
偏度	0.05
Range	105.628%
Minimum	-62.231%
Maximum	43.397%
Count	280

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.333%	140	50.00%	6.166%
负向	-10.806%	140	50.00%	-5.403%
Zero	0.000%	0	0.00%	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 1.06. Further, an Excess 峰度 of 0.71 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -99.32%	0	0.00%	0.00%
-99.32% to -73.31%	0	0.00%	0.00%
-73.31% to -47.30%	1	1.56%	1.56%
-47.30% to -21.29%	14	21.88%	23.44%
-21.29% to 4.72%	25	39.06%	62.50%
4.72% to 30.73%	10	15.62%	78.12%
30.73% to 56.74%	9	14.06%	92.19%
56.74% to 82.75%	1	1.56%	93.75%
82.75% to 108.77%	4	6.25%	100.00%
Greater than 108.77%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-29.96%	39.40%	68.75%	68.27%
±2σ	-64.64%	74.08%	93.75%	95.45%
±3σ	-99.32%	108.76%	100.00%	99.73%

Descriptive Statistics

均值	4.722%
Standard Error	4.335%
中位数	-3.943%
Mode	-53.166%
Standard Deviation	34.681%
Sample Variance	1202.786%
峰度	0.71
偏度	1.06
Range	149.479%
Minimum	-53.166%
Maximum	96.313%
Count	64

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.135%	28	43.75%	15.372%
负向	-18.933%	36	56.25%	-10.650%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	34.51%
12	1 Year	31.16%
36	3 Years	44.02%
60	5 Years	46.55%
120	10 Years	49.75%
240	20 Years	49.75%
600	50 Years	49.75%

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 2.84. Further, an Excess 峰度 of 10.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -77.84%	0	0.00%	0.00%
-77.84% to -41.47%	0	0.00%	0.00%
-41.47% to -5.11%	0	0.00%	0.00%
-5.11% to 31.25%	10	15.38%	15.38%
31.25% to 67.62%	33	50.77%	66.15%
67.62% to 103.98%	14	21.54%	87.69%
103.98% to 140.35%	4	6.15%	93.85%
140.35% to 176.71%	2	3.08%	96.92%
176.71% to 213.08%	0	0.00%	96.92%
Greater than 213.08%	2	3.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	19.13%	116.10%	90.77%	68.27%
±2σ	-29.35%	164.59%	96.92%	95.45%
±3σ	-77.84%	213.08%	96.92%	99.73%

Descriptive Statistics

均值	67.619%
Standard Error	6.014%
中位数	56.447%
Mode	19.169%
Standard Deviation	48.486%
Sample Variance	2350.912%
峰度	10.29
偏度	2.84
Range	270.518%
Minimum	19.169%
Maximum	289.687%
Count	65

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	67.619%	65	100.00%	67.619%
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 0.50. Further, an Excess 峰度 of 0.51 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -90.65%	0	0.00%	0.00%
-90.65% to -66.86%	0	0.00%	0.00%
-66.86% to -43.07%	4	6.15%	6.15%
-43.07% to -19.29%	13	20.00%	26.15%
-19.29% to 4.50%	17	26.15%	52.31%
4.50% to 28.29%	18	27.69%	80.00%
28.29% to 52.08%	10	15.38%	95.38%
52.08% to 75.87%	2	3.08%	98.46%
75.87% to 99.66%	0	0.00%	98.46%
Greater than 99.66%	1	1.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.21%	36.22%	64.62%	68.27%
±2σ	-58.93%	67.94%	98.46%	95.45%
±3σ	-90.65%	99.66%	98.46%	99.73%

Descriptive Statistics

均值	4.503%
Standard Error	3.934%
中位数	4.339%
Mode	-49.192%
Standard Deviation	31.718%
Sample Variance	1006.007%
峰度	0.51
偏度	0.50
Range	157.958%
Minimum	-49.192%
Maximum	108.766%
Count	65

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.658%	35	53.85%	14.893%
负向	-22.512%	30	46.15%	-10.390%
Zero	0.000%	0	0.00%	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 2.64. Further, an Excess 峰度 of 8.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -285.38%	0	0.00%	0.00%
-285.38% to -208.39%	0	0.00%	0.00%
-208.39% to -131.41%	0	0.00%	0.00%
-131.41% to -54.43%	3	14.29%	14.29%
-54.43% to 22.55%	10	47.62%	61.90%
22.55% to 99.53%	6	28.57%	90.48%
99.53% to 176.51%	1	4.76%	95.24%
176.51% to 253.49%	0	0.00%	95.24%
253.49% to 330.47%	0	0.00%	95.24%
Greater than 330.47%	1	4.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-80.09%	125.19%	90.48%	68.27%
±2σ	-182.73%	227.83%	95.24%	95.45%
±3σ	-285.38%	330.47%	95.24%	99.73%

Descriptive Statistics

均值	22.548%
Standard Error	22.398%
中位数	-14.675%
Mode	-67.569%
Standard Deviation	102.641%
Sample Variance	10535.247%
峰度	8.52
偏度	2.64
Range	461.742%
Minimum	-67.569%
Maximum	394.173%
Count	21

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	98.177%	9	42.86%	42.076%
负向	-34.173%	12	57.14%	-19.527%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	56.21%
12	3 Years	105.12%
20	5 Years	102.89%
40	10 Years	107.30%
80	20 Years	107.30%
200	50 Years	107.30%

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 1.28. Further, an Excess 峰度 of 1.29 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -163.64%	0	0.00%	0.00%
-163.64% to -79.68%	0	0.00%	0.00%
-79.68% to 4.28%	0	0.00%	0.00%
4.28% to 88.24%	5	22.73%	22.73%
88.24% to 172.20%	8	36.36%	59.09%
172.20% to 256.16%	5	22.73%	81.82%
256.16% to 340.12%	2	9.09%	90.91%
340.12% to 424.08%	1	4.55%	95.45%
424.08% to 508.04%	1	4.55%	100.00%
Greater than 508.04%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	60.25%	284.15%	72.73%	68.27%
±2σ	-51.69%	396.09%	95.45%	95.45%
±3σ	-163.64%	508.04%	100.00%	99.73%

Descriptive Statistics

均值	172.200%
Standard Error	23.867%
中位数	131.907%
Mode	52.206%
Standard Deviation	111.946%
Sample Variance	12531.883%
峰度	1.29
偏度	1.28
Range	425.506%
Minimum	52.206%
Maximum	477.712%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	172.200%	22	100.00%	172.200%
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 1.25. Further, an Excess 峰度 of 1.00 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -218.21%	0	0.00%	0.00%
-218.21% to -158.34%	0	0.00%	0.00%
-158.34% to -98.47%	0	0.00%	0.00%
-98.47% to -38.60%	6	27.27%	27.27%
-38.60% to 21.26%	7	31.82%	59.09%
21.26% to 81.13%	6	27.27%	86.36%
81.13% to 141.00%	0	0.00%	86.36%
141.00% to 200.87%	3	13.64%	100.00%
200.87% to 260.74%	0	0.00%	100.00%
Greater than 260.74%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-58.56%	101.09%	77.27%	68.27%
±2σ	-138.38%	180.91%	90.91%	95.45%
±3σ	-218.21%	260.74%	100.00%	99.73%

Descriptive Statistics

均值	21.264%
Standard Error	17.019%
中位数	10.030%
Mode	-79.852%
Standard Deviation	79.824%
Sample Variance	6371.863%
峰度	1.00
偏度	1.25
Range	280.469%
Minimum	-79.852%
Maximum	200.617%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	72.382%	12	54.55%	39.481%
负向	-40.077%	10	45.45%	-18.217%
Zero	0.000%	0	0.00%	0.000%

UPST 深度分析报告