UPWK 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	4.08%	3.12%	3.45%	5.10%	4.82%	4.86%	10.13	11.15	9.65	11.70
周度	8.68%	8.35%	8.31%	12.14%	10.60%	10.70%	9.56	11.82	8.60	13.14
月度	18.39%	15.98%	17.06%	26.31%	22.07%	22.27%	8.52	13.25	6.84	16.53
季度	34.52%	27.10%	31.46%	48.57%	38.22%	38.57%	7.25	15.58	4.95	22.83
Annual	—	—	—	—	76.45%	77.15%	4.95	22.83	2.30	49.04
Option Time Horizon	—	—	—	—	29.13%	29.40%	7.94	14.22	5.94	19.04

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $10.63 | Strike (K): $12.50 (first OTM call ≥ spot) | Observed Mid-价格: $0.6250 (Bid $0.5500 / Ask $0.7000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 76.45% (CRR binomial tree, American, n=20 steps) | BS IV: 76.74% (European Black-Scholes) | Yahoo IV (Annual): 77.15% → 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 1.47. Further, an Excess 峰度 of 16.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.18%	12	0.63%	0.63%
-12.18% to -9.13%	12	0.63%	1.26%
-9.13% to -6.07%	54	2.85%	4.11%
-6.07% to -3.01%	235	12.38%	16.49%
-3.01% to 0.04%	673	35.46%	51.95%
0.04% to 3.10%	589	31.03%	82.98%
3.10% to 6.16%	225	11.85%	94.84%
6.16% to 9.21%	63	3.32%	98.16%
9.21% to 12.27%	20	1.05%	99.21%
Greater than 12.27%	15	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.03%	4.12%	79.24%	68.27%
±2σ	-8.11%	8.20%	95.68%	95.45%
±3σ	-12.18%	12.27%	98.58%	99.73%

Descriptive Statistics

均值	0.044%
Standard Error	0.094%
中位数	-0.100%
Mode	0.000%
Standard Deviation	4.076%
Sample Variance	16.616%
峰度	16.62
偏度	1.47
Range	63.286%
Minimum	-19.053%
Maximum	44.233%
Count	1898

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.931%	913	48.10%	1.410%
负向	-2.675%	969	51.05%	-1.366%
Zero	0.000%	16	0.84%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.04%
20	1 Month	4.96%
60	1 Quarter	5.78%
250	1 Year	4.64%
750	3 Years	4.57%
1,250	5 Years	5.10%
2,500	10 Years	5.30%
5,000	20 Years	5.30%
12,500	50 Years	5.30%

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 2.78. Further, an Excess 峰度 of 13.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.18%	0	0.00%	0.00%
-4.18% to -1.84%	0	0.00%	0.00%
-1.84% to 0.51%	0	0.00%	0.00%
0.51% to 2.85%	324	17.06%	17.06%
2.85% to 5.19%	872	45.92%	62.98%
5.19% to 7.54%	422	22.22%	85.20%
7.54% to 9.88%	146	7.69%	92.89%
9.88% to 12.22%	72	3.79%	96.68%
12.22% to 14.56%	32	1.69%	98.37%
Greater than 14.56%	31	1.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.07%	8.32%	85.04%	68.27%
±2σ	-1.06%	11.44%	95.84%	95.45%
±3σ	-4.18%	14.56%	98.37%	99.73%

Descriptive Statistics

均值	5.193%
Standard Error	0.072%
中位数	4.447%
Mode	4.530%
Standard Deviation	3.124%
Sample Variance	9.757%
峰度	13.39
偏度	2.78
Range	31.815%
Minimum	1.126%
Maximum	32.941%
Count	1899

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.193%	1899	100.00%	5.193%
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 0.35. Further, an Excess 峰度 of 3.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.16%	12	0.63%	0.63%
-10.16% to -7.57%	20	1.05%	1.69%
-7.57% to -4.99%	75	3.95%	5.63%
-4.99% to -2.40%	228	12.01%	17.64%
-2.40% to 0.19%	616	32.44%	50.08%
0.19% to 2.77%	611	32.17%	82.25%
2.77% to 5.36%	224	11.80%	94.05%
5.36% to 7.95%	73	3.84%	97.89%
7.95% to 10.54%	24	1.26%	99.16%
Greater than 10.54%	16	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.26%	3.64%	75.51%	68.27%
±2σ	-6.71%	7.09%	94.94%	95.45%
±3σ	-10.16%	10.54%	98.53%	99.73%

Descriptive Statistics

均值	0.188%
Standard Error	0.079%
中位数	0.186%
Mode	0.000%
Standard Deviation	3.449%
Sample Variance	11.893%
峰度	3.70
偏度	0.35
Range	41.276%
Minimum	-17.647%
Maximum	23.629%
Count	1899

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.573%	990	52.13%	1.341%
负向	-2.480%	883	46.50%	-1.153%
Zero	0.000%	26	1.37%	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 0.81. Further, an Excess 峰度 of 3.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.84%	1	0.25%	0.25%
-25.84% to -19.33%	4	1.02%	1.27%
-19.33% to -12.82%	11	2.79%	4.06%
-12.82% to -6.31%	57	14.47%	18.53%
-6.31% to 0.20%	141	35.79%	54.31%
0.20% to 6.71%	106	26.90%	81.22%
6.71% to 13.22%	48	12.18%	93.40%
13.22% to 19.73%	17	4.31%	97.72%
19.73% to 26.24%	6	1.52%	99.24%
Greater than 26.24%	3	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.48%	8.88%	77.92%	68.27%
±2σ	-17.16%	17.56%	93.91%	95.45%
±3σ	-25.84%	26.24%	98.98%	99.73%

Descriptive Statistics

均值	0.204%
Standard Error	0.437%
中位数	-0.417%
Mode	0.000%
Standard Deviation	8.680%
Sample Variance	75.343%
峰度	3.81
偏度	0.81
Range	78.104%
Minimum	-29.590%
Maximum	48.514%
Count	394

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.760%	188	47.72%	3.226%
负向	-5.836%	204	51.78%	-3.022%
Zero	0.000%	2	0.51%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	10.28%
12	1 Quarter	14.01%
52	1 Year	11.09%
156	3 Years	11.03%
260	5 Years	12.14%
520	10 Years	12.58%
1,040	20 Years	12.58%
2,600	50 Years	12.58%

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 2.30. Further, an Excess 峰度 of 8.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.54%	0	0.00%	0.00%
-11.54% to -5.28%	0	0.00%	0.00%
-5.28% to 0.98%	0	0.00%	0.00%
0.98% to 7.24%	75	18.99%	18.99%
7.24% to 13.50%	170	43.04%	62.03%
13.50% to 19.76%	90	22.78%	84.81%
19.76% to 26.02%	31	7.85%	92.66%
26.02% to 32.28%	15	3.80%	96.46%
32.28% to 38.54%	7	1.77%	98.23%
Greater than 38.54%	7	1.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.16%	21.85%	84.56%	68.27%
±2σ	-3.19%	30.20%	94.18%	95.45%
±3σ	-11.54%	38.54%	98.23%	99.73%

Descriptive Statistics

均值	13.503%
Standard Error	0.420%
中位数	11.331%
Mode	8.389%
Standard Deviation	8.346%
Sample Variance	69.664%
峰度	8.28
偏度	2.30
Range	62.611%
Minimum	2.897%
Maximum	65.508%
Count	395

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.503%	395	100.00%	13.503%
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 0.14. Further, an Excess 峰度 of 1.84 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.20%	2	0.51%	0.51%
-24.20% to -17.96%	2	0.51%	1.01%
-17.96% to -11.73%	20	5.06%	6.08%
-11.73% to -5.50%	52	13.16%	19.24%
-5.50% to 0.73%	124	31.39%	50.63%
0.73% to 6.96%	123	31.14%	81.77%
6.96% to 13.19%	48	12.15%	93.92%
13.19% to 19.42%	15	3.80%	97.72%
19.42% to 25.65%	7	1.77%	99.49%
Greater than 25.65%	2	0.51%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.58%	9.03%	74.18%	68.27%
±2σ	-15.89%	17.34%	95.19%	95.45%
±3σ	-24.20%	25.65%	98.99%	99.73%

Descriptive Statistics

均值	0.726%
Standard Error	0.418%
中位数	0.595%
Mode	0.000%
Standard Deviation	8.307%
Sample Variance	69.010%
峰度	1.84
偏度	0.14
Range	66.246%
Minimum	-32.773%
Maximum	33.473%
Count	395

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.449%	211	53.42%	3.445%
负向	-5.966%	180	45.57%	-2.719%
Zero	0.000%	4	1.01%	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 1.19. Further, an Excess 峰度 of 2.52 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.30%	0	0.00%	0.00%
-54.30% to -40.51%	0	0.00%	0.00%
-40.51% to -26.72%	1	1.11%	1.11%
-26.72% to -12.93%	20	22.22%	23.33%
-12.93% to 0.86%	30	33.33%	56.67%
0.86% to 14.65%	22	24.44%	81.11%
14.65% to 28.44%	9	10.00%	91.11%
28.44% to 42.23%	6	6.67%	97.78%
42.23% to 56.02%	1	1.11%	98.89%
Greater than 56.02%	1	1.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.53%	19.25%	70.00%	68.27%
±2σ	-35.91%	37.63%	96.67%	95.45%
±3σ	-54.30%	56.02%	98.89%	99.73%

Descriptive Statistics

均值	0.861%
Standard Error	1.938%
中位数	-2.880%
Mode	-33.001%
Standard Deviation	18.387%
Sample Variance	338.077%
峰度	2.52
偏度	1.19
Range	110.345%
Minimum	-33.001%
Maximum	77.344%
Count	90

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.743%	42	46.67%	7.347%
负向	-12.161%	48	53.33%	-6.486%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	27.60%
12	1 Year	25.41%
36	3 Years	24.75%
60	5 Years	26.31%
120	10 Years	27.98%
240	20 Years	27.98%
600	50 Years	27.98%

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 1.47. Further, an Excess 峰度 of 3.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.13%	0	0.00%	0.00%
-15.13% to -3.14%	0	0.00%	0.00%
-3.14% to 8.85%	1	1.10%	1.10%
8.85% to 20.83%	23	25.27%	26.37%
20.83% to 32.82%	24	26.37%	52.75%
32.82% to 44.81%	31	34.07%	86.81%
44.81% to 56.80%	4	4.40%	91.21%
56.80% to 68.79%	4	4.40%	95.60%
68.79% to 80.77%	3	3.30%	98.90%
Greater than 80.77%	1	1.10%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.84%	48.81%	78.02%	68.27%
±2σ	0.85%	64.79%	94.51%	95.45%
±3σ	-15.13%	80.77%	98.90%	99.73%

Descriptive Statistics

均值	32.822%
Standard Error	1.676%
中位数	30.624%
Mode	8.416%
Standard Deviation	15.984%
Sample Variance	255.496%
峰度	3.27
偏度	1.47
Range	91.584%
Minimum	8.416%
Maximum	100.000%
Count	91

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	32.822%	91	100.00%	32.822%
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 -0.11. Further, an Excess 峰度 of 0.05 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.62%	0	0.00%	0.00%
-48.62% to -35.83%	1	1.10%	1.10%
-35.83% to -23.04%	5	5.49%	6.59%
-23.04% to -10.25%	17	18.68%	25.27%
-10.25% to 2.55%	21	23.08%	48.35%
2.55% to 15.34%	28	30.77%	79.12%
15.34% to 28.13%	13	14.29%	93.41%
28.13% to 40.92%	5	5.49%	98.90%
40.92% to 53.72%	1	1.10%	100.00%
Greater than 53.72%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.51%	19.60%	69.23%	68.27%
±2σ	-31.57%	36.66%	96.70%	95.45%
±3σ	-48.62%	53.72%	100.00%	99.73%

Descriptive Statistics

均值	2.546%
Standard Error	1.788%
中位数	4.159%
Mode	-43.643%
Standard Deviation	17.057%
Sample Variance	290.942%
峰度	0.05
偏度	-0.11
Range	92.823%
Minimum	-43.643%
Maximum	49.180%
Count	91

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.804%	50	54.95%	8.134%
负向	-12.403%	41	45.05%	-5.588%
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 1.77. Further, an Excess 峰度 of 4.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -100.84%	0	0.00%	0.00%
-100.84% to -74.95%	0	0.00%	0.00%
-74.95% to -49.06%	0	0.00%	0.00%
-49.06% to -23.17%	5	16.67%	16.67%
-23.17% to 2.73%	12	40.00%	56.67%
2.73% to 28.62%	9	30.00%	86.67%
28.62% to 54.51%	2	6.67%	93.33%
54.51% to 80.40%	1	3.33%	96.67%
80.40% to 106.29%	0	0.00%	96.67%
Greater than 106.29%	1	3.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.80%	37.25%	83.33%	68.27%
±2σ	-66.32%	71.77%	93.33%	95.45%
±3σ	-100.84%	106.29%	96.67%	99.73%

Descriptive Statistics

均值	2.725%
Standard Error	6.303%
中位数	-1.725%
Mode	-46.930%
Standard Deviation	34.523%
Sample Variance	1191.835%
峰度	4.88
偏度	1.77
Range	171.591%
Minimum	-46.930%
Maximum	124.661%
Count	30

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.765%	15	50.00%	12.882%
负向	-20.315%	15	50.00%	-10.158%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	54.94%
12	3 Years	48.16%
20	5 Years	48.57%
40	10 Years	52.29%
80	20 Years	52.29%
200	50 Years	52.29%

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 1.28. Further, an Excess 峰度 of 2.03 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.48%	0	0.00%	0.00%
-14.48% to 5.84%	0	0.00%	0.00%
5.84% to 26.17%	0	0.00%	0.00%
26.17% to 46.49%	8	25.81%	25.81%
46.49% to 66.81%	10	32.26%	58.06%
66.81% to 87.13%	8	25.81%	83.87%
87.13% to 107.45%	2	6.45%	90.32%
107.45% to 127.78%	2	6.45%	96.77%
127.78% to 148.10%	0	0.00%	96.77%
Greater than 148.10%	1	3.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	39.71%	93.91%	74.19%	68.27%
±2σ	12.62%	121.00%	93.55%	95.45%
±3σ	-14.48%	148.10%	96.77%	99.73%

Descriptive Statistics

均值	66.810%
Standard Error	4.867%
中位数	62.720%
Mode	31.683%
Standard Deviation	27.096%
Sample Variance	734.168%
峰度	2.03
偏度	1.28
Range	119.272%
Minimum	31.683%
Maximum	150.955%
Count	31

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	66.810%	31	100.00%	66.810%
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 0.67. Further, an Excess 峰度 of 1.08 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -87.27%	0	0.00%	0.00%
-87.27% to -63.67%	0	0.00%	0.00%
-63.67% to -40.07%	2	6.45%	6.45%
-40.07% to -16.48%	4	12.90%	19.35%
-16.48% to 7.12%	9	29.03%	48.39%
7.12% to 30.72%	10	32.26%	80.65%
30.72% to 54.31%	3	9.68%	90.32%
54.31% to 77.91%	2	6.45%	96.77%
77.91% to 101.51%	1	3.23%	100.00%
Greater than 101.51%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.34%	38.58%	77.42%	68.27%
±2σ	-55.80%	70.05%	93.55%	95.45%
±3σ	-87.27%	101.51%	100.00%	99.73%

Descriptive Statistics

均值	7.121%
Standard Error	5.651%
中位数	7.253%
Mode	-55.513%
Standard Deviation	31.462%
Sample Variance	989.874%
峰度	1.08
偏度	0.67
Range	143.848%
Minimum	-55.513%
Maximum	88.335%
Count	31

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.597%	17	54.84%	15.134%
负向	-17.743%	14	45.16%	-8.013%
Zero	0.000%	0	0.00%	0.000%

UPWK 深度分析报告