Markets Data Volatility Heatmap Portfolio Calculator

AA Deep Analytical Report

Alcoa Corporation | Category: Equity Large Cap | Ann. Div Yield: 0.67% ($0.40) | Last Updated: 2026-02-22 | Data Range: 1962-01-01 → 2026-02-01 (770 months)
Quick Overview
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 Lower
(68.27%)		 1σ Upper 2σ Lower
(95.45%)		 2σ Upper
Daily 2.36% 1.94% 1.98% 4.95% 3.88% 3.94% 58.19 62.88 55.98 65.37
Weekly 5.30% 5.12% 5.29% 11.82% 8.54% 8.68% 55.54 65.88 51.00 71.75
Monthly 10.56% 12.86% 11.73% 24.46% 17.77% 18.07% 50.64 72.25 42.40 86.31
Quarterly 18.24% 26.52% 20.61% 44.37% 30.78% 31.30% 44.46 82.29 32.68 111.96
Annual — — — — 61.56% 62.60% 32.68 111.96 17.66 207.22
Option Time Horizon — — — — 23.68% 24.08% 47.74 76.65 37.67 97.13
Calculation Notes: Computed at 2026-02-22T14:19 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $60.49  |  Strike (K): $65.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $4.0750 (Bid $3.9000 / Ask $4.2500)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.67%  |  Binomial IV (Annual): 61.56% (CRR binomial tree, American, n=20 steps)  |  BS IV: 62.13% (European Black-Scholes)  |  Yahoo IV (Annual): 62.60% → period-scaled as σperiod = σannual·√h  |  Price bands: Upper = S·e+σ√h, Lower = S·e−σ√h
Historical Dividend Payouts
Ex-Dividend Date Amount
2025-11-04 $0.1000
2025-08-12 $0.1000
2025-05-20 $0.1000
2025-03-04 $0.1000
2024-10-29 $0.1000
2024-08-12 $0.1000
2024-05-20 $0.1000
2024-03-04 $0.1000
2023-10-30 $0.1000
2023-08-07 $0.1000
2023-05-15 $0.1000
2023-03-06 $0.1000
2022-10-31 $0.1000
2022-08-08 $0.1000
2022-05-16 $0.1000
2022-03-07 $0.1000
2021-10-28 $0.1000
2016-11-02 $0.0900
2016-08-03 $0.0721
2016-05-04 $0.0721
2016-02-03 $0.0721
2015-11-04 $0.0721
2015-08-05 $0.0721
2015-05-07 $0.0721
2015-02-04 $0.0721
2014-11-05 $0.0721
2014-08-06 $0.0721
2014-05-08 $0.0721
2014-02-05 $0.0721
2013-11-06 $0.0721
2013-08-07 $0.0721
2013-05-09 $0.0721
2013-02-06 $0.0721
2012-10-31 $0.0721
2012-08-01 $0.0721
2012-05-10 $0.0721
2012-02-01 $0.0721
2011-11-02 $0.0721
2011-08-03 $0.0721
2011-05-12 $0.0721
2011-02-02 $0.0721
2010-11-03 $0.0721
2010-08-04 $0.0721
2010-05-05 $0.0721
2010-02-03 $0.0721
2009-11-04 $0.0721
2009-08-05 $0.0721
2009-05-06 $0.0721
2009-02-04 $0.4085
2008-11-05 $0.4085
2008-08-06 $0.4085
2008-04-30 $0.4085
2008-02-06 $0.4085
2007-10-31 $0.4085
2007-08-01 $0.4085
2007-05-02 $0.4085
2007-01-31 $0.4085
2006-12-21 $0.3604
2006-11-01 $0.3604
2006-08-02 $0.3604
2006-05-03 $0.3604
2006-02-01 $0.3604
2005-11-02 $0.3604
2005-08-03 $0.3604
2005-05-04 $0.3604
2005-02-02 $0.3604
2004-11-03 $0.3604
2004-08-04 $0.3604
2004-05-06 $0.3604
2004-02-04 $0.3604
2003-11-05 $0.3604
2003-08-06 $0.3604
2003-04-30 $0.3604
2003-02-05 $0.3604
2002-11-06 $0.3604
2002-07-31 $0.3604
2002-05-01 $0.3604
2002-02-06 $0.3604
2001-10-31 $0.3604
2001-08-01 $0.3604
2001-05-02 $0.3604
2001-01-31 $0.3604
2000-11-01 $0.3004
2000-08-02 $0.3004
2000-05-03 $0.3004
2000-02-02 $0.3004
1999-11-03 $0.2415
1999-08-04 $0.2403
1999-05-05 $0.2427
1999-02-04 $0.2427
1998-11-04 $0.1502
1998-08-05 $0.1502
1998-05-06 $0.1502
1998-02-04 $0.2253
1997-11-05 $0.1502
1997-08-06 $0.1502
1997-04-30 $0.1502
1997-02-05 $0.1352
1996-10-30 $0.2001
1996-07-31 $0.1352
1996-05-01 $0.1352
1996-01-31 $0.1352
1995-11-01 $0.1352
1995-08-02 $0.1352
1995-05-01 $0.1352
1995-01-30 $0.1352
1994-10-31 $0.1202
1994-08-01 $0.1202
1994-05-02 $0.1202
1994-01-31 $0.1202
1993-11-01 $0.1202
1993-08-02 $0.1202
1993-05-03 $0.1202
1993-02-01 $0.1202
1992-11-02 $0.1202
1992-08-03 $0.1202
1992-04-27 $0.1202
1992-02-03 $0.1337
1991-10-28 $0.1202
1991-07-29 $0.1202
1991-04-29 $0.1337
1991-01-28 $0.1742
1990-10-29 $0.1202
1990-07-30 $0.2253
1990-04-30 $0.1202
1990-01-29 $0.5407
1989-10-30 $0.1202
1989-07-31 $0.1202
1989-05-01 $0.1202
1989-01-30 $0.4566
1988-10-31 $0.1051
1988-08-01 $0.1051
1988-05-02 $0.0901
1988-02-01 $0.0901
1987-11-17 $0.0511
1987-08-03 $0.0901
1987-04-27 $0.0901
1987-02-03 $0.0901
1986-11-03 $0.0901
1986-07-28 $0.0901
1986-04-28 $0.0901
1986-02-03 $0.0901
1985-10-28 $0.0901
1985-07-29 $0.0901
1985-04-29 $0.0901
1985-01-28 $0.0901
1984-10-29 $0.0901
1984-07-30 $0.0901
1984-04-30 $0.0901
1984-01-30 $0.0901
1983-10-31 $0.0901
1983-08-01 $0.0901
1983-05-02 $0.0901
1983-01-31 $0.0901
1982-10-29 $0.0901
1982-08-02 $0.1352
1982-05-03 $0.1352
1982-02-01 $0.1352
1981-10-30 $0.1352
1981-08-03 $0.1352
1981-05-04 $0.1352
1981-02-02 $0.0676
1980-10-31 $0.1202
1980-07-28 $0.1202
1980-04-28 $0.1202
1980-01-28 $0.1202
1979-10-29 $0.1051
1979-07-30 $0.1051
1979-04-30 $0.0901
1979-01-29 $0.0901
1978-10-30 $0.0751
1978-07-31 $0.0751
1978-05-01 $0.0676
1978-01-30 $0.0676
1977-10-31 $0.0676
1977-08-01 $0.0676
1977-05-02 $0.0676
1977-01-31 $0.0526
1976-11-05 $0.0526
1976-08-09 $0.0526
1976-05-10 $0.0503
1976-02-02 $0.0503
1975-11-07 $0.0503
1975-08-11 $0.0503
1975-05-12 $0.0503
1975-02-07 $0.0503
1974-11-08 $0.0503
1974-08-05 $0.0503
1974-05-06 $0.0503
1974-02-08 $0.0503
1973-11-02 $0.0486
1973-08-06 $0.0486
1973-05-07 $0.0486
1973-01-29 $0.0451
1972-11-03 $0.0451
1972-08-07 $0.0451
1972-05-08 $0.0451
1972-01-31 $0.0451
1971-11-08 $0.0451
1971-08-09 $0.0451
1971-05-10 $0.0451
1971-02-01 $0.0451
1970-11-06 $0.0451
1970-08-10 $0.0451
1970-05-11 $0.0451
1970-02-02 $0.0451
1969-11-07 $0.0451
1969-08-11 $0.0451
1969-05-12 $0.0451
1969-02-03 $0.0451
1968-11-08 $0.0451
1968-08-12 $0.0451
1968-05-13 $0.0451
1968-02-06 $0.0451
1967-11-06 $0.0451
1967-08-08 $0.0451
1967-05-09 $0.0451
1967-02-07 $0.0401
1966-11-04 $0.0401
1966-08-09 $0.0401
1966-05-10 $0.0401
1966-02-08 $0.0350
1965-11-08 $0.0350
1965-08-10 $0.0350
1965-05-10 $0.0350
1965-02-02 $0.0350
1964-11-09 $0.0300
1964-08-11 $0.0300
1964-05-12 $0.0300
1964-02-04 $0.0300
1963-11-12 $0.0300
1963-08-13 $0.0300
1963-05-14 $0.0300
1963-02-05 $0.0300
1962-11-13 $0.0300
1962-08-14 $0.0300
1962-05-15 $0.0300
1962-02-06 $0.0300
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.15. Further, an Excess Kurtosis of 8.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -7.02%1100.68%0.68%
-7.02% to -5.25%1440.89%1.57%
-5.25% to -3.48%5073.14%4.72%
-3.48% to -1.72%186611.56%16.28%
-1.72% to 0.05%586836.36%52.64%
0.05% to 1.82%494930.67%83.31%
1.82% to 3.59%182011.28%94.58%
3.59% to 5.35%5523.42%98.00%
5.35% to 7.12%1921.19%99.19%
Greater than 7.12%1300.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.31%2.41% 77.90%68.27%
±2σ -4.66%4.77% 95.05%95.45%
±3σ -7.02%7.12% 98.51%99.73%
Descriptive Statistics
Mean0.051%
Standard Error0.019%
Median0.000%
Mode0.000%
Standard Deviation2.357%
Sample Variance5.556%
Kurtosis8.61
Skewness0.15
Range52.326%
Minimum-24.107%
Maximum28.219%
Count16138
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.763% 7663 47.48% 0.837%
Negative -1.640% 7737 47.94% -0.786%
Zero 0.000% 738 4.57% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 6.02%
20 1 Month 6.28%
60 1 Quarter 4.91%
250 1 Year 4.73%
750 3 Years 4.43%
1,250 5 Years 4.95%
2,500 10 Years 4.64%
5,000 20 Years 4.10%
12,500 50 Years 3.14%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.22. Further, an Excess Kurtosis of 25.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.11%00.00%0.00%
-3.11% to -1.66%00.00%0.00%
-1.66% to -0.21%00.00%0.00%
-0.21% to 1.24%293818.20%18.20%
1.24% to 2.70%708443.89%62.10%
2.70% to 4.15%363722.54%84.63%
4.15% to 5.60%14168.77%93.41%
5.60% to 7.05%5593.46%96.87%
7.05% to 8.51%2241.39%98.26%
Greater than 8.51%2811.74%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.76%4.63% 83.52%68.27%
±2σ -1.18%6.57% 95.94%95.45%
±3σ -3.11%8.51% 98.26%99.73%
Descriptive Statistics
Mean2.697%
Standard Error0.015%
Median2.234%
Mode1.370%
Standard Deviation1.937%
Sample Variance3.750%
Kurtosis25.73
Skewness3.22
Range40.661%
Minimum0.148%
Maximum40.809%
Count16139
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.697% 16139 100.00% 2.697%
Negative 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
Open-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.50. Further, an Excess Kurtosis of 7.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.90%1020.63%0.63%
-5.90% to -4.42%1761.09%1.72%
-4.42% to -2.93%5923.67%5.39%
-2.93% to -1.44%193411.98%17.37%
-1.44% to 0.05%560434.72%52.10%
0.05% to 1.54%502031.10%83.20%
1.54% to 3.02%188011.65%94.85%
3.02% to 4.51%5363.32%98.17%
4.51% to 6.00%1731.07%99.24%
Greater than 6.00%1220.76%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.94%2.03% 76.67%68.27%
±2σ -3.92%4.02% 95.09%95.45%
±3σ -5.90%6.00% 98.61%99.73%
Descriptive Statistics
Mean0.048%
Standard Error0.016%
Median0.000%
Mode0.000%
Standard Deviation1.984%
Sample Variance3.937%
Kurtosis7.06
Skewness0.50
Range38.836%
Minimum-14.424%
Maximum24.412%
Count16139
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.492% 7757 48.06% 0.717%
Negative -1.462% 7387 45.77% -0.669%
Zero 0.000% 995 6.17% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.03. Further, an Excess Kurtosis of 4.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.66%220.66%0.66%
-15.66% to -11.68%330.99%1.64%
-11.68% to -7.70%1083.23%4.87%
-7.70% to -3.73%42512.70%17.57%
-3.73% to 0.25%112633.65%51.23%
0.25% to 4.23%101230.25%81.47%
4.23% to 8.21%43412.97%94.44%
8.21% to 12.19%1243.71%98.15%
12.19% to 16.16%371.11%99.25%
Greater than 16.16%250.75%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.05%5.56% 75.73%68.27%
±2σ -10.36%10.86% 94.83%95.45%
±3σ -15.66%16.16% 98.63%99.73%
Descriptive Statistics
Mean0.253%
Standard Error0.092%
Median0.096%
Mode0.000%
Standard Deviation5.304%
Sample Variance28.137%
Kurtosis4.11
Skewness0.03
Range73.484%
Minimum-36.708%
Maximum36.776%
Count3346
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.062% 1685 50.36% 2.046%
Negative -3.739% 1604 47.94% -1.792%
Zero 0.000% 57 1.70% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 12.34%
12 1 Quarter 12.10%
52 1 Year 11.08%
156 3 Years 10.63%
260 5 Years 11.82%
520 10 Years 11.05%
1,040 20 Years 9.75%
2,600 50 Years 7.57%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.51. Further, an Excess Kurtosis of 25.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.05%00.00%0.00%
-8.05% to -4.21%00.00%0.00%
-4.21% to -0.36%00.00%0.00%
-0.36% to 3.48%51415.36%15.36%
3.48% to 7.32%162448.52%63.88%
7.32% to 11.16%71221.27%85.15%
11.16% to 15.00%2968.84%93.99%
15.00% to 18.85%992.96%96.95%
18.85% to 22.69%431.28%98.24%
Greater than 22.69%591.76%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.20%12.44% 86.05%68.27%
±2σ -2.93%17.57% 96.09%95.45%
±3σ -8.05%22.69% 98.24%99.73%
Descriptive Statistics
Mean7.319%
Standard Error0.089%
Median6.023%
Mode4.762%
Standard Deviation5.123%
Sample Variance26.247%
Kurtosis25.43
Skewness3.51
Range79.273%
Minimum0.936%
Maximum80.209%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.319% 3347 100.00% 7.319%
Negative 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
Open-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.13. Further, an Excess Kurtosis of 9.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.75%150.45%0.45%
-15.75% to -11.79%250.75%1.20%
-11.79% to -7.82%1053.14%4.33%
-7.82% to -3.85%47514.19%18.52%
-3.85% to 0.12%110232.93%51.45%
0.12% to 4.08%105131.40%82.85%
4.08% to 8.05%40912.22%95.07%
8.05% to 12.02%972.90%97.97%
12.02% to 15.98%381.14%99.10%
Greater than 15.98%300.90%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.17%5.40% 77.47%68.27%
±2σ -10.46%10.69% 95.37%95.45%
±3σ -15.75%15.98% 98.66%99.73%
Descriptive Statistics
Mean0.115%
Standard Error0.091%
Median0.000%
Mode0.000%
Standard Deviation5.289%
Sample Variance27.978%
Kurtosis9.42
Skewness1.13
Range84.199%
Minimum-26.892%
Maximum57.307%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.931% 1639 48.97% 1.925%
Negative -3.675% 1649 49.27% -1.811%
Zero 0.000% 59 1.76% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.06. Further, an Excess Kurtosis of 3.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.62%50.65%0.65%
-30.62% to -22.70%81.04%1.69%
-22.70% to -14.78%222.86%4.55%
-14.78% to -6.86%10814.04%18.60%
-6.86% to 1.06%24932.38%50.98%
1.06% to 8.99%23730.82%81.79%
8.99% to 16.91%9412.22%94.02%
16.91% to 24.83%293.77%97.79%
24.83% to 32.75%131.69%99.48%
Greater than 32.75%40.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.50%11.63% 75.29%68.27%
±2σ -20.06%22.19% 94.93%95.45%
±3σ -30.62%32.75% 98.83%99.73%
Descriptive Statistics
Mean1.065%
Standard Error0.381%
Median0.831%
Mode0.000%
Standard Deviation10.563%
Sample Variance111.568%
Kurtosis3.34
Skewness0.06
Range109.613%
Minimum-55.588%
Maximum54.025%
Count769
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.348% 409 53.19% 4.440%
Negative -7.332% 354 46.03% -3.375%
Zero 0.000% 6 0.78% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 25.00%
12 1 Year 21.19%
36 3 Years 22.15%
60 5 Years 24.46%
120 10 Years 24.33%
240 20 Years 21.07%
600 50 Years 16.49%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.97. Further, an Excess Kurtosis of 43.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -21.20%00.00%0.00%
-21.20% to -11.55%00.00%0.00%
-11.55% to -1.90%00.00%0.00%
-1.90% to 7.74%536.88%6.88%
7.74% to 17.39%45759.35%66.23%
17.39% to 27.04%16621.56%87.79%
27.04% to 36.68%536.88%94.68%
36.68% to 46.33%162.08%96.75%
46.33% to 55.98%111.43%98.18%
Greater than 55.98%141.82%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.53%30.25% 90.65%68.27%
±2σ -8.33%43.11% 96.23%95.45%
±3σ -21.20%55.98% 98.18%99.73%
Descriptive Statistics
Mean17.390%
Standard Error0.464%
Median14.006%
Mode16.667%
Standard Deviation12.862%
Sample Variance165.427%
Kurtosis43.74
Skewness4.97
Range168.142%
Minimum3.951%
Maximum172.093%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.390% 770 100.00% 17.390%
Negative 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
Open-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.80. Further, an Excess Kurtosis of 23.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -34.75%00.00%0.00%
-34.75% to -25.95%30.39%0.39%
-25.95% to -17.16%222.86%3.25%
-17.16% to -8.37%10713.90%17.14%
-8.37% to 0.43%28436.88%54.03%
0.43% to 9.22%24231.43%85.45%
9.22% to 18.02%769.87%95.32%
18.02% to 26.81%222.86%98.18%
26.81% to 35.61%70.91%99.09%
Greater than 35.61%70.91%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.30%12.16% 79.61%68.27%
±2σ -23.02%23.88% 96.75%95.45%
±3σ -34.75%35.61% 99.09%99.73%
Descriptive Statistics
Mean0.429%
Standard Error0.423%
Median-0.586%
Mode0.000%
Standard Deviation11.726%
Sample Variance137.489%
Kurtosis23.90
Skewness2.80
Range161.768%
Minimum-34.171%
Maximum127.597%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.753% 366 47.53% 4.160%
Negative -7.256% 396 51.43% -3.732%
Zero 0.000% 8 1.04% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.77. Further, an Excess Kurtosis of 4.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -51.63%10.39%0.39%
-51.63% to -37.95%10.39%0.78%
-37.95% to -24.27%103.89%4.67%
-24.27% to -10.59%3915.18%19.84%
-10.59% to 3.10%8432.68%52.53%
3.10% to 16.78%7127.63%80.16%
16.78% to 30.46%3814.79%94.94%
30.46% to 44.14%72.72%97.67%
44.14% to 57.82%31.17%98.83%
Greater than 57.82%31.17%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -15.15%21.34% 73.54%68.27%
±2σ -33.39%39.58% 96.89%95.45%
±3σ -51.63%57.82% 98.44%99.73%
Descriptive Statistics
Mean3.096%
Standard Error1.138%
Median1.969%
Mode-12.131%
Standard Deviation18.242%
Sample Variance332.760%
Kurtosis4.10
Skewness0.77
Range169.299%
Minimum-65.743%
Maximum103.556%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.186% 142 55.25% 8.391%
Negative -11.832% 115 44.75% -5.294%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 45.55%
12 3 Years 41.54%
20 5 Years 44.37%
40 10 Years 45.32%
80 20 Years 37.90%
200 50 Years 29.07%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.05. Further, an Excess Kurtosis of 37.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -46.56%00.00%0.00%
-46.56% to -26.66%00.00%0.00%
-26.66% to -6.78%00.00%0.00%
-6.78% to 13.12%51.94%1.94%
13.12% to 33.01%17367.05%68.99%
33.01% to 52.90%5320.54%89.53%
52.90% to 72.79%124.65%94.19%
72.79% to 92.68%103.88%98.06%
92.68% to 112.57%10.39%98.45%
Greater than 112.57%41.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 6.49%59.53% 92.25%68.27%
±2σ -20.04%86.05% 96.90%95.45%
±3σ -46.56%112.57% 98.45%99.73%
Descriptive Statistics
Mean33.007%
Standard Error1.651%
Median25.872%
Mode16.667%
Standard Deviation26.521%
Sample Variance703.355%
Kurtosis37.26
Skewness5.05
Range262.931%
Minimum12.069%
Maximum275.000%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 33.007% 258 100.00% 33.007%
Negative 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
Open-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.46. Further, an Excess Kurtosis of 29.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -60.92%00.00%0.00%
-60.92% to -45.47%10.39%0.39%
-45.47% to -30.01%51.94%2.33%
-30.01% to -14.55%3714.34%16.67%
-14.55% to 0.91%10339.92%56.59%
0.91% to 16.36%7227.91%84.50%
16.36% to 31.82%2911.24%95.74%
31.82% to 47.28%62.33%98.06%
47.28% to 62.73%31.16%99.22%
Greater than 62.73%20.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -19.70%21.52% 82.17%68.27%
±2σ -40.31%42.12% 97.67%95.45%
±3σ -60.92%62.73% 99.22%99.73%
Descriptive Statistics
Mean0.905%
Standard Error1.283%
Median-1.466%
Mode-49.536%
Standard Deviation20.610%
Sample Variance424.776%
Kurtosis29.28
Skewness3.46
Range243.014%
Minimum-49.536%
Maximum193.478%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.812% 118 45.74% 7.232%
Negative -11.743% 139 53.88% -6.327%
Zero 0.000% 1 0.39% 0.000%