PANW 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	2.46%	1.76%	2.04%	3.30%	3.09%	3.17%	173.11	184.14	167.85	189.91
周度	5.47%	4.60%	5.34%	7.80%	6.79%	6.98%	166.81	191.09	155.85	204.53
月度	10.23%	8.21%	10.11%	16.82%	14.14%	14.52%	154.99	205.67	134.55	236.91
季度	17.49%	14.08%	15.22%	29.88%	24.50%	25.15%	139.75	228.10	109.38	291.42
Annual	—	—	—	—	49.00%	50.31%	109.38	291.42	67.01	475.67
Option Time Horizon	—	—	—	—	18.67%	19.17%	148.13	215.19	122.90	259.36

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $178.54 | Strike (K): $180.00 (first OTM call ≥ spot) | Observed Mid-价格: $13.0000 (Bid $12.9000 / Ask $13.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 49.00% (CRR binomial tree, American, n=20 steps) | BS IV: 48.81% (European Black-Scholes) | Yahoo IV (Annual): 50.31% → 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 Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.57. Further, an Excess 峰度 of 12.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.28%	23	0.66%	0.66%
-7.28% to -5.43%	35	1.01%	1.68%
-5.43% to -3.58%	116	3.35%	5.03%
-3.58% to -1.73%	376	10.87%	15.90%
-1.73% to 0.12%	1158	33.48%	49.38%
0.12% to 1.97%	1191	34.43%	83.81%
1.97% to 3.81%	396	11.45%	95.26%
3.81% to 5.66%	114	3.30%	98.55%
5.66% to 7.51%	28	0.81%	99.36%
Greater than 7.51%	22	0.64%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.35%	2.58%	78.84%	68.27%
±2σ	-4.81%	5.05%	95.43%	95.45%
±3σ	-7.28%	7.51%	98.70%	99.73%

Descriptive Statistics

均值	0.118%
Standard Error	0.042%
中位数	0.149%
Mode	0.000%
Standard Deviation	2.465%
Sample Variance	6.078%
峰度	12.89
偏度	-0.57
Range	47.042%
Minimum	-28.441%
Maximum	18.601%
Count	3459

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.693%	1845	53.34%	0.903%
负向	-1.689%	1608	46.49%	-0.785%
Zero	0.000%	6	0.17%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.35%
20	1 Month	4.86%
60	1 Quarter	4.45%
250	1 Year	3.06%
750	3 Years	3.17%
1,250	5 Years	3.30%
2,500	10 Years	3.06%
5,000	20 Years	3.25%
12,500	50 Years	3.25%

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 3.36. Further, an Excess 峰度 of 28.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.21%	0	0.00%	0.00%
-2.21% to -0.89%	0	0.00%	0.00%
-0.89% to 0.43%	0	0.00%	0.00%
0.43% to 1.75%	582	16.82%	16.82%
1.75% to 3.07%	1615	46.68%	63.50%
3.07% to 4.39%	742	21.45%	84.94%
4.39% to 5.71%	288	8.32%	93.27%
5.71% to 7.03%	114	3.29%	96.56%
7.03% to 8.35%	54	1.56%	98.12%
Greater than 8.35%	65	1.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.31%	4.83%	83.96%	68.27%
±2σ	-0.45%	6.59%	95.78%	95.45%
±3σ	-2.21%	8.35%	98.12%	99.73%

Descriptive Statistics

均值	3.067%
Standard Error	0.030%
中位数	2.625%
Mode	2.074%
Standard Deviation	1.760%
Sample Variance	3.099%
峰度	28.67
偏度	3.36
Range	31.442%
Minimum	0.633%
Maximum	32.075%
Count	3460

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.067%	3460	100.00%	3.067%
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 19.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.11%	13	0.38%	0.38%
-6.11% to -4.58%	31	0.90%	1.27%
-4.58% to -3.04%	125	3.61%	4.88%
-3.04% to -1.51%	472	13.64%	18.53%
-1.51% to 0.02%	1156	33.41%	51.94%
0.02% to 1.55%	1073	31.01%	82.95%
1.55% to 3.08%	397	11.47%	94.42%
3.08% to 4.62%	117	3.38%	97.80%
4.62% to 6.15%	45	1.30%	99.10%
Greater than 6.15%	31	0.90%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.02%	2.06%	76.53%	68.27%
±2σ	-4.07%	4.11%	95.17%	95.45%
±3σ	-6.11%	6.15%	98.73%	99.73%

Descriptive Statistics

均值	0.020%
Standard Error	0.035%
中位数	-0.054%
Mode	0.000%
Standard Deviation	2.043%
Sample Variance	4.172%
峰度	19.12
偏度	1.22
Range	45.344%
Minimum	-13.498%
Maximum	31.846%
Count	3460

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.519%	1678	48.50%	0.737%
负向	-1.399%	1773	51.24%	-0.717%
Zero	0.000%	9	0.26%	0.000%

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 2.57 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.84%	7	0.97%	0.97%
-15.84% to -11.74%	11	1.53%	2.51%
-11.74% to -7.63%	23	3.20%	5.71%
-7.63% to -3.53%	89	12.40%	18.11%
-3.53% to 0.57%	220	30.64%	48.75%
0.57% to 4.68%	236	32.87%	81.62%
4.68% to 8.78%	96	13.37%	94.99%
8.78% to 12.89%	24	3.34%	98.33%
12.89% to 16.99%	8	1.11%	99.44%
Greater than 16.99%	4	0.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.90%	6.05%	74.51%	68.27%
±2σ	-10.37%	11.52%	94.99%	95.45%
±3σ	-15.84%	16.99%	98.47%	99.73%

Descriptive Statistics

均值	0.575%
Standard Error	0.204%
中位数	0.699%
Mode	-5.352%
Standard Deviation	5.472%
Sample Variance	29.938%
峰度	2.57
偏度	-0.31
Range	48.773%
Minimum	-25.528%
Maximum	23.245%
Count	718

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.112%	403	56.13%	2.308%
负向	-3.950%	315	43.87%	-1.733%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.46%
12	1 Quarter	10.02%
52	1 Year	7.01%
156	3 Years	7.56%
260	5 Years	7.80%
520	10 Years	7.25%
1,040	20 Years	7.66%
2,600	50 Years	7.66%

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 2.40. Further, an Excess 峰度 of 9.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.93%	0	0.00%	0.00%
-5.93% to -2.48%	0	0.00%	0.00%
-2.48% to 0.98%	0	0.00%	0.00%
0.98% to 4.43%	118	16.41%	16.41%
4.43% to 7.88%	341	47.43%	63.84%
7.88% to 11.34%	145	20.17%	84.01%
11.34% to 14.79%	59	8.21%	92.21%
14.79% to 18.24%	30	4.17%	96.38%
18.24% to 21.70%	10	1.39%	97.77%
Greater than 21.70%	16	2.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.28%	12.49%	82.89%	68.27%
±2σ	-1.33%	17.09%	95.83%	95.45%
±3σ	-5.93%	21.70%	97.77%	99.73%

Descriptive Statistics

均值	7.883%
Standard Error	0.172%
中位数	6.592%
Mode	4.713%
Standard Deviation	4.604%
Sample Variance	21.193%
峰度	9.29
偏度	2.40
Range	40.070%
Minimum	1.915%
Maximum	41.985%
Count	719

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.883%	719	100.00%	7.883%
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 1.19. Further, an Excess 峰度 of 5.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.14%	1	0.14%	0.14%
-16.14% to -12.13%	4	0.56%	0.70%
-12.13% to -8.13%	21	2.92%	3.62%
-8.13% to -4.13%	113	15.72%	19.33%
-4.13% to -0.13%	249	34.63%	53.96%
-0.13% to 3.87%	206	28.65%	82.61%
3.87% to 7.88%	84	11.68%	94.30%
7.88% to 11.88%	25	3.48%	97.77%
11.88% to 15.88%	5	0.70%	98.47%
Greater than 15.88%	11	1.53%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.46%	5.21%	76.08%	68.27%
±2σ	-10.80%	10.54%	95.41%	95.45%
±3σ	-16.14%	15.88%	98.33%	99.73%

Descriptive Statistics

均值	-0.129%
Standard Error	0.199%
中位数	-0.576%
Mode	-4.566%
Standard Deviation	5.336%
Sample Variance	28.477%
峰度	5.04
偏度	1.19
Range	52.825%
Minimum	-19.053%
Maximum	33.772%
Count	719

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.173%	319	44.37%	1.851%
负向	-3.570%	399	55.49%	-1.981%
Zero	0.000%	1	0.14%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.01. Further, an Excess 峰度 of -0.20 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.37%	0	0.00%	0.00%
-28.37% to -20.70%	2	1.21%	1.21%
-20.70% to -13.03%	9	5.45%	6.67%
-13.03% to -5.36%	27	16.36%	23.03%
-5.36% to 2.31%	47	28.48%	51.52%
2.31% to 9.98%	41	24.85%	76.36%
9.98% to 17.65%	27	16.36%	92.73%
17.65% to 25.32%	11	6.67%	99.39%
25.32% to 32.98%	1	0.61%	100.00%
Greater than 32.98%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.92%	12.53%	65.45%	68.27%
±2σ	-18.15%	22.76%	96.97%	95.45%
±3σ	-28.37%	32.99%	100.00%	99.73%

Descriptive Statistics

均值	2.307%
Standard Error	0.796%
中位数	2.147%
Mode	-10.117%
Standard Deviation	10.226%
Sample Variance	104.579%
峰度	-0.20
偏度	-0.01
Range	58.701%
Minimum	-25.820%
Maximum	32.881%
Count	165

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.299%	95	57.58%	5.354%
负向	-7.183%	70	42.42%	-3.047%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	19.84%
12	1 Year	14.58%
36	3 Years	16.68%
60	5 Years	16.82%
120	10 Years	16.03%
240	20 Years	16.62%
600	50 Years	16.62%

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 1.19. Further, an Excess 峰度 of 1.92 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.37%	0	0.00%	0.00%
-6.37% to -0.21%	0	0.00%	0.00%
-0.21% to 5.95%	0	0.00%	0.00%
5.95% to 12.11%	38	22.89%	22.89%
12.11% to 18.27%	53	31.93%	54.82%
18.27% to 24.43%	42	25.30%	80.12%
24.43% to 30.59%	21	12.65%	92.77%
30.59% to 36.75%	6	3.61%	96.39%
36.75% to 42.91%	4	2.41%	98.80%
Greater than 42.91%	2	1.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	10.06%	26.48%	73.49%	68.27%
±2σ	1.85%	34.70%	93.98%	95.45%
±3σ	-6.37%	42.91%	98.80%	99.73%

Descriptive Statistics

均值	18.271%
Standard Error	0.637%
中位数	16.686%
Mode	6.349%
Standard Deviation	8.213%
Sample Variance	67.461%
峰度	1.92
偏度	1.19
Range	46.006%
Minimum	6.349%
Maximum	52.355%
Count	166

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.271%	166	100.00%	18.271%
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 0.57. Further, an Excess 峰度 of 0.52 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.40%	0	0.00%	0.00%
-31.40% to -23.82%	1	0.60%	0.60%
-23.82% to -16.24%	7	4.22%	4.82%
-16.24% to -8.66%	32	19.28%	24.10%
-8.66% to -1.08%	46	27.71%	51.81%
-1.08% to 6.50%	47	28.31%	80.12%
6.50% to 14.08%	21	12.65%	92.77%
14.08% to 21.66%	7	4.22%	96.99%
21.66% to 29.23%	4	2.41%	99.40%
Greater than 29.23%	1	0.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.19%	9.02%	68.07%	68.27%
±2σ	-21.29%	19.13%	95.78%	95.45%
±3σ	-31.40%	29.23%	99.40%	99.73%

Descriptive Statistics

均值	-1.081%
Standard Error	0.784%
中位数	-1.403%
Mode	4.168%
Standard Deviation	10.105%
Sample Variance	102.114%
峰度	0.52
偏度	0.57
Range	59.007%
Minimum	-24.200%
Maximum	34.807%
Count	166

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.099%	71	42.77%	3.464%
负向	-7.942%	95	57.23%	-4.545%
Zero	0.000%	0	0.00%	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 0.61. Further, an Excess 峰度 of 0.20 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -45.64%	0	0.00%	0.00%
-45.64% to -32.52%	0	0.00%	0.00%
-32.52% to -19.40%	2	3.64%	3.64%
-19.40% to -6.29%	13	23.64%	27.27%
-6.29% to 6.83%	15	27.27%	54.55%
6.83% to 19.95%	13	23.64%	78.18%
19.95% to 33.06%	8	14.55%	92.73%
33.06% to 46.18%	3	5.45%	98.18%
46.18% to 59.30%	1	1.82%	100.00%
Greater than 59.30%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.66%	24.32%	65.45%	68.27%
±2σ	-28.15%	41.81%	98.18%	95.45%
±3σ	-45.64%	59.30%	100.00%	99.73%

Descriptive Statistics

均值	6.829%
Standard Error	2.358%
中位数	2.987%
Mode	-26.532%
Standard Deviation	17.489%
Sample Variance	305.860%
峰度	0.20
偏度	0.61
Range	85.106%
Minimum	-26.532%
Maximum	58.574%
Count	55

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.061%	36	65.45%	10.513%
负向	-10.661%	19	34.55%	-3.683%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	24.90%
12	3 Years	30.42%
20	5 Years	29.88%
40	10 Years	29.32%
80	20 Years	30.37%
200	50 Years	30.37%

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 2.10. Further, an Excess 峰度 of 7.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.32%	0	0.00%	0.00%
-7.32% to 3.24%	0	0.00%	0.00%
3.24% to 13.80%	0	0.00%	0.00%
13.80% to 24.36%	12	21.43%	21.43%
24.36% to 34.91%	19	33.93%	55.36%
34.91% to 45.47%	16	28.57%	83.93%
45.47% to 56.03%	6	10.71%	94.64%
56.03% to 66.59%	1	1.79%	96.43%
66.59% to 77.14%	1	1.79%	98.21%
Greater than 77.14%	1	1.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	20.84%	48.99%	82.14%	68.27%
±2σ	6.76%	63.07%	96.43%	95.45%
±3σ	-7.32%	77.14%	98.21%	99.73%

Descriptive Statistics

均值	34.913%
Standard Error	1.881%
中位数	32.965%
Mode	15.560%
Standard Deviation	14.077%
Sample Variance	198.150%
峰度	7.63
偏度	2.10
Range	84.575%
Minimum	15.560%
Maximum	100.135%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	34.913%	56	100.00%	34.913%
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 -0.26 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -49.42%	0	0.00%	0.00%
-49.42% to -38.01%	0	0.00%	0.00%
-38.01% to -26.60%	4	7.14%	7.14%
-26.60% to -15.19%	9	16.07%	23.21%
-15.19% to -3.78%	12	21.43%	44.64%
-3.78% to 7.63%	16	28.57%	73.21%
7.63% to 19.05%	12	21.43%	94.64%
19.05% to 30.46%	2	3.57%	98.21%
30.46% to 41.87%	1	1.79%	100.00%
Greater than 41.87%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.99%	11.44%	66.07%	68.27%
±2σ	-34.21%	26.65%	96.43%	95.45%
±3σ	-49.42%	41.87%	100.00%	99.73%

Descriptive Statistics

均值	-3.777%
Standard Error	2.033%
中位数	-2.902%
Mode	-36.482%
Standard Deviation	15.216%
Sample Variance	231.523%
峰度	-0.26
偏度	0.16
Range	73.001%
Minimum	-36.482%
Maximum	36.519%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.768%	21	37.50%	4.413%
负向	-13.105%	35	62.50%	-8.191%
Zero	0.000%	0	0.00%	0.000%

PANW 深度分析报告