PLUG 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	6.11%	5.42%	5.30%	8.11%	6.40%	6.47%	2.95	3.35	2.76	3.57
周度	14.14%	17.22%	13.62%	19.46%	14.08%	14.25%	2.73	3.61	2.37	4.16
月度	29.15%	44.80%	28.21%	41.70%	29.31%	29.66%	2.34	4.21	1.75	5.64
季度	80.42%	139.95%	48.18%	77.28%	50.76%	51.37%	1.89	5.22	1.14	8.67
Annual	—	—	—	—	101.52%	102.73%	1.14	8.67	0.41	23.92
Option Time Horizon	—	—	—	—	38.69%	39.15%	2.13	4.62	1.45	6.81

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $3.14 | Strike (K): $3.50 (first OTM call ≥ spot) | Observed Mid-价格: $0.3600 (Bid $0.3300 / Ask $0.3900) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 101.52% (CRR binomial tree, American, n=20 steps) | BS IV: 102.61% (European Black-Scholes) | Yahoo IV (Annual): 102.73% → 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 2.52. Further, an Excess 峰度 of 36.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.21%	23	0.35%	0.35%
-18.21% to -13.63%	40	0.60%	0.95%
-13.63% to -9.05%	149	2.24%	3.19%
-9.05% to -4.47%	772	11.60%	14.78%
-4.47% to 0.12%	2812	42.25%	57.03%
0.12% to 4.70%	1953	29.34%	86.37%
4.70% to 9.28%	582	8.74%	95.12%
9.28% to 13.87%	178	2.67%	97.79%
13.87% to 18.45%	73	1.10%	98.89%
Greater than 18.45%	74	1.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.99%	6.23%	81.72%	68.27%
±2σ	-12.10%	12.34%	95.85%	95.45%
±3σ	-18.21%	18.45%	98.54%	99.73%

Descriptive Statistics

均值	0.117%
Standard Error	0.075%
中位数	-0.312%
Mode	0.000%
Standard Deviation	6.110%
Sample Variance	37.328%
峰度	36.30
偏度	2.52
Range	169.931%
Minimum	-52.000%
Maximum	117.931%
Count	6656

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.609%	2865	43.04%	1.984%
负向	-3.636%	3417	51.34%	-1.867%
Zero	0.000%	374	5.62%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	9.16%
20	1 Month	8.16%
60	1 Quarter	8.09%
250	1 Year	9.72%
750	3 Years	8.82%
1,250	5 Years	8.11%
2,500	10 Years	7.23%
5,000	20 Years	7.45%
12,500	50 Years	7.44%

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 4.59. Further, an Excess 峰度 of 49.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.82%	0	0.00%	0.00%
-8.82% to -4.76%	0	0.00%	0.00%
-4.76% to -0.69%	0	0.00%	0.00%
-0.69% to 3.37%	845	12.69%	12.69%
3.37% to 7.43%	3435	51.60%	64.29%
7.43% to 11.49%	1481	22.25%	86.54%
11.49% to 15.56%	505	7.59%	94.13%
15.56% to 19.62%	187	2.81%	96.94%
19.62% to 23.68%	84	1.26%	98.20%
Greater than 23.68%	120	1.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.02%	12.85%	88.13%	68.27%
±2σ	-3.40%	18.27%	96.15%	95.45%
±3σ	-8.82%	23.68%	98.20%	99.73%

Descriptive Statistics

均值	7.432%
Standard Error	0.066%
中位数	6.107%
Mode	5.263%
Standard Deviation	5.417%
Sample Variance	29.341%
峰度	49.70
偏度	4.59
Range	105.907%
Minimum	0.800%
Maximum	106.707%
Count	6657

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.432%	6657	100.00%	7.432%
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 1.79. Further, an Excess 峰度 of 34.71 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.27%	46	0.69%	0.69%
-15.27% to -11.29%	69	1.04%	1.73%
-11.29% to -7.32%	196	2.94%	4.67%
-7.32% to -3.34%	756	11.36%	16.03%
-3.34% to 0.63%	2294	34.46%	50.49%
0.63% to 4.61%	2241	33.66%	84.15%
4.61% to 8.58%	771	11.58%	95.73%
8.58% to 12.56%	177	2.66%	98.39%
12.56% to 16.54%	55	0.83%	99.22%
Greater than 16.54%	52	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.67%	5.93%	79.96%	68.27%
±2σ	-9.97%	11.23%	95.60%	95.45%
±3σ	-15.27%	16.54%	98.53%	99.73%

Descriptive Statistics

均值	0.632%
Standard Error	0.065%
中位数	0.575%
Mode	0.000%
Standard Deviation	5.301%
Sample Variance	28.104%
峰度	34.71
偏度	1.79
Range	145.563%
Minimum	-47.785%
Maximum	97.778%
Count	6657

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.866%	3596	54.02%	2.088%
负向	-3.597%	2695	40.48%	-1.456%
Zero	0.000%	366	5.50%	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 2.46. Further, an Excess 峰度 of 18.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.81%	3	0.22%	0.22%
-41.81% to -31.21%	8	0.58%	0.80%
-31.21% to -20.60%	37	2.68%	3.47%
-20.60% to -10.00%	150	10.85%	14.33%
-10.00% to 0.60%	578	41.82%	56.15%
0.60% to 11.21%	415	30.03%	86.18%
11.21% to 21.81%	120	8.68%	94.86%
21.81% to 32.41%	43	3.11%	97.97%
32.41% to 43.02%	11	0.80%	98.77%
Greater than 43.02%	17	1.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.54%	14.74%	82.05%	68.27%
±2σ	-27.67%	28.88%	95.95%	95.45%
±3σ	-41.81%	43.02%	98.55%	99.73%

Descriptive Statistics

均值	0.603%
Standard Error	0.380%
中位数	-0.907%
Mode	0.000%
Standard Deviation	14.138%
Sample Variance	199.872%
峰度	18.26
偏度	2.46
Range	212.285%
Minimum	-64.103%
Maximum	148.182%
Count	1382

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.632%	622	45.01%	4.785%
负向	-7.929%	729	52.75%	-4.183%
Zero	0.000%	31	2.24%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	18.41%
12	1 Quarter	16.59%
52	1 Year	23.22%
156	3 Years	21.23%
260	5 Years	19.46%
520	10 Years	17.28%
1,040	20 Years	17.28%
2,600	50 Years	17.41%

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 5.45. Further, an Excess 峰度 of 49.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.23%	0	0.00%	0.00%
-32.23% to -19.32%	0	0.00%	0.00%
-19.32% to -6.40%	0	0.00%	0.00%
-6.40% to 6.51%	92	6.65%	6.65%
6.51% to 19.43%	806	58.28%	64.93%
19.43% to 32.34%	332	24.01%	88.94%
32.34% to 45.26%	86	6.22%	95.16%
45.26% to 58.17%	34	2.46%	97.61%
58.17% to 71.09%	11	0.80%	98.41%
Greater than 71.09%	22	1.59%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.21%	36.65%	91.47%	68.27%
±2σ	-15.01%	53.87%	97.04%	95.45%
±3σ	-32.23%	71.09%	98.41%	99.73%

Descriptive Statistics

均值	19.427%
Standard Error	0.463%
中位数	15.081%
Mode	11.111%
Standard Deviation	17.220%
Sample Variance	296.534%
峰度	49.91
偏度	5.45
Range	229.793%
Minimum	3.540%
Maximum	233.333%
Count	1383

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.427%	1383	100.00%	19.427%
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 2.57. Further, an Excess 峰度 of 28.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.21%	8	0.58%	0.58%
-39.21% to -28.99%	10	0.72%	1.30%
-28.99% to -18.77%	31	2.24%	3.54%
-18.77% to -8.55%	164	11.86%	15.40%
-8.55% to 1.66%	507	36.66%	52.06%
1.66% to 11.88%	483	34.92%	86.98%
11.88% to 22.10%	116	8.39%	95.37%
22.10% to 32.32%	40	2.89%	98.26%
32.32% to 42.53%	11	0.80%	99.06%
Greater than 42.53%	13	0.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.96%	15.29%	81.06%	68.27%
±2σ	-25.59%	28.91%	95.95%	95.45%
±3σ	-39.21%	42.53%	98.48%	99.73%

Descriptive Statistics

均值	1.663%
Standard Error	0.366%
中位数	1.240%
Mode	0.000%
Standard Deviation	13.624%
Sample Variance	185.611%
峰度	28.91
偏度	2.57
Range	228.938%
Minimum	-57.509%
Maximum	171.429%
Count	1383

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.571%	748	54.09%	5.176%
负向	-8.139%	597	43.17%	-3.513%
Zero	0.000%	38	2.75%	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 2.59. Further, an Excess 峰度 of 14.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -85.30%	0	0.00%	0.00%
-85.30% to -63.44%	1	0.31%	0.31%
-63.44% to -41.58%	5	1.57%	1.89%
-41.58% to -19.72%	43	13.52%	15.41%
-19.72% to 2.14%	145	45.60%	61.01%
2.14% to 24.00%	78	24.53%	85.53%
24.00% to 45.85%	27	8.49%	94.03%
45.85% to 67.71%	8	2.52%	96.54%
67.71% to 89.57%	5	1.57%	98.11%
Greater than 89.57%	6	1.89%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.01%	31.28%	82.39%	68.27%
±2σ	-56.16%	60.43%	94.97%	95.45%
±3σ	-85.30%	89.57%	98.11%	99.73%

Descriptive Statistics

均值	2.136%
Standard Error	1.634%
中位数	-1.794%
Mode	0.000%
Standard Deviation	29.146%
Sample Variance	849.486%
峰度	14.29
偏度	2.59
Range	295.327%
Minimum	-63.469%
Maximum	231.858%
Count	318

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.320%	140	44.02%	10.267%
负向	-14.945%	173	54.40%	-8.131%
Zero	0.000%	5	1.57%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	39.59%
12	1 Year	53.06%
36	3 Years	45.71%
60	5 Years	41.70%
120	10 Years	39.24%
240	20 Years	39.03%
600	50 Years	39.75%

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 4.73. Further, an Excess 峰度 of 37.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -84.31%	0	0.00%	0.00%
-84.31% to -50.71%	0	0.00%	0.00%
-50.71% to -17.11%	0	0.00%	0.00%
-17.11% to 16.48%	21	6.58%	6.58%
16.48% to 50.08%	195	61.13%	67.71%
50.08% to 83.68%	64	20.06%	87.77%
83.68% to 117.28%	24	7.52%	95.30%
117.28% to 150.88%	6	1.88%	97.18%
150.88% to 184.48%	3	0.94%	98.12%
Greater than 184.48%	6	1.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.28%	94.88%	91.22%	68.27%
±2σ	-39.51%	139.68%	96.55%	95.45%
±3σ	-84.31%	184.48%	98.12%	99.73%

Descriptive Statistics

均值	50.083%
Standard Error	2.508%
中位数	39.337%
Mode	15.789%
Standard Deviation	44.798%
Sample Variance	2006.855%
峰度	37.42
偏度	4.73
Range	498.090%
Minimum	9.677%
Maximum	507.767%
Count	319

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	50.083%	319	100.00%	50.083%
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 2.00. Further, an Excess 峰度 of 10.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -79.34%	0	0.00%	0.00%
-79.34% to -58.18%	1	0.31%	0.31%
-58.18% to -37.02%	11	3.45%	3.76%
-37.02% to -15.86%	43	13.48%	17.24%
-15.86% to 5.29%	125	39.18%	56.43%
5.29% to 26.45%	93	29.15%	85.58%
26.45% to 47.61%	27	8.46%	94.04%
47.61% to 68.77%	11	3.45%	97.49%
68.77% to 89.92%	4	1.25%	98.75%
Greater than 89.92%	4	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.92%	33.50%	80.88%	68.27%
±2σ	-51.13%	61.71%	96.24%	95.45%
±3σ	-79.34%	89.92%	98.75%	99.73%

Descriptive Statistics

均值	5.294%
Standard Error	1.579%
中位数	2.542%
Mode	0.000%
Standard Deviation	28.210%
Sample Variance	795.801%
峰度	10.02
偏度	2.00
Range	254.771%
Minimum	-70.933%
Maximum	183.838%
Count	319

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.394%	178	55.80%	11.938%
负向	-15.358%	138	43.26%	-6.644%
Zero	0.000%	3	0.94%	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 4.09. Further, an Excess 峰度 of 19.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -230.96%	0	0.00%	0.00%
-230.96% to -170.64%	0	0.00%	0.00%
-170.64% to -110.33%	0	0.00%	0.00%
-110.33% to -50.02%	7	6.60%	6.60%
-50.02% to 10.29%	70	66.04%	72.64%
10.29% to 70.61%	19	17.92%	90.57%
70.61% to 130.92%	6	5.66%	96.23%
130.92% to 191.23%	1	0.94%	97.17%
191.23% to 251.54%	0	0.00%	97.17%
Greater than 251.54%	3	2.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-70.12%	90.71%	95.28%	68.27%
±2σ	-150.54%	171.13%	96.23%	95.45%
±3σ	-230.96%	251.55%	97.17%	99.73%

Descriptive Statistics

均值	10.294%
Standard Error	7.811%
中位数	-5.597%
Mode	-64.444%
Standard Deviation	80.417%
Sample Variance	6466.887%
峰度	19.65
偏度	4.09
Range	550.382%
Minimum	-64.444%
Maximum	485.938%
Count	106

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	59.563%	44	41.51%	24.724%
负向	-24.672%	62	58.49%	-14.431%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	124.02%
12	3 Years	88.52%
20	5 Years	77.28%
40	10 Years	81.17%
80	20 Years	81.86%
200	50 Years	83.48%

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 4.42. Further, an Excess 峰度 of 24.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -298.51%	0	0.00%	0.00%
-298.51% to -193.55%	0	0.00%	0.00%
-193.55% to -88.59%	0	0.00%	0.00%
-88.59% to 16.37%	0	0.00%	0.00%
16.37% to 121.33%	73	68.22%	68.22%
121.33% to 226.29%	23	21.50%	89.72%
226.29% to 331.25%	7	6.54%	96.26%
331.25% to 436.22%	1	0.93%	97.20%
436.22% to 541.18%	1	0.93%	98.13%
Greater than 541.18%	2	1.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.62%	261.28%	93.46%	68.27%
±2σ	-158.56%	401.23%	97.20%	95.45%
±3σ	-298.51%	541.18%	98.13%	99.73%

Descriptive Statistics

均值	121.333%
Standard Error	13.529%
中位数	81.867%
Mode	20.909%
Standard Deviation	139.948%
Sample Variance	19585.499%
峰度	24.05
偏度	4.42
Range	967.980%
Minimum	20.909%
Maximum	988.889%
Count	107

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	121.333%	107	100.00%	121.333%
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 0.98. 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 -129.55%	0	0.00%	0.00%
-129.55% to -93.42%	0	0.00%	0.00%
-93.42% to -57.29%	4	3.74%	3.74%
-57.29% to -21.15%	16	14.95%	18.69%
-21.15% to 14.98%	47	43.93%	62.62%
14.98% to 51.11%	22	20.56%	83.18%
51.11% to 87.25%	8	7.48%	90.65%
87.25% to 123.38%	6	5.61%	96.26%
123.38% to 159.51%	3	2.80%	99.07%
Greater than 159.51%	1	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.20%	63.16%	75.70%	68.27%
±2σ	-81.38%	111.34%	93.46%	95.45%
±3σ	-129.55%	159.51%	99.07%	99.73%

Descriptive Statistics

均值	14.981%
Standard Error	4.658%
中位数	6.989%
Mode	0.000%
Standard Deviation	48.178%
Sample Variance	2321.104%
峰度	1.65
偏度	0.98
Range	269.633%
Minimum	-82.133%
Maximum	187.500%
Count	107

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	42.351%	63	58.88%	24.936%
负向	-25.361%	42	39.25%	-9.955%
Zero	0.000%	2	1.87%	0.000%

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