PYPL 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	2.42%	1.58%	1.92%	3.33%	2.76%	2.91%	49.11	51.89	47.77	53.34
周度	5.06%	4.44%	5.14%	8.03%	6.07%	6.40%	47.51	53.64	44.71	57.00
月度	9.69%	10.05%	10.41%	17.32%	12.63%	13.32%	44.49	57.28	39.21	64.99
季度	18.35%	17.29%	21.74%	28.94%	21.88%	23.07%	40.56	62.83	32.59	78.20
Annual	—	—	—	—	43.77%	46.14%	32.59	78.20	21.04	121.14
Option Time Horizon	—	—	—	—	16.68%	17.58%	42.73	59.64	36.16	70.47

Calculation Notes: Computed at 2026-04-26T02:49 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $50.48 | Strike (K): $52.50 (first OTM call ≥ spot) | Observed Mid-价格: $2.6350 (Bid $2.5500 / Ask $2.7200) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.56% | Binomial IV (Annual): 43.77% (CRR binomial tree, American, n=20 steps) | BS IV: 44.30% (European Black-Scholes) | Yahoo IV (Annual): 46.14% → 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
2026-03-04	$0.1400
2025-11-19	$0.1400

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.56. Further, an Excess 峰度 of 9.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.22%	17	0.63%	0.63%
-7.22% to -5.40%	29	1.07%	1.69%
-5.40% to -3.59%	92	3.39%	5.08%
-3.59% to -1.77%	316	11.63%	16.71%
-1.77% to 0.04%	862	31.73%	48.44%
0.04% to 1.85%	958	35.26%	83.70%
1.85% to 3.67%	314	11.56%	95.25%
3.67% to 5.48%	84	3.09%	98.34%
5.48% to 7.30%	26	0.96%	99.30%
Greater than 7.30%	19	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.38%	2.46%	77.55%	68.27%
±2σ	-4.80%	4.88%	95.29%	95.45%
±3σ	-7.22%	7.30%	98.68%	99.73%

Descriptive Statistics

均值	0.041%
Standard Error	0.046%
中位数	0.101%
Mode	0.000%
Standard Deviation	2.419%
Sample Variance	5.852%
峰度	9.73
偏度	-0.56
Range	38.700%
Minimum	-24.590%
Maximum	14.110%
Count	2717

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.644%	1417	52.15%	0.857%
负向	-1.716%	1292	47.55%	-0.816%
Zero	0.000%	8	0.29%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.51%
20	1 Month	3.01%
60	1 Quarter	3.96%
250	1 Year	3.02%
750	3 Years	2.99%
1,250	5 Years	3.33%
2,500	10 Years	3.02%
5,000	20 Years	3.05%
12,500	50 Years	3.05%

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 7.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -1.90%	0	0.00%	0.00%
-1.90% to -0.72%	0	0.00%	0.00%
-0.72% to 0.47%	0	0.00%	0.00%
0.47% to 1.65%	562	20.68%	20.68%
1.65% to 2.83%	1097	40.36%	61.04%
2.83% to 4.02%	597	21.96%	83.00%
4.02% to 5.20%	266	9.79%	92.79%
5.20% to 6.39%	108	3.97%	96.76%
6.39% to 7.57%	46	1.69%	98.45%
Greater than 7.57%	42	1.55%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.26%	4.41%	80.02%	68.27%
±2σ	-0.32%	5.99%	95.88%	95.45%
±3σ	-1.90%	7.57%	98.45%	99.73%

Descriptive Statistics

均值	2.835%
Standard Error	0.030%
中位数	2.453%
Mode	2.039%
Standard Deviation	1.579%
Sample Variance	2.492%
峰度	7.77
偏度	2.10
Range	15.512%
Minimum	0.655%
Maximum	16.167%
Count	2718

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.835%	2718	100.00%	2.835%
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 0.11. Further, an Excess 峰度 of 2.36 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.70%	13	0.48%	0.48%
-5.70% to -4.26%	26	0.96%	1.43%
-4.26% to -2.83%	110	4.05%	5.48%
-2.83% to -1.39%	358	13.17%	18.65%
-1.39% to 0.04%	892	32.82%	51.47%
0.04% to 1.48%	814	29.95%	81.42%
1.48% to 2.92%	332	12.21%	93.64%
2.92% to 4.35%	106	3.90%	97.53%
4.35% to 5.79%	48	1.77%	99.30%
Greater than 5.79%	19	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.87%	1.96%	74.36%	68.27%
±2σ	-3.79%	3.87%	94.37%	95.45%
±3σ	-5.70%	5.79%	98.82%	99.73%

Descriptive Statistics

均值	0.044%
Standard Error	0.037%
中位数	-0.025%
Mode	-0.785%
Standard Deviation	1.915%
Sample Variance	3.666%
峰度	2.36
偏度	0.11
Range	21.721%
Minimum	-11.384%
Maximum	10.337%
Count	2718

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.482%	1339	49.26%	0.730%
负向	-1.356%	1375	50.59%	-0.686%
Zero	0.000%	4	0.15%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.64. 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 -14.99%	7	1.24%	1.24%
-14.99% to -11.19%	8	1.42%	2.66%
-11.19% to -7.40%	23	4.08%	6.74%
-7.40% to -3.60%	49	8.69%	15.43%
-3.60% to 0.19%	186	32.98%	48.40%
0.19% to 3.98%	185	32.80%	81.21%
3.98% to 7.78%	79	14.01%	95.21%
7.78% to 11.57%	21	3.72%	98.94%
11.57% to 15.36%	2	0.35%	99.29%
Greater than 15.36%	4	0.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.87%	5.25%	77.48%	68.27%
±2σ	-9.93%	10.30%	94.50%	95.45%
±3σ	-14.99%	15.36%	98.05%	99.73%

Descriptive Statistics

均值	0.188%
Standard Error	0.213%
中位数	0.338%
Mode	-1.619%
Standard Deviation	5.058%
Sample Variance	25.586%
峰度	3.74
偏度	-0.64
Range	47.742%
Minimum	-29.388%
Maximum	18.354%
Count	564

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.417%	311	55.14%	1.884%
负向	-3.795%	252	44.68%	-1.696%
Zero	0.000%	1	0.18%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	6.97%
12	1 Quarter	9.97%
52	1 Year	7.21%
156	3 Years	7.18%
260	5 Years	8.03%
520	10 Years	7.12%
1,040	20 Years	7.20%
2,600	50 Years	7.20%

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 2.55. Further, an Excess 峰度 of 12.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.91%	0	0.00%	0.00%
-5.91% to -2.58%	0	0.00%	0.00%
-2.58% to 0.75%	0	0.00%	0.00%
0.75% to 4.09%	106	18.76%	18.76%
4.09% to 7.42%	253	44.78%	63.54%
7.42% to 10.75%	115	20.35%	83.89%
10.75% to 14.08%	53	9.38%	93.27%
14.08% to 17.41%	17	3.01%	96.28%
17.41% to 20.75%	9	1.59%	97.88%
Greater than 20.75%	12	2.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.98%	11.86%	82.83%	68.27%
±2σ	-1.47%	16.30%	95.40%	95.45%
±3σ	-5.91%	20.75%	97.88%	99.73%

Descriptive Statistics

均值	7.418%
Standard Error	0.187%
中位数	6.340%
Mode	3.361%
Standard Deviation	4.443%
Sample Variance	19.737%
峰度	12.56
偏度	2.55
Range	44.269%
Minimum	1.955%
Maximum	46.224%
Count	565

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.418%	565	100.00%	7.418%
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 1.62. Further, an Excess 峰度 of 9.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.30%	0	0.00%	0.00%
-15.30% to -11.44%	5	0.88%	0.88%
-11.44% to -7.58%	15	2.65%	3.54%
-7.58% to -3.73%	82	14.51%	18.05%
-3.73% to 0.13%	222	39.29%	57.35%
0.13% to 3.99%	152	26.90%	84.25%
3.99% to 7.84%	50	8.85%	93.10%
7.84% to 11.70%	23	4.07%	97.17%
11.70% to 15.56%	11	1.95%	99.12%
Greater than 15.56%	5	0.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.01%	5.27%	76.99%	68.27%
±2σ	-10.15%	10.41%	94.51%	95.45%
±3σ	-15.30%	15.56%	99.29%	99.73%

Descriptive Statistics

均值	0.130%
Standard Error	0.216%
中位数	-0.412%
Mode	-5.094%
Standard Deviation	5.142%
Sample Variance	26.439%
峰度	9.14
偏度	1.62
Range	57.379%
Minimum	-15.076%
Maximum	42.303%
Count	565

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.117%	252	44.60%	1.836%
负向	-3.080%	313	55.40%	-1.706%
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 -0.27. Further, an Excess 峰度 of 1.32 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.38%	1	0.78%	0.78%
-28.38% to -21.11%	1	0.78%	1.55%
-21.11% to -13.85%	5	3.88%	5.43%
-13.85% to -6.58%	19	14.73%	20.16%
-6.58% to 0.69%	37	28.68%	48.84%
0.69% to 7.96%	36	27.91%	76.74%
7.96% to 15.22%	25	19.38%	96.12%
15.22% to 22.49%	2	1.55%	97.67%
22.49% to 29.76%	3	2.33%	100.00%
Greater than 29.76%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.00%	10.38%	70.54%	68.27%
±2σ	-18.69%	20.07%	94.57%	95.45%
±3σ	-28.38%	29.76%	99.22%	99.73%

Descriptive Statistics

均值	0.688%
Standard Error	0.853%
中位数	0.904%
Mode	-34.902%
Standard Deviation	9.690%
Sample Variance	93.904%
峰度	1.32
偏度	-0.27
Range	63.375%
Minimum	-34.902%
Maximum	28.473%
Count	129

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.352%	71	55.04%	4.046%
负向	-7.471%	58	44.96%	-3.359%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	19.27%
12	1 Year	14.51%
36	3 Years	15.68%
60	5 Years	17.32%
120	10 Years	15.50%
240	20 Years	15.52%
600	50 Years	15.52%

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 3.13. Further, an Excess 峰度 of 16.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.76%	0	0.00%	0.00%
-12.76% to -5.22%	0	0.00%	0.00%
-5.22% to 2.32%	0	0.00%	0.00%
2.32% to 9.86%	18	13.85%	13.85%
9.86% to 17.39%	61	46.92%	60.77%
17.39% to 24.93%	31	23.85%	84.62%
24.93% to 32.47%	12	9.23%	93.85%
32.47% to 40.00%	5	3.85%	97.69%
40.00% to 47.54%	1	0.77%	98.46%
Greater than 47.54%	2	1.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.34%	27.44%	81.54%	68.27%
±2σ	-2.71%	37.49%	96.15%	95.45%
±3σ	-12.75%	47.54%	98.46%	99.73%

Descriptive Statistics

均值	17.392%
Standard Error	0.881%
中位数	15.136%
Mode	13.779%
Standard Deviation	10.049%
Sample Variance	100.987%
峰度	16.98
偏度	3.13
Range	81.520%
Minimum	4.935%
Maximum	86.455%
Count	130

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.392%	130	100.00%	17.392%
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 1.39. Further, an Excess 峰度 of 5.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.87%	0	0.00%	0.00%
-30.87% to -23.06%	1	0.77%	0.77%
-23.06% to -15.25%	2	1.54%	2.31%
-15.25% to -7.44%	24	18.46%	20.77%
-7.44% to 0.37%	46	35.38%	56.15%
0.37% to 8.18%	34	26.15%	82.31%
8.18% to 15.99%	16	12.31%	94.62%
15.99% to 23.80%	4	3.08%	97.69%
23.80% to 31.61%	1	0.77%	98.46%
Greater than 31.61%	2	1.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.05%	10.78%	75.38%	68.27%
±2σ	-20.46%	21.19%	93.08%	95.45%
±3σ	-30.87%	31.61%	98.46%	99.73%

Descriptive Statistics

均值	0.367%
Standard Error	0.913%
中位数	-0.885%
Mode	-24.618%
Standard Deviation	10.413%
Sample Variance	108.434%
峰度	5.40
偏度	1.39
Range	78.973%
Minimum	-24.618%
Maximum	54.355%
Count	130

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.721%	58	44.62%	3.891%
负向	-6.363%	72	55.38%	-3.524%
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 0.03. Further, an Excess 峰度 of 2.15 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -52.70%	0	0.00%	0.00%
-52.70% to -38.94%	1	2.33%	2.33%
-38.94% to -25.18%	3	6.98%	9.30%
-25.18% to -11.41%	3	6.98%	16.28%
-11.41% to 2.35%	15	34.88%	51.16%
2.35% to 16.11%	12	27.91%	79.07%
16.11% to 29.87%	8	18.60%	97.67%
29.87% to 43.63%	0	0.00%	97.67%
43.63% to 57.39%	0	0.00%	97.67%
Greater than 57.39%	1	2.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.00%	20.69%	76.74%	68.27%
±2σ	-34.35%	39.04%	95.35%	95.45%
±3σ	-52.70%	57.39%	97.67%	99.73%

Descriptive Statistics

均值	2.345%
Standard Error	2.798%
中位数	0.742%
Mode	-48.860%
Standard Deviation	18.347%
Sample Variance	336.615%
峰度	2.15
偏度	0.03
Range	108.267%
Minimum	-48.860%
Maximum	59.407%
Count	43

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.615%	23	53.49%	7.817%
负向	-11.765%	20	46.51%	-5.472%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	24.43%
12	3 Years	27.37%
20	5 Years	28.94%
40	10 Years	27.64%
80	20 Years	27.48%
200	50 Years	27.48%

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 2.77. Further, an Excess 峰度 of 10.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.86%	0	0.00%	0.00%
-18.86% to -5.90%	0	0.00%	0.00%
-5.90% to 7.07%	0	0.00%	0.00%
7.07% to 20.04%	6	13.64%	13.64%
20.04% to 33.00%	23	52.27%	65.91%
33.00% to 45.97%	9	20.45%	86.36%
45.97% to 58.94%	3	6.82%	93.18%
58.94% to 71.90%	2	4.55%	97.73%
71.90% to 84.87%	0	0.00%	97.73%
Greater than 84.87%	1	2.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	15.71%	50.29%	84.09%	68.27%
±2σ	-1.57%	67.58%	97.73%	95.45%
±3σ	-18.86%	84.87%	97.73%	99.73%

Descriptive Statistics

均值	33.004%
Standard Error	2.606%
中位数	28.172%
Mode	11.666%
Standard Deviation	17.289%
Sample Variance	298.925%
峰度	10.87
偏度	2.77
Range	102.898%
Minimum	11.666%
Maximum	114.564%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	33.004%	44	100.00%	33.004%
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 2.23. Further, an Excess 峰度 of 8.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -64.12%	0	0.00%	0.00%
-64.12% to -47.82%	0	0.00%	0.00%
-47.82% to -31.51%	1	2.27%	2.27%
-31.51% to -15.21%	7	15.91%	18.18%
-15.21% to 1.10%	17	38.64%	56.82%
1.10% to 17.41%	13	29.55%	86.36%
17.41% to 33.71%	3	6.82%	93.18%
33.71% to 50.02%	2	4.55%	97.73%
50.02% to 66.32%	0	0.00%	97.73%
Greater than 66.32%	1	2.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.64%	22.84%	84.09%	68.27%
±2σ	-42.38%	44.58%	95.45%	95.45%
±3σ	-64.12%	66.32%	97.73%	99.73%

Descriptive Statistics

均值	1.099%
Standard Error	3.278%
中位数	-1.821%
Mode	-38.874%
Standard Deviation	21.741%
Sample Variance	472.664%
峰度	8.06
偏度	2.23
Range	135.360%
Minimum	-38.874%
Maximum	96.486%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.254%	20	45.45%	7.388%
负向	-11.530%	24	54.55%	-6.289%
Zero	0.000%	0	0.00%	0.000%

PYPL 深度分析报告