YETI 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	3.35%	2.46%	2.84%	4.04%	3.05%	3.41%	38.76	41.20	37.59	42.48
周度	7.09%	6.16%	6.84%	9.47%	6.72%	7.52%	37.36	42.74	34.93	45.71
月度	15.23%	14.46%	15.47%	19.56%	13.99%	15.65%	34.74	45.96	30.21	52.86
季度	31.07%	31.09%	24.87%	35.41%	24.23%	27.10%	31.36	50.92	24.61	64.87
Annual	—	—	—	—	48.46%	54.20%	24.61	64.87	15.16	105.32
Option Time Horizon	—	—	—	—	18.46%	20.65%	33.22	48.06	27.62	57.81

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $39.96 | Strike (K): $42.50 (first OTM call ≥ spot) | Observed Mid-价格: $2.0250 (Bid $1.7500 / Ask $2.3000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 48.46% (CRR binomial tree, American, n=20 steps) | BS IV: 48.76% (European Black-Scholes) | Yahoo IV (Annual): 54.20% → 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 Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.62. Further, an Excess 峰度 of 7.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.96%	11	0.58%	0.58%
-9.96% to -7.45%	15	0.80%	1.38%
-7.45% to -4.93%	76	4.04%	5.42%
-4.93% to -2.42%	248	13.18%	18.60%
-2.42% to 0.10%	576	30.61%	49.20%
0.10% to 2.62%	633	33.63%	82.84%
2.62% to 5.13%	230	12.22%	95.06%
5.13% to 7.65%	69	3.67%	98.72%
7.65% to 10.17%	9	0.48%	99.20%
Greater than 10.17%	15	0.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.25%	3.46%	76.99%	68.27%
±2σ	-6.61%	6.81%	95.91%	95.45%
±3σ	-9.96%	10.17%	98.62%	99.73%

Descriptive Statistics

均值	0.101%
Standard Error	0.077%
中位数	0.142%
Mode	0.000%
Standard Deviation	3.355%
Sample Variance	11.256%
峰度	7.88
偏度	0.62
Range	50.339%
Minimum	-18.764%
Maximum	31.575%
Count	1882

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.366%	985	52.34%	1.238%
负向	-2.410%	888	47.18%	-1.137%
Zero	0.000%	9	0.48%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.55%
20	1 Month	4.16%
60	1 Quarter	4.30%
250	1 Year	3.80%
750	3 Years	3.74%
1,250	5 Years	4.04%
2,500	10 Years	4.55%
5,000	20 Years	4.55%
12,500	50 Years	4.55%

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 3.01. Further, an Excess 峰度 of 19.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.00%	0	0.00%	0.00%
-3.00% to -1.15%	0	0.00%	0.00%
-1.15% to 0.69%	0	0.00%	0.00%
0.69% to 2.54%	326	17.31%	17.31%
2.54% to 4.38%	854	45.35%	62.67%
4.38% to 6.23%	398	21.14%	83.80%
6.23% to 8.07%	180	9.56%	93.36%
8.07% to 9.91%	67	3.56%	96.92%
9.91% to 11.76%	29	1.54%	98.46%
Greater than 11.76%	29	1.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.92%	6.84%	83.59%	68.27%
±2σ	-0.54%	9.30%	96.44%	95.45%
±3σ	-3.00%	11.76%	98.46%	99.73%

Descriptive Statistics

均值	4.382%
Standard Error	0.057%
中位数	3.732%
Mode	2.429%
Standard Deviation	2.459%
Sample Variance	6.046%
峰度	19.25
偏度	3.01
Range	33.505%
Minimum	0.978%
Maximum	34.483%
Count	1883

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.382%	1883	100.00%	4.382%
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 0.45. Further, an Excess 峰度 of 5.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.47%	11	0.58%	0.58%
-8.47% to -6.35%	8	0.42%	1.01%
-6.35% to -4.22%	80	4.25%	5.26%
-4.22% to -2.09%	260	13.81%	19.07%
-2.09% to 0.03%	607	32.24%	51.30%
0.03% to 2.16%	561	29.79%	81.09%
2.16% to 4.29%	243	12.90%	94.00%
4.29% to 6.41%	82	4.35%	98.35%
6.41% to 8.54%	20	1.06%	99.42%
Greater than 8.54%	11	0.58%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.80%	2.87%	74.72%	68.27%
±2σ	-5.64%	5.71%	95.80%	95.45%
±3σ	-8.47%	8.54%	98.83%	99.73%

Descriptive Statistics

均值	0.033%
Standard Error	0.065%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.836%
Sample Variance	8.042%
峰度	5.54
偏度	0.45
Range	41.171%
Minimum	-15.395%
Maximum	25.776%
Count	1883

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.149%	928	49.28%	1.059%
负向	-2.059%	938	49.81%	-1.026%
Zero	0.000%	17	0.90%	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 0.66. Further, an Excess 峰度 of 3.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.79%	2	0.51%	0.51%
-20.79% to -15.47%	3	0.77%	1.28%
-15.47% to -10.15%	16	4.09%	5.37%
-10.15% to -4.83%	57	14.58%	19.95%
-4.83% to 0.49%	126	32.23%	52.17%
0.49% to 5.81%	120	30.69%	82.86%
5.81% to 11.13%	45	11.51%	94.37%
11.13% to 16.45%	16	4.09%	98.47%
16.45% to 21.77%	2	0.51%	98.98%
Greater than 21.77%	4	1.02%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.61%	7.58%	74.94%	68.27%
±2σ	-13.70%	14.68%	95.65%	95.45%
±3σ	-20.79%	21.77%	98.47%	99.73%

Descriptive Statistics

均值	0.489%
Standard Error	0.359%
中位数	0.278%
Mode	-5.539%
Standard Deviation	7.094%
Sample Variance	50.318%
峰度	3.74
偏度	0.66
Range	62.773%
Minimum	-22.391%
Maximum	40.382%
Count	391

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.508%	202	51.66%	2.846%
负向	-4.900%	188	48.08%	-2.356%
Zero	0.000%	1	0.26%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.06%
12	1 Quarter	9.64%
52	1 Year	8.81%
156	3 Years	8.73%
260	5 Years	9.47%
520	10 Years	10.62%
1,040	20 Years	10.62%
2,600	50 Years	10.62%

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 2.18. Further, an Excess 峰度 of 7.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.27%	0	0.00%	0.00%
-7.27% to -2.65%	0	0.00%	0.00%
-2.65% to 1.97%	0	0.00%	0.00%
1.97% to 6.59%	78	19.90%	19.90%
6.59% to 11.21%	167	42.60%	62.50%
11.21% to 15.82%	81	20.66%	83.16%
15.82% to 20.44%	38	9.69%	92.86%
20.44% to 25.06%	14	3.57%	96.43%
25.06% to 29.68%	6	1.53%	97.96%
Greater than 29.68%	8	2.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.05%	17.36%	80.87%	68.27%
±2σ	-1.11%	23.52%	95.15%	95.45%
±3σ	-7.27%	29.68%	97.96%	99.73%

Descriptive Statistics

均值	11.206%
Standard Error	0.311%
中位数	9.677%
Mode	6.152%
Standard Deviation	6.159%
Sample Variance	37.931%
峰度	7.44
偏度	2.18
Range	47.237%
Minimum	2.996%
Maximum	50.233%
Count	392

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.206%	392	100.00%	11.206%
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 0.45. Further, an Excess 峰度 of 2.93 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.35%	3	0.77%	0.77%
-20.35% to -15.22%	2	0.51%	1.28%
-15.22% to -10.09%	17	4.34%	5.61%
-10.09% to -4.97%	51	13.01%	18.62%
-4.97% to 0.16%	132	33.67%	52.30%
0.16% to 5.29%	119	30.36%	82.65%
5.29% to 10.42%	47	11.99%	94.64%
10.42% to 15.55%	11	2.81%	97.45%
15.55% to 20.68%	6	1.53%	98.98%
Greater than 20.68%	4	1.02%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.67%	7.00%	74.49%	68.27%
±2σ	-13.51%	13.84%	95.66%	95.45%
±3σ	-20.35%	20.68%	98.21%	99.73%

Descriptive Statistics

均值	0.163%
Standard Error	0.345%
中位数	-0.256%
Mode	-2.423%
Standard Deviation	6.838%
Sample Variance	46.753%
峰度	2.93
偏度	0.45
Range	60.182%
Minimum	-28.154%
Maximum	32.028%
Count	392

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.245%	191	48.72%	2.556%
负向	-4.667%	201	51.28%	-2.393%
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 0.25. Further, an Excess 峰度 of 0.38 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.53%	0	0.00%	0.00%
-43.53% to -32.11%	2	2.22%	2.22%
-32.11% to -20.69%	3	3.33%	5.56%
-20.69% to -9.27%	13	14.44%	20.00%
-9.27% to 2.16%	26	28.89%	48.89%
2.16% to 13.58%	24	26.67%	75.56%
13.58% to 25.00%	16	17.78%	93.33%
25.00% to 36.42%	3	3.33%	96.67%
36.42% to 47.84%	3	3.33%	100.00%
Greater than 47.84%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.07%	17.38%	71.11%	68.27%
±2σ	-28.30%	32.61%	93.33%	95.45%
±3σ	-43.53%	47.84%	100.00%	99.73%

Descriptive Statistics

均值	2.156%
Standard Error	1.605%
中位数	2.497%
Mode	-35.471%
Standard Deviation	15.228%
Sample Variance	231.882%
峰度	0.38
偏度	0.25
Range	76.916%
Minimum	-35.471%
Maximum	41.445%
Count	90

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.284%	48	53.33%	7.085%
负向	-10.562%	42	46.67%	-4.929%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	19.30%
12	1 Year	18.47%
36	3 Years	18.36%
60	5 Years	19.56%
120	10 Years	23.12%
240	20 Years	23.12%
600	50 Years	23.12%

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 2.51. Further, an Excess 峰度 of 9.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.95%	0	0.00%	0.00%
-16.95% to -6.11%	0	0.00%	0.00%
-6.11% to 4.74%	0	0.00%	0.00%
4.74% to 15.59%	15	16.48%	16.48%
15.59% to 26.44%	42	46.15%	62.64%
26.44% to 37.29%	17	18.68%	81.32%
37.29% to 48.13%	10	10.99%	92.31%
48.13% to 58.98%	5	5.49%	97.80%
58.98% to 69.83%	0	0.00%	97.80%
Greater than 69.83%	2	2.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.97%	40.90%	87.91%	68.27%
±2σ	-2.49%	55.37%	97.80%	95.45%
±3σ	-16.95%	69.83%	97.80%	99.73%

Descriptive Statistics

均值	26.439%
Standard Error	1.516%
中位数	22.154%
Mode	9.315%
Standard Deviation	14.464%
Sample Variance	209.209%
峰度	9.43
偏度	2.51
Range	94.023%
Minimum	9.315%
Maximum	103.338%
Count	91

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	26.439%	91	100.00%	26.439%
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 0.82. 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 -46.07%	0	0.00%	0.00%
-46.07% to -34.46%	0	0.00%	0.00%
-34.46% to -22.86%	4	4.40%	4.40%
-22.86% to -11.25%	17	18.68%	23.08%
-11.25% to 0.35%	28	30.77%	53.85%
0.35% to 11.95%	24	26.37%	80.22%
11.95% to 23.56%	13	14.29%	94.51%
23.56% to 35.16%	2	2.20%	96.70%
35.16% to 46.77%	1	1.10%	97.80%
Greater than 46.77%	2	2.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.12%	15.82%	71.43%	68.27%
±2σ	-30.59%	31.29%	95.60%	95.45%
±3σ	-46.07%	46.77%	97.80%	99.73%

Descriptive Statistics

均值	0.350%
Standard Error	1.622%
中位数	-1.278%
Mode	-33.140%
Standard Deviation	15.472%
Sample Variance	239.380%
峰度	1.84
偏度	0.82
Range	88.673%
Minimum	-33.140%
Maximum	55.533%
Count	91

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.060%	42	46.15%	6.028%
负向	-10.545%	49	53.85%	-5.678%
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 1.54. Further, an Excess 峰度 of 3.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -86.35%	0	0.00%	0.00%
-86.35% to -63.05%	0	0.00%	0.00%
-63.05% to -39.75%	0	0.00%	0.00%
-39.75% to -16.45%	6	20.00%	20.00%
-16.45% to 6.86%	13	43.33%	63.33%
6.86% to 30.16%	6	20.00%	83.33%
30.16% to 53.46%	3	10.00%	93.33%
53.46% to 76.76%	0	0.00%	93.33%
76.76% to 100.06%	1	3.33%	96.67%
Greater than 100.06%	1	3.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.21%	37.92%	80.00%	68.27%
±2σ	-55.28%	68.99%	93.33%	95.45%
±3σ	-86.35%	100.06%	96.67%	99.73%

Descriptive Statistics

均值	6.856%
Standard Error	5.672%
中位数	2.743%
Mode	-36.813%
Standard Deviation	31.068%
Sample Variance	965.216%
峰度	3.46
偏度	1.54
Range	146.572%
Minimum	-36.813%
Maximum	109.759%
Count	30

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.776%	17	56.67%	14.040%
负向	-16.578%	13	43.33%	-7.184%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	38.40%
12	3 Years	33.78%
20	5 Years	35.41%
40	10 Years	42.35%
80	20 Years	42.35%
200	50 Years	42.35%

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 1.67. Further, an Excess 峰度 of 2.80 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.48%	0	0.00%	0.00%
-40.48% to -17.16%	0	0.00%	0.00%
-17.16% to 6.15%	0	0.00%	0.00%
6.15% to 29.47%	6	19.35%	19.35%
29.47% to 52.78%	15	48.39%	67.74%
52.78% to 76.10%	5	16.13%	83.87%
76.10% to 99.41%	3	9.68%	93.55%
99.41% to 122.72%	0	0.00%	93.55%
122.72% to 146.04%	1	3.23%	96.77%
Greater than 146.04%	1	3.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	21.70%	83.87%	83.87%	68.27%
±2σ	-9.39%	114.95%	93.55%	95.45%
±3σ	-40.48%	146.04%	96.77%	99.73%

Descriptive Statistics

均值	52.781%
Standard Error	5.583%
中位数	43.532%
Mode	19.357%
Standard Deviation	31.086%
Sample Variance	966.325%
峰度	2.80
偏度	1.67
Range	133.326%
Minimum	19.357%
Maximum	152.683%
Count	31

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	52.781%	31	100.00%	52.781%
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 0.27. Further, an Excess 峰度 of 0.41 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -74.27%	0	0.00%	0.00%
-74.27% to -55.62%	0	0.00%	0.00%
-55.62% to -36.97%	2	6.45%	6.45%
-36.97% to -18.32%	5	16.13%	22.58%
-18.32% to 0.33%	11	35.48%	58.06%
0.33% to 18.98%	7	22.58%	80.65%
18.98% to 37.63%	4	12.90%	93.55%
37.63% to 56.28%	1	3.23%	96.77%
56.28% to 74.93%	1	3.23%	100.00%
Greater than 74.93%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.54%	25.20%	70.97%	68.27%
±2σ	-49.40%	50.06%	90.32%	95.45%
±3σ	-74.27%	74.93%	100.00%	99.73%

Descriptive Statistics

均值	0.331%
Standard Error	4.466%
中位数	-0.917%
Mode	-52.354%
Standard Deviation	24.866%
Sample Variance	618.323%
峰度	0.41
偏度	0.27
Range	110.552%
Minimum	-52.354%
Maximum	58.198%
Count	31

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.277%	13	41.94%	9.342%
负向	-15.519%	18	58.06%	-9.011%
Zero	0.000%	0	0.00%	0.000%

YETI 深度分析报告