VRTX 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	3.46%	2.95%	3.05%	2.37%	2.06%	2.23%	421.50	439.26	412.90	448.41
周度	7.62%	7.62%	7.47%	5.36%	4.54%	4.91%	411.19	450.28	392.93	471.20
月度	14.97%	17.44%	14.96%	11.37%	9.45%	10.23%	391.48	472.95	356.16	519.84
季度	24.45%	31.24%	22.28%	19.88%	16.37%	17.71%	365.30	506.84	310.13	597.01
Annual	—	—	—	—	32.75%	35.43%	310.13	597.01	223.52	828.34
Option Time Horizon	—	—	—	—	12.48%	13.50%	379.81	487.48	335.25	552.27

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $430.29 | Strike (K): $440.00 (first OTM call ≥ spot) | Observed Mid-价格: $18.3500 (Bid $17.6000 / Ask $19.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 32.75% (CRR binomial tree, American, n=20 steps) | BS IV: 33.12% (European Black-Scholes) | Yahoo IV (Annual): 35.43% → 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 1.54. Further, an Excess 峰度 of 26.84 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.28%	42	0.48%	0.48%
-10.28% to -7.68%	78	0.89%	1.37%
-7.68% to -5.08%	279	3.19%	4.57%
-5.08% to -2.49%	955	10.93%	15.49%
-2.49% to 0.11%	3311	37.89%	53.38%
0.11% to 2.71%	2783	31.85%	85.23%
2.71% to 5.30%	847	9.69%	94.92%
5.30% to 7.90%	277	3.17%	98.09%
7.90% to 10.50%	87	1.00%	99.08%
Greater than 10.50%	80	0.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.35%	3.57%	79.83%	68.27%
±2σ	-6.82%	7.04%	95.31%	95.45%
±3σ	-10.28%	10.50%	98.60%	99.73%

Descriptive Statistics

均值	0.111%
Standard Error	0.037%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.463%
Sample Variance	11.992%
峰度	26.84
偏度	1.54
Range	98.666%
Minimum	-36.759%
Maximum	61.907%
Count	8739

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.464%	4228	48.38%	1.192%
负向	-2.258%	4186	47.90%	-1.082%
Zero	0.000%	325	3.72%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	1.76%
20	1 Month	2.35%
60	1 Quarter	2.77%
250	1 Year	2.56%
750	3 Years	2.31%
1,250	5 Years	2.37%
2,500	10 Years	2.66%
5,000	20 Years	3.32%
12,500	50 Years	4.44%

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 2.13. Further, an Excess 峰度 of 7.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.46%	0	0.00%	0.00%
-4.46% to -2.25%	0	0.00%	0.00%
-2.25% to -0.03%	0	0.00%	0.00%
-0.03% to 2.18%	1797	20.56%	20.56%
2.18% to 4.40%	3654	41.81%	62.37%
4.40% to 6.61%	1786	20.43%	82.80%
6.61% to 8.83%	835	9.55%	92.36%
8.83% to 11.04%	345	3.95%	96.30%
11.04% to 13.26%	163	1.86%	98.17%
Greater than 13.26%	160	1.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.44%	7.35%	82.40%	68.27%
±2σ	-1.51%	10.31%	95.47%	95.45%
±3σ	-4.46%	13.26%	98.17%	99.73%

Descriptive Statistics

均值	4.398%
Standard Error	0.032%
中位数	3.555%
Mode	5.128%
Standard Deviation	2.954%
Sample Variance	8.728%
峰度	7.65
偏度	2.13
Range	32.459%
Minimum	0.605%
Maximum	33.064%
Count	8740

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.398%	8740	100.00%	4.398%
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 0.16. Further, an Excess 峰度 of 3.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.11%	58	0.66%	0.66%
-9.11% to -6.82%	114	1.30%	1.97%
-6.82% to -4.53%	335	3.83%	5.80%
-4.53% to -2.24%	976	11.17%	16.97%
-2.24% to 0.05%	3102	35.49%	52.46%
0.05% to 2.34%	2665	30.49%	82.95%
2.34% to 4.63%	961	11.00%	93.95%
4.63% to 6.92%	343	3.92%	97.87%
6.92% to 9.21%	116	1.33%	99.20%
Greater than 9.21%	70	0.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.00%	3.10%	76.42%	68.27%
±2σ	-6.05%	6.16%	94.05%	95.45%
±3σ	-9.11%	9.21%	98.54%	99.73%

Descriptive Statistics

均值	0.052%
Standard Error	0.033%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.053%
Sample Variance	9.319%
峰度	3.55
偏度	0.16
Range	40.043%
Minimum	-19.355%
Maximum	20.688%
Count	8740

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.275%	4219	48.27%	1.098%
负向	-2.175%	4203	48.09%	-1.046%
Zero	0.000%	318	3.64%	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 0.76. Further, an Excess 峰度 of 5.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.34%	10	0.55%	0.55%
-22.34% to -16.62%	19	1.05%	1.60%
-16.62% to -10.90%	55	3.03%	4.63%
-10.90% to -5.18%	210	11.58%	16.22%
-5.18% to 0.54%	676	37.29%	53.50%
0.54% to 6.25%	570	31.44%	84.94%
6.25% to 11.97%	163	8.99%	93.93%
11.97% to 17.69%	60	3.31%	97.24%
17.69% to 23.41%	27	1.49%	98.73%
Greater than 23.41%	23	1.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.09%	8.16%	80.09%	68.27%
±2σ	-14.71%	15.78%	94.21%	95.45%
±3σ	-22.34%	23.41%	98.18%	99.73%

Descriptive Statistics

均值	0.535%
Standard Error	0.179%
中位数	0.107%
Mode	0.000%
Standard Deviation	7.624%
Sample Variance	58.122%
峰度	5.95
偏度	0.76
Range	90.266%
Minimum	-37.972%
Maximum	52.294%
Count	1813

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.627%	918	50.63%	2.849%
负向	-4.879%	860	47.44%	-2.314%
Zero	0.000%	35	1.93%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	4.20%
12	1 Quarter	5.88%
52	1 Year	5.66%
156	3 Years	5.23%
260	5 Years	5.36%
520	10 Years	5.98%
1,040	20 Years	7.68%
2,600	50 Years	9.97%

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 2.61. Further, an Excess 峰度 of 11.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.31%	0	0.00%	0.00%
-12.31% to -6.60%	0	0.00%	0.00%
-6.60% to -0.88%	0	0.00%	0.00%
-0.88% to 4.84%	319	17.59%	17.59%
4.84% to 10.56%	841	46.36%	63.95%
10.56% to 16.28%	385	21.22%	85.17%
16.28% to 21.99%	133	7.33%	92.50%
21.99% to 27.71%	67	3.69%	96.20%
27.71% to 33.43%	38	2.09%	98.29%
Greater than 33.43%	31	1.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.93%	18.18%	85.50%	68.27%
±2σ	-4.69%	25.81%	95.15%	95.45%
±3σ	-12.31%	33.43%	98.29%	99.73%

Descriptive Statistics

均值	10.558%
Standard Error	0.179%
中位数	8.447%
Mode	10.000%
Standard Deviation	7.624%
Sample Variance	58.121%
峰度	11.75
偏度	2.61
Range	81.103%
Minimum	1.619%
Maximum	82.722%
Count	1814

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.558%	1814	100.00%	10.558%
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 1.07. Further, an Excess 峰度 of 8.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.34%	9	0.50%	0.50%
-22.34% to -16.74%	18	0.99%	1.49%
-16.74% to -11.13%	67	3.69%	5.18%
-11.13% to -5.53%	191	10.53%	15.71%
-5.53% to 0.08%	654	36.05%	51.76%
0.08% to 5.69%	600	33.08%	84.84%
5.69% to 11.29%	180	9.92%	94.76%
11.29% to 16.90%	56	3.09%	97.85%
16.90% to 22.50%	24	1.32%	99.17%
Greater than 22.50%	15	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.39%	7.55%	79.82%	68.27%
±2σ	-14.87%	15.03%	94.38%	95.45%
±3σ	-22.34%	22.50%	98.68%	99.73%

Descriptive Statistics

均值	0.080%
Standard Error	0.176%
中位数	0.000%
Mode	0.000%
Standard Deviation	7.475%
Sample Variance	55.877%
峰度	8.69
偏度	1.07
Range	96.331%
Minimum	-33.930%
Maximum	62.401%
Count	1814

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.292%	880	48.51%	2.567%
负向	-4.979%	906	49.95%	-2.487%
Zero	0.000%	28	1.54%	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 0.78. Further, an Excess 峰度 of 3.22 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.74%	1	0.24%	0.24%
-42.74% to -31.51%	3	0.72%	0.96%
-31.51% to -20.29%	18	4.32%	5.28%
-20.29% to -9.06%	52	12.47%	17.75%
-9.06% to 2.17%	144	34.53%	52.28%
2.17% to 13.39%	125	29.98%	82.25%
13.39% to 24.62%	46	11.03%	93.29%
24.62% to 35.84%	17	4.08%	97.36%
35.84% to 47.07%	7	1.68%	99.04%
Greater than 47.07%	4	0.96%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.80%	17.13%	74.10%	68.27%
±2σ	-27.77%	32.10%	95.92%	95.45%
±3σ	-42.74%	47.07%	98.80%	99.73%

Descriptive Statistics

均值	2.167%
Standard Error	0.733%
中位数	1.310%
Mode	6.667%
Standard Deviation	14.968%
Sample Variance	224.034%
峰度	3.22
偏度	0.78
Range	128.232%
Minimum	-51.098%
Maximum	77.134%
Count	417

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.966%	227	54.44%	6.514%
负向	-9.592%	189	45.32%	-4.347%
Zero	0.000%	1	0.24%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	10.83%
12	1 Year	11.57%
36	3 Years	11.15%
60	5 Years	11.37%
120	10 Years	12.68%
240	20 Years	16.17%
600	50 Years	21.32%

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 2.48. Further, an Excess 峰度 of 9.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.83%	0	0.00%	0.00%
-27.83% to -14.75%	0	0.00%	0.00%
-14.75% to -1.68%	0	0.00%	0.00%
-1.68% to 11.40%	68	16.27%	16.27%
11.40% to 24.48%	200	47.85%	64.11%
24.48% to 37.56%	92	22.01%	86.12%
37.56% to 50.63%	23	5.50%	91.63%
50.63% to 63.71%	19	4.55%	96.17%
63.71% to 76.79%	7	1.67%	97.85%
Greater than 76.79%	9	2.15%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.04%	41.92%	85.89%	68.27%
±2σ	-10.40%	59.35%	95.69%	95.45%
±3σ	-27.83%	76.79%	97.85%	99.73%

Descriptive Statistics

均值	24.479%
Standard Error	0.853%
中位数	19.535%
Mode	16.667%
Standard Deviation	17.437%
Sample Variance	304.035%
峰度	9.60
偏度	2.48
Range	146.254%
Minimum	2.778%
Maximum	149.032%
Count	418

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.479%	418	100.00%	24.479%
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 1.33. Further, an Excess 峰度 of 7.20 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -44.79%	0	0.00%	0.00%
-44.79% to -33.57%	3	0.72%	0.72%
-33.57% to -22.35%	14	3.35%	4.07%
-22.35% to -11.13%	58	13.88%	17.94%
-11.13% to 0.08%	155	37.08%	55.02%
0.08% to 11.30%	123	29.43%	84.45%
11.30% to 22.52%	36	8.61%	93.06%
22.52% to 33.74%	21	5.02%	98.09%
33.74% to 44.95%	4	0.96%	99.04%
Greater than 44.95%	4	0.96%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.87%	15.04%	75.12%	68.27%
±2σ	-29.83%	30.00%	95.69%	95.45%
±3σ	-44.79%	44.95%	99.04%	99.73%

Descriptive Statistics

均值	0.083%
Standard Error	0.732%
中位数	-1.357%
Mode	-3.125%
Standard Deviation	14.957%
Sample Variance	223.725%
峰度	7.20
偏度	1.33
Range	150.012%
Minimum	-43.804%
Maximum	106.208%
Count	418

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.855%	188	44.98%	5.332%
负向	-9.623%	228	54.55%	-5.249%
Zero	0.000%	2	0.48%	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 1.34 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -67.37%	0	0.00%	0.00%
-67.37% to -49.03%	0	0.00%	0.00%
-49.03% to -30.69%	6	4.32%	4.32%
-30.69% to -12.35%	23	16.55%	20.86%
-12.35% to 5.99%	47	33.81%	54.68%
5.99% to 24.32%	36	25.90%	80.58%
24.32% to 42.66%	17	12.23%	92.81%
42.66% to 61.00%	4	2.88%	95.68%
61.00% to 79.34%	4	2.88%	98.56%
Greater than 79.34%	2	1.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.47%	30.44%	74.10%	68.27%
±2σ	-42.92%	54.89%	94.96%	95.45%
±3σ	-67.37%	79.34%	98.56%	99.73%

Descriptive Statistics

均值	5.985%
Standard Error	2.074%
中位数	3.558%
Mode	-42.715%
Standard Deviation	24.452%
Sample Variance	597.891%
峰度	1.34
偏度	0.86
Range	132.855%
Minimum	-42.715%
Maximum	90.140%
Count	139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.271%	77	55.40%	12.337%
负向	-14.241%	62	44.60%	-6.352%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	19.99%
12	3 Years	19.32%
20	5 Years	19.88%
40	10 Years	22.41%
80	20 Years	28.36%
200	50 Years	38.47%

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 1.72. Further, an Excess 峰度 of 3.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -46.72%	0	0.00%	0.00%
-46.72% to -23.30%	0	0.00%	0.00%
-23.30% to 0.13%	0	0.00%	0.00%
0.13% to 23.56%	33	23.57%	23.57%
23.56% to 46.99%	57	40.71%	64.29%
46.99% to 70.41%	26	18.57%	82.86%
70.41% to 93.84%	13	9.29%	92.14%
93.84% to 117.27%	6	4.29%	96.43%
117.27% to 140.69%	2	1.43%	97.86%
Greater than 140.69%	3	2.14%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	15.75%	78.22%	79.29%	68.27%
±2σ	-15.49%	109.46%	95.00%	95.45%
±3σ	-46.72%	140.69%	97.86%	99.73%

Descriptive Statistics

均值	46.986%
Standard Error	2.640%
中位数	38.962%
Mode	13.567%
Standard Deviation	31.236%
Sample Variance	975.672%
峰度	3.59
偏度	1.72
Range	167.466%
Minimum	2.778%
Maximum	170.244%
Count	140

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	46.986%	140	100.00%	46.986%
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 0.87 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -67.33%	0	0.00%	0.00%
-67.33% to -50.62%	0	0.00%	0.00%
-50.62% to -33.91%	8	5.71%	5.71%
-33.91% to -17.20%	22	15.71%	21.43%
-17.20% to -0.48%	46	32.86%	54.29%
-0.48% to 16.23%	42	30.00%	84.29%
16.23% to 32.94%	11	7.86%	92.14%
32.94% to 49.65%	6	4.29%	96.43%
49.65% to 66.36%	4	2.86%	99.29%
Greater than 66.36%	1	0.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.77%	21.80%	73.57%	68.27%
±2σ	-45.05%	44.08%	94.29%	95.45%
±3σ	-67.33%	66.36%	99.29%	99.73%

Descriptive Statistics

均值	-0.485%
Standard Error	1.883%
中位数	-3.011%
Mode	-47.659%
Standard Deviation	22.282%
Sample Variance	496.488%
峰度	0.87
偏度	0.67
Range	121.414%
Minimum	-47.659%
Maximum	73.755%
Count	140

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.740%	62	44.29%	8.299%
负向	-15.766%	78	55.71%	-8.784%
Zero	0.000%	0	0.00%	0.000%

VRTX 深度分析报告