YELP 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	3.28%	2.64%	2.65%	2.99%	2.96%	3.44%	27.90	29.60	27.09	30.49
周度	6.85%	7.46%	6.99%	7.00%	6.52%	7.56%	26.93	30.68	25.23	32.74
月度	13.93%	16.95%	14.79%	14.99%	13.57%	15.74%	25.09	32.92	21.91	37.70
季度	23.19%	29.34%	19.48%	24.56%	23.51%	27.27%	22.72	36.36	17.96	45.99
Annual	—	—	—	—	47.01%	54.54%	17.96	45.99	11.22	73.59
Option Time Horizon	—	—	—	—	17.91%	20.78%	24.03	34.38	20.09	41.12

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $28.74 | Strike (K): $27.00 (first OTM call ≥ spot) | Observed Mid-价格: $3.0750 (Bid $2.8500 / Ask $3.3000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 47.01% (CRR binomial tree, American, n=20 steps) | BS IV: 47.24% (European Black-Scholes) | Yahoo IV (Annual): 54.54% → 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 Fairly Symmetrical with a 偏度 factor of 0.31. Further, an Excess 峰度 of 14.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.78%	29	0.82%	0.82%
-9.78% to -7.32%	21	0.59%	1.41%
-7.32% to -4.86%	83	2.33%	3.74%
-4.86% to -2.40%	349	9.81%	13.55%
-2.40% to 0.06%	1332	37.46%	51.01%
0.06% to 2.52%	1238	34.81%	85.83%
2.52% to 4.97%	371	10.43%	96.26%
4.97% to 7.43%	79	2.22%	98.48%
7.43% to 9.89%	22	0.62%	99.10%
Greater than 9.89%	32	0.90%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.22%	3.34%	82.34%	68.27%
±2σ	-6.50%	6.61%	95.92%	95.45%
±3σ	-9.78%	9.89%	98.28%	99.73%

Descriptive Statistics

均值	0.058%
Standard Error	0.055%
中位数	0.021%
Mode	0.000%
Standard Deviation	3.278%
Sample Variance	10.743%
峰度	14.87
偏度	0.31
Range	54.268%
Minimum	-26.598%
Maximum	27.670%
Count	3556

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.127%	1779	50.03%	1.064%
负向	-2.041%	1752	49.27%	-1.006%
Zero	0.000%	25	0.70%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.33%
20	1 Month	2.94%
60	1 Quarter	3.71%
250	1 Year	2.84%
750	3 Years	2.69%
1,250	5 Years	2.99%
2,500	10 Years	3.44%
5,000	20 Years	4.01%
12,500	50 Years	4.01%

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 3.20. Further, an Excess 峰度 of 17.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.07%	0	0.00%	0.00%
-4.07% to -2.09%	0	0.00%	0.00%
-2.09% to -0.11%	0	0.00%	0.00%
-0.11% to 1.87%	522	14.68%	14.68%
1.87% to 3.85%	1753	49.28%	63.96%
3.85% to 5.83%	770	21.65%	85.61%
5.83% to 7.81%	286	8.04%	93.65%
7.81% to 9.79%	109	3.06%	96.71%
9.79% to 11.77%	55	1.55%	98.26%
Greater than 11.77%	62	1.74%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.21%	6.49%	87.77%	68.27%
±2σ	-1.43%	9.13%	96.20%	95.45%
±3σ	-4.07%	11.77%	98.26%	99.73%

Descriptive Statistics

均值	3.850%
Standard Error	0.044%
中位数	3.157%
Mode	1.601%
Standard Deviation	2.640%
Sample Variance	6.970%
峰度	17.93
偏度	3.20
Range	30.704%
Minimum	0.638%
Maximum	31.342%
Count	3557

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.850%	3557	100.00%	3.850%
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 0.42. Further, an Excess 峰度 of 7.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.92%	21	0.59%	0.59%
-7.92% to -5.93%	33	0.93%	1.52%
-5.93% to -3.95%	117	3.29%	4.81%
-3.95% to -1.96%	415	11.67%	16.47%
-1.96% to 0.03%	1220	34.30%	50.77%
0.03% to 2.01%	1166	32.78%	83.55%
2.01% to 4.00%	409	11.50%	95.05%
4.00% to 5.99%	99	2.78%	97.84%
5.99% to 7.97%	47	1.32%	99.16%
Greater than 7.97%	30	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.62%	2.67%	78.63%	68.27%
±2σ	-5.27%	5.32%	94.94%	95.45%
±3σ	-7.92%	7.97%	98.57%	99.73%

Descriptive Statistics

均值	0.026%
Standard Error	0.044%
中位数	-0.026%
Mode	0.000%
Standard Deviation	2.649%
Sample Variance	7.015%
峰度	7.49
偏度	0.42
Range	41.662%
Minimum	-21.726%
Maximum	19.936%
Count	3557

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.879%	1754	49.31%	0.927%
负向	-1.797%	1783	50.13%	-0.901%
Zero	0.000%	20	0.56%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.34. Further, an Excess 峰度 of 4.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.26%	8	1.08%	1.08%
-20.26% to -15.13%	8	1.08%	2.17%
-15.13% to -9.99%	27	3.66%	5.83%
-9.99% to -4.86%	70	9.49%	15.31%
-4.86% to 0.28%	257	34.82%	50.14%
0.28% to 5.41%	253	34.28%	84.42%
5.41% to 10.54%	80	10.84%	95.26%
10.54% to 15.68%	21	2.85%	98.10%
15.68% to 20.81%	3	0.41%	98.51%
Greater than 20.81%	11	1.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.57%	7.12%	80.22%	68.27%
±2σ	-13.42%	13.97%	94.44%	95.45%
±3σ	-20.26%	20.81%	97.43%	99.73%

Descriptive Statistics

均值	0.276%
Standard Error	0.252%
中位数	0.242%
Mode	-2.554%
Standard Deviation	6.846%
Sample Variance	46.873%
峰度	4.91
偏度	0.34
Range	76.714%
Minimum	-33.030%
Maximum	43.684%
Count	738

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.711%	390	52.85%	2.490%
负向	-4.693%	348	47.15%	-2.213%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	6.68%
12	1 Quarter	9.68%
52	1 Year	6.93%
156	3 Years	6.47%
260	5 Years	7.00%
520	10 Years	8.13%
1,040	20 Years	9.42%
2,600	50 Years	9.42%

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 2.62. Further, an Excess 峰度 of 9.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.30%	0	0.00%	0.00%
-12.30% to -6.71%	0	0.00%	0.00%
-6.71% to -1.12%	0	0.00%	0.00%
-1.12% to 4.48%	95	12.86%	12.86%
4.48% to 10.07%	392	53.04%	65.90%
10.07% to 15.66%	152	20.57%	86.47%
15.66% to 21.25%	43	5.82%	92.29%
21.25% to 26.84%	23	3.11%	95.40%
26.84% to 32.44%	14	1.89%	97.29%
Greater than 32.44%	20	2.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.61%	17.52%	88.90%	68.27%
±2σ	-4.84%	24.98%	95.26%	95.45%
±3σ	-12.30%	32.44%	97.29%	99.73%

Descriptive Statistics

均值	10.068%
Standard Error	0.274%
中位数	7.956%
Mode	6.085%
Standard Deviation	7.456%
Sample Variance	55.590%
峰度	9.10
偏度	2.62
Range	57.134%
Minimum	2.236%
Maximum	59.370%
Count	739

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.068%	739	100.00%	10.068%
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 1.22. Further, an Excess 峰度 of 7.78 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.72%	3	0.41%	0.41%
-20.72% to -15.47%	8	1.08%	1.49%
-15.47% to -10.23%	17	2.30%	3.79%
-10.23% to -4.98%	89	12.04%	15.83%
-4.98% to 0.26%	285	38.57%	54.40%
0.26% to 5.51%	240	32.48%	86.87%
5.51% to 10.75%	55	7.44%	94.32%
10.75% to 16.00%	21	2.84%	97.16%
16.00% to 21.25%	10	1.35%	98.51%
Greater than 21.25%	11	1.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.73%	7.26%	80.11%	68.27%
±2σ	-13.72%	14.25%	94.45%	95.45%
±3σ	-20.72%	21.25%	98.11%	99.73%

Descriptive Statistics

均值	0.263%
Standard Error	0.257%
中位数	-0.126%
Mode	-4.102%
Standard Deviation	6.994%
Sample Variance	48.912%
峰度	7.78
偏度	1.22
Range	83.977%
Minimum	-29.282%
Maximum	54.695%
Count	739

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.169%	355	48.04%	2.483%
负向	-4.294%	382	51.69%	-2.220%
Zero	0.000%	2	0.27%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.40. Further, an Excess 峰度 of 2.25 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.78%	1	0.59%	0.59%
-40.78% to -30.33%	1	0.59%	1.18%
-30.33% to -19.89%	8	4.73%	5.92%
-19.89% to -9.45%	24	14.20%	20.12%
-9.45% to 1.00%	54	31.95%	52.07%
1.00% to 11.44%	49	28.99%	81.07%
11.44% to 21.89%	19	11.24%	92.31%
21.89% to 32.33%	10	5.92%	98.22%
32.33% to 42.77%	2	1.18%	99.41%
Greater than 42.77%	1	0.59%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.93%	14.92%	74.56%	68.27%
±2σ	-26.85%	28.85%	95.27%	95.45%
±3σ	-40.78%	42.77%	98.82%	99.73%

Descriptive Statistics

均值	0.998%
Standard Error	1.071%
中位数	0.467%
Mode	-42.341%
Standard Deviation	13.925%
Sample Variance	193.916%
峰度	2.25
偏度	0.40
Range	104.720%
Minimum	-42.341%
Maximum	62.379%
Count	169

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.954%	87	51.48%	5.639%
负向	-9.564%	82	48.52%	-4.641%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	22.16%
12	1 Year	15.21%
36	3 Years	14.21%
60	5 Years	14.99%
120	10 Years	17.74%
240	20 Years	20.43%
600	50 Years	20.43%

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 3.25. Further, an Excess 峰度 of 18.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.00%	0	0.00%	0.00%
-27.00% to -14.29%	0	0.00%	0.00%
-14.29% to -1.57%	0	0.00%	0.00%
-1.57% to 11.15%	24	14.12%	14.12%
11.15% to 23.86%	82	48.24%	62.35%
23.86% to 36.58%	38	22.35%	84.71%
36.58% to 49.30%	14	8.24%	92.94%
49.30% to 62.01%	6	3.53%	96.47%
62.01% to 74.73%	3	1.76%	98.24%
Greater than 74.73%	3	1.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.91%	40.82%	88.82%	68.27%
±2σ	-10.05%	57.77%	96.47%	95.45%
±3σ	-27.00%	74.73%	98.24%	99.73%

Descriptive Statistics

均值	23.863%
Standard Error	1.300%
中位数	18.907%
Mode	13.912%
Standard Deviation	16.955%
Sample Variance	287.479%
峰度	18.17
偏度	3.25
Range	144.831%
Minimum	4.665%
Maximum	149.496%
Count	170

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.863%	170	100.00%	23.863%
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 4.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.40%	0	0.00%	0.00%
-43.40% to -32.30%	1	0.59%	0.59%
-32.30% to -21.21%	5	2.94%	3.53%
-21.21% to -10.11%	25	14.71%	18.24%
-10.11% to 0.99%	65	38.24%	56.47%
0.99% to 12.08%	47	27.65%	84.12%
12.08% to 23.18%	15	8.82%	92.94%
23.18% to 34.28%	8	4.71%	97.65%
34.28% to 45.37%	2	1.18%	98.82%
Greater than 45.37%	2	1.18%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.81%	15.78%	77.65%	68.27%
±2σ	-28.60%	30.58%	96.47%	95.45%
±3σ	-43.40%	45.37%	98.82%	99.73%

Descriptive Statistics

均值	0.987%
Standard Error	1.135%
中位数	-0.693%
Mode	-38.103%
Standard Deviation	14.795%
Sample Variance	218.906%
峰度	4.75
偏度	1.30
Range	112.424%
Minimum	-38.103%
Maximum	74.321%
Count	170

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.418%	78	45.88%	5.698%
负向	-8.703%	92	54.12%	-4.710%
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 1.22. Further, an Excess 峰度 of 1.09 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -66.87%	0	0.00%	0.00%
-66.87% to -49.48%	0	0.00%	0.00%
-49.48% to -32.09%	1	1.79%	1.79%
-32.09% to -14.70%	10	17.86%	19.64%
-14.70% to 2.69%	25	44.64%	64.29%
2.69% to 20.08%	9	16.07%	80.36%
20.08% to 37.47%	5	8.93%	89.29%
37.47% to 54.86%	3	5.36%	94.64%
54.86% to 72.25%	3	5.36%	100.00%
Greater than 72.25%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.50%	25.88%	78.57%	68.27%
±2σ	-43.69%	49.07%	91.07%	95.45%
±3σ	-66.87%	72.25%	100.00%	99.73%

Descriptive Statistics

均值	2.690%
Standard Error	3.099%
中位数	-5.290%
Mode	-32.978%
Standard Deviation	23.188%
Sample Variance	537.691%
峰度	1.09
偏度	1.22
Range	98.662%
Minimum	-32.978%
Maximum	65.684%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.954%	23	41.07%	9.838%
负向	-12.131%	33	58.93%	-7.149%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	23.93%
12	3 Years	24.31%
20	5 Years	24.56%
40	10 Years	30.91%
80	20 Years	36.04%
200	50 Years	36.04%

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 2.38. Further, an Excess 峰度 of 8.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.37%	0	0.00%	0.00%
-42.37% to -20.37%	0	0.00%	0.00%
-20.37% to 1.63%	0	0.00%	0.00%
1.63% to 23.63%	10	17.54%	17.54%
23.63% to 45.63%	23	40.35%	57.89%
45.63% to 67.63%	14	24.56%	82.46%
67.63% to 89.63%	6	10.53%	92.98%
89.63% to 111.64%	2	3.51%	96.49%
111.64% to 133.64%	1	1.75%	98.25%
Greater than 133.64%	1	1.75%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.30%	74.97%	87.72%	68.27%
±2σ	-13.04%	104.30%	96.49%	95.45%
±3σ	-42.37%	133.64%	98.25%	99.73%

Descriptive Statistics

均值	45.631%
Standard Error	3.886%
中位数	35.818%
Mode	12.807%
Standard Deviation	29.335%
Sample Variance	860.537%
峰度	8.54
偏度	2.38
Range	173.151%
Minimum	12.807%
Maximum	185.958%
Count	57

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	45.631%	57	100.00%	45.631%
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 -0.09. Further, an Excess 峰度 of 0.09 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -56.35%	0	0.00%	0.00%
-56.35% to -41.74%	0	0.00%	0.00%
-41.74% to -27.13%	5	8.77%	8.77%
-27.13% to -12.52%	9	15.79%	24.56%
-12.52% to 2.09%	11	19.30%	43.86%
2.09% to 16.69%	21	36.84%	80.70%
16.69% to 31.30%	7	12.28%	92.98%
31.30% to 45.91%	2	3.51%	96.49%
45.91% to 60.52%	2	3.51%	100.00%
Greater than 60.52%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.39%	21.56%	73.68%	68.27%
±2σ	-36.87%	41.04%	92.98%	95.45%
±3σ	-56.35%	60.52%	100.00%	99.73%

Descriptive Statistics

均值	2.086%
Standard Error	2.580%
中位数	5.428%
Mode	-39.337%
Standard Deviation	19.478%
Sample Variance	379.389%
峰度	0.09
偏度	-0.09
Range	88.239%
Minimum	-39.337%
Maximum	48.902%
Count	57

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.724%	34	59.65%	8.783%
负向	-16.597%	23	40.35%	-6.697%
Zero	0.000%	0	0.00%	0.000%

YELP 深度分析报告