PLAY 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	4.21%	4.02%	3.40%	4.95%	5.50%	5.56%	11.67	13.03	11.05	13.76
周度	8.28%	13.70%	12.28%	11.66%	12.11%	12.23%	10.92	13.92	9.68	15.71
月度	15.13%	54.52%	19.09%	25.50%	25.21%	25.46%	9.58	15.87	7.45	20.41
季度	29.71%	131.80%	39.84%	44.85%	43.67%	44.09%	7.97	19.08	5.15	29.53
Annual	—	—	—	—	87.33%	88.18%	5.15	29.53	2.15	70.71
Option Time Horizon	—	—	—	—	33.28%	33.60%	8.84	17.20	6.34	23.99

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $12.33 | Strike (K): $15.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.8000 (Bid $0.7000 / Ask $0.9000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 87.33% (CRR binomial tree, American, n=20 steps) | BS IV: 87.93% (European Black-Scholes) | Yahoo IV (Annual): 88.18% → period-scaled as σ_period = σ_annual·√h | 价格 bands: Upper = S·e^+σ√h, 低er = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2020-01-09	$0.1600
2019-10-10	$0.1600
2019-06-24	$0.1500
2019-03-25	$0.1500
2018-12-24	$0.1500
2018-09-24	$0.1500

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 2.69. Further, an Excess 峰度 of 59.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.55%	18	0.62%	0.62%
-12.55% to -9.40%	19	0.66%	1.28%
-9.40% to -6.24%	58	2.00%	3.28%
-6.24% to -3.08%	245	8.45%	11.72%
-3.08% to 0.07%	1145	39.48%	51.21%
0.07% to 3.23%	1079	37.21%	88.41%
3.23% to 6.39%	223	7.69%	96.10%
6.39% to 9.55%	70	2.41%	98.52%
9.55% to 12.71%	19	0.66%	99.17%
Greater than 12.71%	24	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.13%	4.29%	84.72%	68.27%
±2σ	-8.35%	8.49%	96.45%	95.45%
±3σ	-12.55%	12.70%	98.55%	99.73%

Descriptive Statistics

均值	0.075%
Standard Error	0.078%
中位数	0.000%
Mode	0.000%
Standard Deviation	4.210%
Sample Variance	17.723%
峰度	59.57
偏度	2.69
Range	122.333%
Minimum	-45.742%
Maximum	76.591%
Count	2900

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.549%	1444	49.79%	1.269%
负向	-2.410%	1438	49.59%	-1.195%
Zero	0.000%	18	0.62%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.84%
20	1 Month	7.75%
60	1 Quarter	7.07%
250	1 Year	5.98%
750	3 Years	5.00%
1,250	5 Years	4.95%
2,500	10 Years	4.81%
5,000	20 Years	4.68%
12,500	50 Years	4.68%

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 7.94. Further, an Excess 峰度 of 123.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.51%	0	0.00%	0.00%
-7.51% to -4.49%	0	0.00%	0.00%
-4.49% to -1.47%	0	0.00%	0.00%
-1.47% to 1.54%	110	3.79%	3.79%
1.54% to 4.56%	1817	62.63%	66.43%
4.56% to 7.58%	670	23.10%	89.52%
7.58% to 10.60%	178	6.14%	95.66%
10.60% to 13.61%	57	1.96%	97.62%
13.61% to 16.63%	34	1.17%	98.79%
Greater than 16.63%	35	1.21%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.54%	8.58%	92.59%	68.27%
±2σ	-3.48%	12.61%	97.00%	95.45%
±3σ	-7.51%	16.63%	98.79%	99.73%

Descriptive Statistics

均值	4.561%
Standard Error	0.075%
中位数	3.683%
Mode	1.914%
Standard Deviation	4.023%
Sample Variance	16.184%
峰度	123.52
偏度	7.94
Range	95.212%
Minimum	0.788%
Maximum	96.000%
Count	2901

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.561%	2901	100.00%	4.561%
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 0.81. Further, an Excess 峰度 of 19.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.04%	16	0.55%	0.55%
-10.04% to -7.49%	22	0.76%	1.31%
-7.49% to -4.94%	77	2.65%	3.96%
-4.94% to -2.40%	318	10.96%	14.93%
-2.40% to 0.15%	1084	37.37%	52.29%
0.15% to 2.70%	972	33.51%	85.80%
2.70% to 5.25%	285	9.82%	95.62%
5.25% to 7.79%	76	2.62%	98.24%
7.79% to 10.34%	18	0.62%	98.86%
Greater than 10.34%	33	1.14%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.24%	3.55%	80.77%	68.27%
±2σ	-6.64%	6.95%	95.93%	95.45%
±3σ	-10.04%	10.34%	98.31%	99.73%

Descriptive Statistics

均值	0.152%
Standard Error	0.063%
中位数	0.033%
Mode	0.000%
Standard Deviation	3.397%
Sample Variance	11.538%
峰度	19.83
偏度	0.81
Range	79.364%
Minimum	-37.558%
Maximum	41.806%
Count	2901

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.334%	1461	50.36%	1.175%
负向	-2.079%	1428	49.22%	-1.023%
Zero	0.000%	12	0.41%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.15. Further, an Excess 峰度 of 13.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.52%	3	0.50%	0.50%
-24.52% to -18.31%	8	1.33%	1.83%
-18.31% to -12.10%	18	2.99%	4.82%
-12.10% to -5.89%	57	9.47%	14.29%
-5.89% to 0.32%	228	37.87%	52.16%
0.32% to 6.53%	196	32.56%	84.72%
6.53% to 12.74%	66	10.96%	95.68%
12.74% to 18.95%	15	2.49%	98.17%
18.95% to 25.16%	6	1.00%	99.17%
Greater than 25.16%	5	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.96%	8.60%	80.73%	68.27%
±2σ	-16.24%	16.88%	95.35%	95.45%
±3σ	-24.52%	25.16%	98.67%	99.73%

Descriptive Statistics

均值	0.319%
Standard Error	0.338%
中位数	0.042%
Mode	0.000%
Standard Deviation	8.281%
Sample Variance	68.582%
峰度	13.03
偏度	-0.15
Range	120.796%
Minimum	-69.059%
Maximum	51.737%
Count	602

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.699%	302	50.17%	2.859%
负向	-5.150%	297	49.34%	-2.541%
Zero	0.000%	3	0.50%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	20.62%
12	1 Quarter	17.72%
52	1 Year	14.52%
156	3 Years	12.00%
260	5 Years	11.66%
520	10 Years	11.19%
1,040	20 Years	10.87%
2,600	50 Years	10.87%

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 10.31. Further, an Excess 峰度 of 160.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.16%	0	0.00%	0.00%
-29.16% to -18.89%	0	0.00%	0.00%
-18.89% to -8.61%	0	0.00%	0.00%
-8.61% to 1.66%	0	0.00%	0.00%
1.66% to 11.93%	406	67.33%	67.33%
11.93% to 22.20%	148	24.54%	91.87%
22.20% to 32.48%	28	4.64%	96.52%
32.48% to 42.75%	10	1.66%	98.18%
42.75% to 53.02%	4	0.66%	98.84%
Greater than 53.02%	7	1.16%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.76%	25.63%	94.53%	68.27%
±2σ	-15.46%	39.33%	97.68%	95.45%
±3σ	-29.16%	53.02%	98.84%	99.73%

Descriptive Statistics

均值	11.932%
Standard Error	0.558%
中位数	9.021%
Mode	5.391%
Standard Deviation	13.697%
Sample Variance	187.607%
峰度	160.82
偏度	10.31
Range	248.983%
Minimum	1.931%
Maximum	250.914%
Count	603

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.932%	603	100.00%	11.932%
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 12.40. Further, an Excess 峰度 of 238.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.13%	0	0.00%	0.00%
-36.13% to -26.92%	2	0.33%	0.33%
-26.92% to -17.70%	4	0.66%	1.00%
-17.70% to -8.49%	43	7.13%	8.13%
-8.49% to 0.72%	293	48.59%	56.72%
0.72% to 9.93%	213	35.32%	92.04%
9.93% to 19.15%	33	5.47%	97.51%
19.15% to 28.36%	12	1.99%	99.50%
28.36% to 37.57%	1	0.17%	99.67%
Greater than 37.57%	2	0.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.56%	13.01%	90.55%	68.27%
±2σ	-23.85%	25.29%	98.67%	95.45%
±3σ	-36.13%	37.57%	99.67%	99.73%

Descriptive Statistics

均值	0.721%
Standard Error	0.500%
中位数	-0.030%
Mode	0.000%
Standard Deviation	12.284%
Sample Variance	150.897%
峰度	238.42
偏度	12.40
Range	272.578%
Minimum	-32.856%
Maximum	239.722%
Count	603

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.275%	297	49.25%	3.091%
负向	-4.715%	303	50.25%	-2.369%
Zero	0.000%	3	0.50%	0.000%

收盘-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 1.65 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -44.51%	1	0.72%	0.72%
-44.51% to -33.16%	0	0.00%	0.72%
-33.16% to -21.81%	6	4.35%	5.07%
-21.81% to -10.46%	20	14.49%	19.57%
-10.46% to 0.89%	44	31.88%	51.45%
0.89% to 12.24%	33	23.91%	75.36%
12.24% to 23.59%	28	20.29%	95.65%
23.59% to 34.94%	3	2.17%	97.83%
34.94% to 46.28%	2	1.45%	99.28%
Greater than 46.28%	1	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.24%	16.02%	71.74%	68.27%
±2σ	-29.38%	31.15%	95.65%	95.45%
±3σ	-44.51%	46.28%	98.55%	99.73%

Descriptive Statistics

均值	0.888%
Standard Error	1.288%
中位数	0.397%
Mode	-60.376%
Standard Deviation	15.132%
Sample Variance	228.965%
峰度	1.65
偏度	-0.11
Range	107.928%
Minimum	-60.376%
Maximum	47.552%
Count	138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.332%	70	50.73%	6.255%
负向	-10.894%	68	49.27%	-5.368%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	37.11%
12	1 Year	33.01%
36	3 Years	26.63%
60	5 Years	25.50%
120	10 Years	24.41%
240	20 Years	23.65%
600	50 Years	23.65%

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 10.36. Further, an Excess 峰度 of 116.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -132.53%	0	0.00%	0.00%
-132.53% to -91.64%	0	0.00%	0.00%
-91.64% to -50.74%	0	0.00%	0.00%
-50.74% to -9.85%	0	0.00%	0.00%
-9.85% to 31.04%	101	72.66%	72.66%
31.04% to 71.94%	34	24.46%	97.12%
71.94% to 112.83%	3	2.16%	99.28%
112.83% to 153.72%	0	0.00%	99.28%
153.72% to 194.62%	0	0.00%	99.28%
Greater than 194.62%	1	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.48%	85.57%	98.56%	68.27%
±2σ	-78.00%	140.09%	99.28%	95.45%
±3σ	-132.53%	194.62%	99.28%	99.73%

Descriptive Statistics

均值	31.043%
Standard Error	4.625%
中位数	23.133%
Mode	7.244%
Standard Deviation	54.524%
Sample Variance	2972.912%
峰度	116.14
偏度	10.36
Range	634.558%
Minimum	7.244%
Maximum	641.802%
Count	139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	31.043%	139	100.00%	31.043%
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 3.78. Further, an Excess 峰度 of 28.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -55.51%	0	0.00%	0.00%
-55.51% to -41.19%	0	0.00%	0.00%
-41.19% to -26.87%	3	2.16%	2.16%
-26.87% to -12.55%	20	14.39%	16.55%
-12.55% to 1.76%	56	40.29%	56.83%
1.76% to 16.08%	40	28.78%	85.61%
16.08% to 30.40%	14	10.07%	95.68%
30.40% to 44.72%	5	3.60%	99.28%
44.72% to 59.04%	0	0.00%	99.28%
Greater than 59.04%	1	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.33%	20.86%	85.61%	68.27%
±2σ	-36.42%	39.95%	99.28%	95.45%
±3σ	-55.51%	59.04%	99.28%	99.73%

Descriptive Statistics

均值	1.765%
Standard Error	1.619%
中位数	-0.126%
Mode	-1.725%
Standard Deviation	19.092%
Sample Variance	364.508%
峰度	28.30
偏度	3.78
Range	185.266%
Minimum	-31.367%
Maximum	153.899%
Count	139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.401%	67	48.20%	6.941%
负向	-9.994%	72	51.80%	-5.177%
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 0.49. Further, an Excess 峰度 of 1.41 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -85.69%	0	0.00%	0.00%
-85.69% to -63.40%	1	2.17%	2.17%
-63.40% to -41.12%	1	2.17%	4.35%
-41.12% to -18.84%	8	17.39%	21.74%
-18.84% to 3.45%	14	30.43%	52.17%
3.45% to 25.73%	12	26.09%	78.26%
25.73% to 48.01%	7	15.22%	93.48%
48.01% to 70.30%	2	4.35%	97.83%
70.30% to 92.58%	0	0.00%	97.83%
Greater than 92.58%	1	2.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-26.26%	33.16%	69.57%	68.27%
±2σ	-55.98%	62.87%	95.65%	95.45%
±3σ	-85.69%	92.58%	97.83%	99.73%

Descriptive Statistics

均值	3.446%
Standard Error	4.381%
中位数	-0.405%
Mode	-66.848%
Standard Deviation	29.711%
Sample Variance	882.759%
峰度	1.41
偏度	0.49
Range	165.100%
Minimum	-66.848%
Maximum	98.252%
Count	46

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.157%	22	47.83%	12.988%
负向	-18.290%	24	52.17%	-9.543%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	64.96%
12	3 Years	50.86%
20	5 Years	44.85%
40	10 Years	45.17%
80	20 Years	43.75%
200	50 Years	43.75%

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 6.29. Further, an Excess 峰度 of 41.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -323.69%	0	0.00%	0.00%
-323.69% to -224.84%	0	0.00%	0.00%
-224.84% to -125.99%	0	0.00%	0.00%
-125.99% to -27.14%	0	0.00%	0.00%
-27.14% to 71.71%	38	80.85%	80.85%
71.71% to 170.56%	7	14.89%	95.74%
170.56% to 269.42%	1	2.13%	97.87%
269.42% to 368.27%	0	0.00%	97.87%
368.27% to 467.12%	0	0.00%	97.87%
Greater than 467.12%	1	2.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-60.09%	203.51%	97.87%	68.27%
±2σ	-191.89%	335.32%	97.87%	95.45%
±3σ	-323.69%	467.12%	97.87%	99.73%

Descriptive Statistics

均值	71.712%
Standard Error	19.225%
中位数	42.586%
Mode	18.853%
Standard Deviation	131.802%
Sample Variance	17371.713%
峰度	41.53
偏度	6.29
Range	911.983%
Minimum	18.853%
Maximum	930.836%
Count	47

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	71.712%	47	100.00%	71.712%
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 2.84. Further, an Excess 峰度 of 12.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -113.56%	0	0.00%	0.00%
-113.56% to -83.68%	0	0.00%	0.00%
-83.68% to -53.80%	0	0.00%	0.00%
-53.80% to -23.92%	7	14.89%	14.89%
-23.92% to 5.95%	23	48.94%	63.83%
5.95% to 35.83%	10	21.28%	85.11%
35.83% to 65.71%	5	10.64%	95.74%
65.71% to 95.58%	0	0.00%	95.74%
95.58% to 125.46%	1	2.13%	97.87%
Greater than 125.46%	1	2.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.88%	45.79%	89.36%	68.27%
±2σ	-73.72%	85.62%	95.74%	95.45%
±3σ	-113.55%	125.46%	97.87%	99.73%

Descriptive Statistics

均值	5.953%
Standard Error	5.811%
中位数	0.655%
Mode	-48.918%
Standard Deviation	39.836%
Sample Variance	1586.920%
峰度	12.04
偏度	2.84
Range	250.011%
Minimum	-48.918%
Maximum	201.093%
Count	47

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.992%	24	51.06%	15.315%
负向	-19.131%	23	48.94%	-9.362%
Zero	0.000%	0	0.00%	0.000%

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