PRPL 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	5.31%	4.96%	4.72%	8.00%	13.72%	13.48%	0.56	0.74	0.49	0.84
周度	11.11%	13.34%	11.30%	18.11%	30.21%	29.69%	0.47	0.87	0.35	1.17
月度	22.71%	34.39%	25.96%	38.30%	62.89%	61.79%	0.34	1.20	0.18	2.26
季度	36.01%	64.43%	48.21%	59.84%	108.94%	107.03%	0.22	1.91	0.07	5.66
Annual	—	—	—	—	217.87%	214.06%	0.07	5.66	0.01	50.03
Option Time Horizon	—	—	—	—	103.27%	101.46%	0.23	1.80	0.08	5.06

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-07-17 (82 days) | Spot 价格 (S): $0.64 | Strike (K): $2.50 (first OTM call ≥ spot) | Observed Mid-价格: $0.0500 (Bid $0.0000 / Ask $0.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 217.87% (CRR binomial tree, American, n=20 steps) | BS IV: 214.52% (European Black-Scholes) | Yahoo IV (Annual): 214.06% → 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
2023-04-27	$0.0010

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.64. Further, an Excess 峰度 of 8.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.91%	12	0.54%	0.54%
-15.91% to -11.93%	22	0.99%	1.53%
-11.93% to -7.94%	59	2.65%	4.18%
-7.94% to -3.96%	263	11.81%	15.99%
-3.96% to 0.02%	820	36.82%	52.81%
0.02% to 4.00%	719	32.29%	85.09%
4.00% to 7.98%	220	9.88%	94.97%
7.98% to 11.96%	63	2.83%	97.80%
11.96% to 15.95%	25	1.12%	98.92%
Greater than 15.95%	24	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.29%	5.33%	79.97%	68.27%
±2σ	-10.60%	10.64%	95.24%	95.45%
±3σ	-15.91%	15.95%	98.38%	99.73%

Descriptive Statistics

均值	0.019%
Standard Error	0.112%
中位数	0.000%
Mode	0.000%
Standard Deviation	5.309%
Sample Variance	28.183%
峰度	8.41
偏度	0.64
Range	72.013%
Minimum	-32.586%
Maximum	39.427%
Count	2227

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.744%	1051	47.19%	1.767%
负向	-3.517%	1107	49.71%	-1.748%
Zero	0.000%	69	3.10%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.53%
20	1 Month	6.17%
60	1 Quarter	6.38%
250	1 Year	7.43%
750	3 Years	8.45%
1,250	5 Years	8.00%
2,500	10 Years	7.06%
5,000	20 Years	7.06%
12,500	50 Years	7.06%

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 2.52. Further, an Excess 峰度 of 13.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.81%	0	0.00%	0.00%
-7.81% to -4.09%	0	0.00%	0.00%
-4.09% to -0.37%	0	0.00%	0.00%
-0.37% to 3.35%	377	16.92%	16.92%
3.35% to 7.08%	977	43.85%	60.77%
7.08% to 10.80%	538	24.15%	84.92%
10.80% to 14.52%	186	8.35%	93.27%
14.52% to 18.24%	82	3.68%	96.95%
18.24% to 21.96%	34	1.53%	98.47%
Greater than 21.96%	34	1.53%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.11%	12.04%	79.67%	68.27%
±2σ	-2.85%	17.00%	96.27%	95.45%
±3σ	-7.81%	21.96%	98.47%	99.73%

Descriptive Statistics

均值	7.075%
Standard Error	0.105%
中位数	6.106%
Mode	0.500%
Standard Deviation	4.962%
Sample Variance	24.624%
峰度	13.63
偏度	2.52
Range	57.925%
Minimum	0.030%
Maximum	57.955%
Count	2228

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.075%	2228	100.00%	7.075%
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 0.28. Further, an Excess 峰度 of 5.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.76%	13	0.58%	0.58%
-13.76% to -10.22%	28	1.26%	1.84%
-10.22% to -6.67%	67	3.01%	4.85%
-6.67% to -3.13%	268	12.03%	16.88%
-3.13% to 0.41%	817	36.67%	53.55%
0.41% to 3.95%	658	29.53%	83.08%
3.95% to 7.49%	266	11.94%	95.02%
7.49% to 11.04%	63	2.83%	97.85%
11.04% to 14.58%	24	1.08%	98.92%
Greater than 14.58%	24	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.31%	5.13%	76.89%	68.27%
±2σ	-9.04%	9.86%	94.66%	95.45%
±3σ	-13.76%	14.58%	98.34%	99.73%

Descriptive Statistics

均值	0.410%
Standard Error	0.100%
中位数	0.153%
Mode	0.000%
Standard Deviation	4.723%
Sample Variance	22.306%
峰度	5.10
偏度	0.28
Range	62.586%
Minimum	-27.886%
Maximum	34.700%
Count	2228

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.530%	1164	52.24%	1.844%
负向	-3.219%	993	44.57%	-1.435%
Zero	0.000%	71	3.19%	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 0.88. Further, an Excess 峰度 of 3.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.26%	2	0.40%	0.40%
-33.26% to -24.93%	4	0.80%	1.20%
-24.93% to -16.60%	17	3.41%	4.62%
-16.60% to -8.27%	58	11.65%	16.27%
-8.27% to 0.06%	188	37.75%	54.02%
0.06% to 8.39%	156	31.33%	85.34%
8.39% to 16.72%	41	8.23%	93.57%
16.72% to 25.04%	15	3.01%	96.59%
25.04% to 33.37%	10	2.01%	98.59%
Greater than 33.37%	7	1.41%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.05%	11.16%	79.12%	68.27%
±2σ	-22.15%	22.27%	93.98%	95.45%
±3σ	-33.26%	33.37%	98.19%	99.73%

Descriptive Statistics

均值	0.058%
Standard Error	0.498%
中位数	-0.100%
Mode	0.000%
Standard Deviation	11.105%
Sample Variance	123.321%
峰度	3.95
偏度	0.88
Range	97.899%
Minimum	-40.323%
Maximum	57.576%
Count	498

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.946%	231	46.39%	3.686%
负向	-7.114%	254	51.00%	-3.628%
Zero	0.000%	13	2.61%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.62%
12	1 Quarter	11.53%
52	1 Year	15.06%
156	3 Years	18.48%
260	5 Years	18.11%
520	10 Years	15.02%
1,040	20 Years	15.02%
2,600	50 Years	15.02%

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 1.84. Further, an Excess 峰度 of 4.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.24%	0	0.00%	0.00%
-23.24% to -13.24%	0	0.00%	0.00%
-13.24% to -3.24%	0	0.00%	0.00%
-3.24% to 6.76%	84	16.83%	16.83%
6.76% to 16.77%	228	45.69%	62.53%
16.77% to 26.77%	109	21.84%	84.37%
26.77% to 36.77%	37	7.41%	91.78%
36.77% to 46.78%	22	4.41%	96.19%
46.78% to 56.78%	8	1.60%	97.80%
Greater than 56.78%	11	2.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.43%	30.11%	76.75%	68.27%
±2σ	-9.91%	43.44%	94.59%	95.45%
±3σ	-23.24%	56.78%	97.80%	99.73%

Descriptive Statistics

均值	16.768%
Standard Error	0.597%
中位数	14.077%
Mode	0.899%
Standard Deviation	13.337%
Sample Variance	177.886%
峰度	4.99
偏度	1.84
Range	88.920%
Minimum	0.071%
Maximum	88.991%
Count	499

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.768%	499	100.00%	16.768%
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 0.96. Further, an Excess 峰度 of 5.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.40%	1	0.20%	0.20%
-32.40% to -23.92%	7	1.40%	1.60%
-23.92% to -15.45%	23	4.61%	6.21%
-15.45% to -6.98%	40	8.02%	14.23%
-6.98% to 1.49%	214	42.89%	57.11%
1.49% to 9.96%	142	28.46%	85.57%
9.96% to 18.44%	41	8.22%	93.79%
18.44% to 26.91%	16	3.21%	96.99%
26.91% to 35.38%	10	2.00%	99.00%
Greater than 35.38%	5	1.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.80%	12.79%	77.96%	68.27%
±2σ	-21.10%	24.08%	93.99%	95.45%
±3σ	-32.39%	35.38%	98.80%	99.73%

Descriptive Statistics

均值	1.493%
Standard Error	0.506%
中位数	0.485%
Mode	0.000%
Standard Deviation	11.296%
Sample Variance	127.598%
峰度	5.35
偏度	0.96
Range	107.127%
Minimum	-35.577%
Maximum	71.550%
Count	499

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.183%	273	54.71%	4.477%
负向	-6.958%	214	42.89%	-2.984%
Zero	0.000%	12	2.40%	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 0.78. Further, an Excess 峰度 of 2.06 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -67.79%	0	0.00%	0.00%
-67.79% to -50.75%	1	0.81%	0.81%
-50.75% to -33.72%	6	4.84%	5.65%
-33.72% to -16.68%	19	15.32%	20.97%
-16.68% to 0.35%	45	36.29%	57.26%
0.35% to 17.39%	32	25.81%	83.06%
17.39% to 34.42%	11	8.87%	91.94%
34.42% to 51.45%	7	5.65%	97.58%
51.45% to 68.49%	1	0.81%	98.39%
Greater than 68.49%	2	1.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.36%	23.06%	74.19%	68.27%
±2σ	-45.08%	45.78%	95.97%	95.45%
±3σ	-67.79%	68.49%	98.39%	99.73%

Descriptive Statistics

均值	0.351%
Standard Error	2.040%
中位数	-0.167%
Mode	0.000%
Standard Deviation	22.713%
Sample Variance	515.872%
峰度	2.06
偏度	0.78
Range	140.527%
Minimum	-58.174%
Maximum	82.353%
Count	124

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.868%	59	47.58%	8.026%
负向	-15.106%	63	50.81%	-7.675%
Zero	0.000%	2	1.61%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	18.23%
12	1 Year	29.62%
36	3 Years	38.73%
60	5 Years	38.30%
120	10 Years	31.47%
240	20 Years	30.61%
600	50 Years	30.61%

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 1.97. Further, an Excess 峰度 of 7.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -64.22%	0	0.00%	0.00%
-64.22% to -38.43%	0	0.00%	0.00%
-38.43% to -12.64%	0	0.00%	0.00%
-12.64% to 13.15%	28	22.40%	22.40%
13.15% to 38.94%	43	34.40%	56.80%
38.94% to 64.73%	32	25.60%	82.40%
64.73% to 90.52%	17	13.60%	96.00%
90.52% to 116.31%	2	1.60%	97.60%
116.31% to 142.10%	1	0.80%	98.40%
Greater than 142.10%	2	1.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.56%	73.33%	72.80%	68.27%
±2σ	-29.83%	107.72%	97.60%	95.45%
±3σ	-64.22%	142.10%	98.40%	99.73%

Descriptive Statistics

均值	38.943%
Standard Error	3.076%
中位数	33.787%
Mode	0.101%
Standard Deviation	34.387%
Sample Variance	1182.456%
峰度	7.34
偏度	1.97
Range	225.238%
Minimum	0.101%
Maximum	225.339%
Count	125

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	38.943%	125	100.00%	38.943%
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 1.73. Further, an Excess 峰度 of 6.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -72.51%	0	0.00%	0.00%
-72.51% to -53.04%	0	0.00%	0.00%
-53.04% to -33.57%	3	2.40%	2.40%
-33.57% to -14.10%	19	15.20%	17.60%
-14.10% to 5.37%	57	45.60%	63.20%
5.37% to 24.84%	28	22.40%	85.60%
24.84% to 44.30%	10	8.00%	93.60%
44.30% to 63.77%	3	2.40%	96.00%
63.77% to 83.24%	3	2.40%	98.40%
Greater than 83.24%	2	1.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.59%	31.33%	80.00%	68.27%
±2σ	-46.55%	57.28%	95.20%	95.45%
±3σ	-72.51%	83.24%	98.40%	99.73%

Descriptive Statistics

均值	5.367%
Standard Error	2.322%
中位数	0.204%
Mode	0.000%
Standard Deviation	25.959%
Sample Variance	673.891%
峰度	6.29
偏度	1.73
Range	188.070%
Minimum	-46.521%
Maximum	141.549%
Count	125

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.117%	69	55.20%	11.105%
负向	-13.282%	54	43.20%	-5.738%
Zero	0.000%	2	1.60%	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 1.56. Further, an Excess 峰度 of 5.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -108.35%	0	0.00%	0.00%
-108.35% to -81.34%	0	0.00%	0.00%
-81.34% to -54.34%	2	4.76%	4.76%
-54.34% to -27.33%	4	9.52%	14.29%
-27.33% to -0.32%	14	33.33%	47.62%
-0.32% to 26.69%	18	42.86%	90.48%
26.69% to 53.70%	1	2.38%	92.86%
53.70% to 80.70%	2	4.76%	97.62%
80.70% to 107.71%	0	0.00%	97.62%
Greater than 107.71%	1	2.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-36.33%	35.69%	78.57%	68.27%
±2σ	-72.34%	71.70%	95.24%	95.45%
±3σ	-108.35%	107.71%	97.62%	99.73%

Descriptive Statistics

均值	-0.320%
Standard Error	5.556%
中位数	-0.090%
Mode	-68.910%
Standard Deviation	36.010%
Sample Variance	1296.733%
峰度	5.46
偏度	1.56
Range	211.157%
Minimum	-68.910%
Maximum	142.247%
Count	42

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.842%	21	50.00%	10.921%
负向	-22.482%	21	50.00%	-11.241%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	44.46%
12	3 Years	60.58%
20	5 Years	59.84%
40	10 Years	51.88%
80	20 Years	49.71%
200	50 Years	49.71%

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 1.20. Further, an Excess 峰度 of 1.42 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -117.64%	0	0.00%	0.00%
-117.64% to -69.32%	0	0.00%	0.00%
-69.32% to -21.00%	0	0.00%	0.00%
-21.00% to 27.32%	10	23.26%	23.26%
27.32% to 75.64%	17	39.53%	62.79%
75.64% to 123.96%	9	20.93%	83.72%
123.96% to 172.28%	3	6.98%	90.70%
172.28% to 220.60%	2	4.65%	95.35%
220.60% to 268.92%	2	4.65%	100.00%
Greater than 268.92%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.21%	140.07%	65.12%	68.27%
±2σ	-53.22%	204.49%	93.02%	95.45%
±3σ	-117.64%	268.92%	100.00%	99.73%

Descriptive Statistics

均值	75.639%
Standard Error	9.825%
中位数	69.472%
Mode	1.712%
Standard Deviation	64.427%
Sample Variance	4150.879%
峰度	1.42
偏度	1.20
Range	259.374%
Minimum	1.712%
Maximum	261.086%
Count	43

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	75.639%	43	100.00%	75.639%
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 2.36. Further, an Excess 峰度 of 7.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -130.39%	0	0.00%	0.00%
-130.39% to -94.23%	0	0.00%	0.00%
-94.23% to -58.08%	1	2.33%	2.33%
-58.08% to -21.92%	3	6.98%	9.30%
-21.92% to 14.24%	26	60.47%	69.77%
14.24% to 50.39%	7	16.28%	86.05%
50.39% to 86.55%	2	4.65%	90.70%
86.55% to 122.71%	2	4.65%	95.35%
122.71% to 158.86%	1	2.33%	97.67%
Greater than 158.86%	1	2.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.97%	62.45%	81.40%	68.27%
±2σ	-82.18%	110.65%	95.35%	95.45%
±3σ	-130.39%	158.86%	97.67%	99.73%

Descriptive Statistics

均值	14.236%
Standard Error	7.352%
中位数	1.562%
Mode	-58.966%
Standard Deviation	48.209%
Sample Variance	2324.067%
峰度	7.50
偏度	2.36
Range	277.523%
Minimum	-58.966%
Maximum	218.557%
Count	43

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.543%	25	58.14%	20.665%
负向	-15.357%	18	41.86%	-6.428%
Zero	0.000%	0	0.00%	0.000%

PRPL 深度分析报告