Markets Data Volatility Heatmap Portfolio Calculator

AEP Deep Analytical Report

American Electric Power Company, Inc. | Category: Equity Mega Cap | Ann. Div Yield: 2.98% ($3.74) | Last Updated: 2026-03-24 | Data Range: 1962-01-01 → 2026-03-01 (771 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 1.31% 1.28% 1.19% 1.85% 1.46% 1.55% 125.88 129.61 124.05 131.52
Weekly 2.95% 3.23% 2.98% 4.18% 3.22% 3.40% 123.69 131.91 119.77 136.22
Monthly 5.53% 6.80% 5.59% 8.72% 6.70% 7.08% 119.46 136.58 111.72 146.03
Quarterly 8.46% 12.93% 8.51% 14.75% 11.60% 12.27% 113.74 143.44 101.29 161.08
Annual — — — — 23.20% 24.54% 101.29 161.08 80.32 203.13
Option Time Horizon — — — — 8.76% 9.26% 117.02 139.42 107.21 152.17
Calculation Notes: Computed at 2026-03-23T16:33 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $127.73  |  Strike (K): $130.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $3.5500 (Bid $3.3000 / Ask $3.8000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.98%  |  Binomial IV (Annual): 23.20% (CRR binomial tree, American, n=20 steps)  |  BS IV: 23.48% (European Black-Scholes)  |  Yahoo IV (Annual): 24.54% → 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
2026-02-10 $0.9500
2025-11-10 $0.9500
2025-08-08 $0.9300
2025-05-09 $0.9300
2025-02-10 $0.9300
2024-11-08 $0.9300
2024-08-09 $0.8800
2024-05-09 $0.8800
2024-02-08 $0.8800
2023-11-09 $0.8800
2023-08-09 $0.8300
2023-05-09 $0.8300
2023-02-09 $0.8300
2022-11-09 $0.8300
2022-08-09 $0.7800
2022-05-09 $0.7800
2022-02-09 $0.7800
2021-11-09 $0.7800
2021-08-09 $0.7400
2021-05-07 $0.7400
2021-02-09 $0.7400
2020-11-09 $0.7400
2020-08-07 $0.7000
2020-05-07 $0.7000
2020-02-07 $0.7000
2019-11-07 $0.7000
2019-08-08 $0.6700
2019-05-09 $0.6700
2019-02-07 $0.6700
2018-11-08 $0.6700
2018-08-09 $0.6200
2018-05-09 $0.6200
2018-02-08 $0.6200
2017-11-09 $0.6200
2017-08-08 $0.5900
2017-05-08 $0.5900
2017-02-08 $0.5900
2016-11-08 $0.5900
2016-08-08 $0.5600
2016-05-06 $0.5600
2016-02-08 $0.5600
2015-11-06 $0.5600
2015-08-06 $0.5300
2015-05-06 $0.5300
2015-02-06 $0.5300
2014-11-06 $0.5300
2014-08-06 $0.5000
2014-05-07 $0.5000
2014-02-06 $0.5000
2013-11-06 $0.5000
2013-08-07 $0.4900
2013-05-08 $0.4900
2013-02-06 $0.4700
2012-11-07 $0.4700
2012-08-08 $0.4700
2012-05-08 $0.4700
2012-02-08 $0.4700
2011-11-08 $0.4700
2011-08-08 $0.4600
2011-05-06 $0.4600
2011-02-08 $0.4600
2010-11-08 $0.4600
2010-08-06 $0.4200
2010-05-06 $0.4200
2010-02-08 $0.4100
2009-11-06 $0.4100
2009-08-06 $0.4100
2009-05-06 $0.4100
2009-02-06 $0.4100
2008-11-06 $0.4100
2008-08-06 $0.4100
2008-05-07 $0.4100
2008-02-06 $0.4100
2007-11-07 $0.4100
2007-08-08 $0.3900
2007-05-08 $0.3900
2007-02-07 $0.3900
2006-11-08 $0.3900
2006-08-08 $0.3700
2006-05-08 $0.3700
2006-02-08 $0.3700
2005-11-08 $0.3700
2005-08-08 $0.3500
2005-05-06 $0.3500
2005-02-08 $0.3500
2004-11-08 $0.3500
2004-08-06 $0.3500
2004-05-06 $0.3500
2004-02-06 $0.3500
2003-11-06 $0.3500
2003-08-06 $0.3500
2003-05-07 $0.3500
2003-02-06 $0.6000
2002-11-06 $0.6000
2002-08-07 $0.6000
2002-05-08 $0.6000
2002-02-06 $0.6000
2001-11-07 $0.6000
2001-08-08 $0.6000
2001-05-08 $0.6000
2001-02-07 $0.6000
2000-11-08 $0.6000
2000-08-08 $0.6000
2000-05-08 $0.6000
2000-02-08 $0.6000
1999-11-08 $0.6000
1999-08-06 $0.6000
1999-05-06 $0.6000
1999-02-08 $0.6000
1998-11-06 $0.6000
1998-08-06 $0.6000
1998-05-06 $0.6000
1998-02-06 $0.6000
1997-11-06 $0.6000
1997-08-06 $0.6000
1997-05-07 $0.6000
1997-02-06 $0.6000
1996-11-06 $0.6000
1996-08-07 $0.6000
1996-05-08 $0.6000
1996-02-08 $0.6000
1995-11-08 $0.6000
1995-08-08 $0.6000
1995-05-04 $0.6000
1995-02-06 $0.6000
1994-11-04 $0.6000
1994-08-04 $0.6000
1994-05-04 $0.6000
1994-02-04 $0.6000
1993-11-04 $0.6000
1993-08-04 $0.6000
1993-05-04 $0.6000
1993-02-04 $0.6000
1992-11-04 $0.6000
1992-08-04 $0.6000
1992-05-04 $0.6000
1992-02-04 $0.6000
1991-11-04 $0.6000
1991-08-05 $0.6000
1991-05-06 $0.6000
1991-02-04 $0.6000
1990-11-05 $0.6000
1990-08-06 $0.6000
1990-05-04 $0.6000
1990-02-05 $0.6000
1989-08-04 $0.6000
1989-05-04 $0.5800
1989-02-06 $0.5800
1988-11-04 $0.5920
1988-08-04 $0.5920
1988-05-04 $0.5650
1988-02-04 $0.5650
1987-11-04 $0.5650
1987-08-04 $0.6450
1987-05-05 $0.5650
1987-02-04 $0.5650
1986-11-04 $0.5650
1986-08-05 $0.5650
1986-05-05 $0.5650
1986-02-04 $0.5650
1985-11-05 $0.5650
1985-08-05 $0.5650
1985-05-06 $0.5650
1985-02-05 $0.5650
1984-11-02 $0.5650
1984-08-06 $0.5650
1984-05-04 $0.5650
1984-02-06 $0.5650
1983-11-03 $0.5650
1983-08-04 $0.5650
1983-05-04 $0.5650
1983-02-04 $0.5650
1982-11-04 $0.5650
1982-08-04 $0.5650
1982-05-04 $0.5650
1982-02-04 $0.5650
1981-11-04 $0.5650
1981-08-04 $0.5650
1981-05-05 $0.5650
1981-02-04 $0.5650
1980-08-05 $0.5550
1980-05-05 $0.5550
1980-02-05 $0.5550
1979-11-02 $0.5550
1979-08-06 $0.5450
1979-05-04 $0.5450
1979-02-05 $0.5450
1978-10-31 $0.5450
1978-08-04 $0.5300
1978-05-04 $0.5300
1978-02-06 $0.5300
1977-11-03 $0.5300
1977-08-04 $0.5150
1977-05-04 $0.5150
1977-02-04 $0.5150
1976-11-04 $0.5150
1976-08-04 $0.5000
1976-05-04 $0.5000
1976-02-03 $0.5000
1975-11-03 $0.5000
1975-08-05 $0.5000
1975-05-05 $0.5000
1975-02-04 $0.5000
1974-11-04 $0.5000
1974-05-06 $0.5000
1974-02-04 $0.4750
1973-11-02 $0.4750
1973-08-06 $0.4750
1973-05-04 $0.4500
1973-02-05 $0.4500
1972-11-03 $0.4500
1972-08-04 $0.4350
1972-05-04 $0.4350
1972-02-04 $0.4450
1971-11-04 $0.4250
1971-08-04 $0.4250
1971-05-05 $0.4250
1971-02-04 $0.4250
1970-11-04 $0.4250
1970-08-04 $0.4100
1970-05-05 $0.4100
1970-02-04 $0.4100
1969-11-03 $0.0410
1969-08-05 $0.0400
1969-05-05 $0.0400
1969-02-04 $0.0400
1968-08-06 $0.0380
1968-05-06 $0.0380
1968-02-06 $0.0380
1967-11-06 $0.0380
1967-08-07 $0.0360
1967-06-14 $0.0330
1967-05-05 $0.0360
1967-02-07 $0.0360
1966-12-06 $0.0360
1966-11-04 $0.0360
1966-08-05 $0.0330
1966-05-05 $0.0330
1966-02-07 $0.0330
1965-11-05 $0.0330
1965-08-05 $0.0310
1965-05-05 $0.0310
1965-02-05 $0.0310
1964-11-06 $0.0310
1964-08-05 $0.0290
1964-05-06 $0.0290
1964-02-05 $0.0290
1963-05-07 $0.0270
1963-02-05 $0.0270
1962-11-07 $0.0270
1962-08-07 $0.0245
1962-05-07 $0.0245
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.17. Further, an Excess Kurtosis of 17.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.88%1090.67%0.67%
-3.88% to -2.90%1490.92%1.60%
-2.90% to -1.92%4923.04%4.64%
-1.92% to -0.94%187111.58%16.22%
-0.94% to 0.04%629838.97%55.19%
0.04% to 1.02%457428.30%83.49%
1.02% to 2.00%190511.79%95.28%
2.00% to 2.98%5103.16%98.43%
2.98% to 3.96%1490.92%99.36%
Greater than 3.96%1040.64%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.27%1.35% 77.88%68.27%
±2σ -2.58%2.66% 95.56%95.45%
±3σ -3.89%3.96% 98.68%99.73%
Descriptive Statistics
Mean0.039%
Standard Error0.010%
Median0.000%
Mode0.000%
Standard Deviation1.308%
Sample Variance1.711%
Kurtosis17.63
Skewness0.17
Range42.627%
Minimum-22.785%
Maximum19.842%
Count16161
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.022% 7325 45.33% 0.463%
Negative -1.003% 6829 42.26% -0.424%
Zero 0.000% 2007 12.42% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.34%
20 1 Month 1.91%
60 1 Quarter 1.86%
250 1 Year 1.75%
750 3 Years 1.80%
1,250 5 Years 1.85%
2,500 10 Years 1.81%
5,000 20 Years 1.84%
12,500 50 Years 1.81%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 9.76. Further, an Excess Kurtosis of 256.78 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.09%00.00%0.00%
-2.09% to -1.13%00.00%0.00%
-1.13% to -0.16%00.00%0.00%
-0.16% to 0.80%13628.43%8.43%
0.80% to 1.76%891955.19%63.61%
1.76% to 2.73%398424.65%88.26%
2.73% to 3.69%11887.35%95.61%
3.69% to 4.65%3392.10%97.71%
4.65% to 5.62%1621.00%98.71%
Greater than 5.62%2081.29%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.48%3.05% 90.64%68.27%
±2σ -0.81%4.33% 97.29%95.45%
±3σ -2.09%5.62% 98.71%99.73%
Descriptive Statistics
Mean1.763%
Standard Error0.010%
Median1.487%
Mode1.429%
Standard Deviation1.285%
Sample Variance1.652%
Kurtosis256.78
Skewness9.76
Range50.540%
Minimum0.174%
Maximum50.714%
Count16162
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.763% 16162 100.00% 1.763%
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 Right Skewed (Positive Asymmetry) with a Skewness factor of 0.66. Further, an Excess Kurtosis of 22.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.59%1020.63%0.63%
-3.59% to -2.69%1220.75%1.39%
-2.69% to -1.80%5183.21%4.59%
-1.80% to -0.91%195812.11%16.71%
-0.91% to -0.01%444527.50%44.21%
-0.01% to 0.88%634339.25%83.46%
0.88% to 1.77%189911.75%95.20%
1.77% to 2.67%5113.16%98.37%
2.67% to 3.56%1450.90%99.26%
Greater than 3.56%1190.74%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.20%1.18% 77.78%68.27%
±2σ -2.40%2.37% 95.83%95.45%
±3σ -3.59%3.56% 98.63%99.73%
Descriptive Statistics
Mean-0.013%
Standard Error0.009%
Median0.000%
Mode0.000%
Standard Deviation1.191%
Sample Variance1.418%
Kurtosis22.65
Skewness0.66
Range38.843%
Minimum-13.066%
Maximum25.777%
Count16162
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.953% 6746 41.74% 0.398%
Negative -0.928% 7158 44.29% -0.411%
Zero 0.000% 2258 13.97% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.25. Further, an Excess Kurtosis of 11.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.66%270.81%0.81%
-8.66% to -6.45%240.72%1.52%
-6.45% to -4.23%1073.19%4.72%
-4.23% to -2.02%38711.55%16.27%
-2.02% to 0.19%116134.66%50.93%
0.19% to 2.41%108732.45%83.37%
2.41% to 4.62%40412.06%95.43%
4.62% to 6.83%922.75%98.18%
6.83% to 9.04%330.99%99.16%
Greater than 9.04%280.84%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.76%3.14% 78.48%68.27%
±2σ -5.71%6.09% 95.61%95.45%
±3σ -8.66%9.04% 98.36%99.73%
Descriptive Statistics
Mean0.193%
Standard Error0.051%
Median0.052%
Mode0.000%
Standard Deviation2.950%
Sample Variance8.702%
Kurtosis11.05
Skewness0.25
Range58.180%
Minimum-28.751%
Maximum29.429%
Count3350
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.214% 1684 50.27% 1.113%
Negative -2.100% 1467 43.79% -0.920%
Zero 0.000% 199 5.94% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.25%
12 1 Quarter 4.29%
52 1 Year 4.03%
156 3 Years 4.15%
260 5 Years 4.18%
520 10 Years 4.10%
1,040 20 Years 4.14%
2,600 50 Years 4.10%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 7.00. Further, an Excess Kurtosis of 90.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.46%00.00%0.00%
-5.46% to -3.04%00.00%0.00%
-3.04% to -0.62%00.00%0.00%
-0.62% to 1.80%2216.60%6.60%
1.80% to 4.22%196858.73%65.32%
4.22% to 6.65%78923.55%88.87%
6.65% to 9.07%2296.83%95.70%
9.07% to 11.49%742.21%97.91%
11.49% to 13.91%290.87%98.78%
Greater than 13.91%411.22%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.99%7.46% 91.58%68.27%
±2σ -2.24%10.68% 97.37%95.45%
±3σ -5.46%13.91% 98.78%99.73%
Descriptive Statistics
Mean4.225%
Standard Error0.056%
Median3.556%
Mode4.167%
Standard Deviation3.230%
Sample Variance10.432%
Kurtosis90.29
Skewness7.00
Range61.938%
Minimum0.314%
Maximum62.252%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.225% 3351 100.00% 4.225%
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 1.11. Further, an Excess Kurtosis of 16.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.93%210.63%0.63%
-8.93% to -6.70%280.84%1.46%
-6.70% to -4.46%772.30%3.76%
-4.46% to -2.23%45813.67%17.43%
-2.23% to -0.00%103130.77%48.19%
-0.00% to 2.23%120335.90%84.09%
2.23% to 4.46%36810.98%95.08%
4.46% to 6.69%1063.16%98.24%
6.69% to 8.92%310.93%99.16%
Greater than 8.92%280.84%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.98%2.97% 78.60%68.27%
±2σ -5.95%5.95% 95.73%95.45%
±3σ -8.93%8.92% 98.54%99.73%
Descriptive Statistics
Mean-0.001%
Standard Error0.051%
Median0.000%
Mode0.000%
Standard Deviation2.975%
Sample Variance8.853%
Kurtosis16.86
Skewness1.11
Range63.168%
Minimum-22.814%
Maximum40.354%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.214% 1532 45.72% 1.012%
Negative -2.102% 1615 48.20% -1.013%
Zero 0.000% 204 6.09% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.11. Further, an Excess Kurtosis of 1.38 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.78%40.52%0.52%
-15.78% to -11.63%101.30%1.82%
-11.63% to -7.49%273.51%5.32%
-7.49% to -3.34%12115.71%21.04%
-3.34% to 0.81%21527.92%48.96%
0.81% to 4.95%24031.17%80.13%
4.95% to 9.10%10914.16%94.29%
9.10% to 13.24%334.29%98.57%
13.24% to 17.39%81.04%99.61%
Greater than 17.39%30.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.72%6.33% 71.17%68.27%
±2σ -10.25%11.86% 95.45%95.45%
±3σ -15.78%17.39% 99.09%99.73%
Descriptive Statistics
Mean0.805%
Standard Error0.199%
Median1.008%
Mode0.000%
Standard Deviation5.529%
Sample Variance30.569%
Kurtosis1.38
Skewness0.11
Range46.462%
Minimum-17.766%
Maximum28.696%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.601% 430 55.84% 2.569%
Negative -4.142% 328 42.60% -1.764%
Zero 0.000% 12 1.56% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 9.46%
12 1 Year 8.22%
36 3 Years 8.67%
60 5 Years 8.72%
120 10 Years 8.72%
240 20 Years 8.56%
600 50 Years 8.63%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.31. Further, an Excess Kurtosis of 64.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.98%00.00%0.00%
-10.98% to -5.88%00.00%0.00%
-5.88% to -0.78%00.00%0.00%
-0.78% to 4.32%516.61%6.61%
4.32% to 9.42%43556.42%63.04%
9.42% to 14.52%20025.94%88.98%
14.52% to 19.61%516.61%95.59%
19.61% to 24.71%192.46%98.05%
24.71% to 29.81%50.65%98.70%
Greater than 29.81%101.30%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.62%16.21% 92.35%68.27%
±2σ -4.18%23.01% 97.67%95.45%
±3σ -10.98%29.81% 98.70%99.73%
Descriptive Statistics
Mean9.417%
Standard Error0.245%
Median7.865%
Mode10.526%
Standard Deviation6.798%
Sample Variance46.209%
Kurtosis64.81
Skewness6.31
Range98.667%
Minimum2.326%
Maximum100.993%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.417% 771 100.00% 9.417%
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 0.39. Further, an Excess Kurtosis of 0.96 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.77%30.39%0.39%
-16.77% to -12.58%20.26%0.65%
-12.58% to -8.38%344.41%5.06%
-8.38% to -4.19%13016.86%21.92%
-4.19% to -0.00%23630.61%52.53%
-0.00% to 4.19%19124.77%77.30%
4.19% to 8.38%12816.60%93.90%
8.38% to 12.57%303.89%97.80%
12.57% to 16.76%91.17%98.96%
Greater than 16.76%81.04%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.59%5.58% 70.56%68.27%
±2σ -11.18%11.17% 95.85%95.45%
±3σ -16.77%16.76% 98.57%99.73%
Descriptive Statistics
Mean-0.003%
Standard Error0.201%
Median-0.495%
Mode0.000%
Standard Deviation5.588%
Sample Variance31.226%
Kurtosis0.96
Skewness0.39
Range41.814%
Minimum-20.270%
Maximum21.544%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.861% 345 44.75% 2.175%
Negative -4.146% 405 52.53% -2.178%
Zero 0.000% 21 2.72% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.19. Further, an Excess Kurtosis of 0.41 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -23.05%10.39%0.39%
-23.05% to -16.70%31.17%1.56%
-16.70% to -10.36%124.67%6.23%
-10.36% to -4.02%4216.34%22.57%
-4.02% to 2.33%6625.68%48.25%
2.33% to 8.67%7729.96%78.21%
8.67% to 15.01%3814.79%93.00%
15.01% to 21.35%166.23%99.22%
21.35% to 27.70%10.39%99.61%
Greater than 27.70%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.13%10.78% 69.65%68.27%
±2σ -14.59%19.24% 96.11%95.45%
±3σ -23.05%27.70% 99.22%99.73%
Descriptive Statistics
Mean2.326%
Standard Error0.528%
Median2.694%
Mode-27.202%
Standard Deviation8.457%
Sample Variance71.520%
Kurtosis0.41
Skewness-0.19
Range55.880%
Minimum-27.202%
Maximum28.678%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.502% 159 61.87% 4.641%
Negative -6.135% 97 37.74% -2.316%
Zero 0.000% 1 0.39% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 13.72%
12 3 Years 14.05%
20 5 Years 14.75%
40 10 Years 14.50%
80 20 Years 14.76%
200 50 Years 14.95%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.61. Further, an Excess Kurtosis of 44.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -21.61%00.00%0.00%
-21.61% to -11.91%00.00%0.00%
-11.91% to -2.22%00.00%0.00%
-2.22% to 7.48%62.33%2.33%
7.48% to 17.17%16764.73%67.05%
17.17% to 26.87%6224.03%91.09%
26.87% to 36.56%145.43%96.51%
36.56% to 46.26%31.16%97.67%
46.26% to 55.95%10.39%98.06%
Greater than 55.95%51.94%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.24%30.10% 93.02%68.27%
±2σ -8.68%43.02% 97.29%95.45%
±3σ -21.61%55.95% 98.06%99.73%
Descriptive Statistics
Mean17.171%
Standard Error0.805%
Median14.317%
Mode7.692%
Standard Deviation12.927%
Sample Variance167.116%
Kurtosis44.65
Skewness5.61
Range137.469%
Minimum6.173%
Maximum143.642%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.171% 258 100.00% 17.171%
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 Right Skewed (Positive Asymmetry) with a Skewness factor of 0.86. Further, an Excess Kurtosis of 1.82 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -25.69%00.00%0.00%
-25.69% to -19.31%10.39%0.39%
-19.31% to -12.92%72.71%3.10%
-12.92% to -6.54%4718.22%21.32%
-6.54% to -0.15%8532.95%54.26%
-0.15% to 6.23%6826.36%80.62%
6.23% to 12.62%3413.18%93.80%
12.62% to 19.00%103.88%97.67%
19.00% to 25.39%20.78%98.45%
Greater than 25.39%41.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.67%8.36% 68.99%68.27%
±2σ -17.18%16.87% 95.74%95.45%
±3σ -25.69%25.39% 98.45%99.73%
Descriptive Statistics
Mean-0.154%
Standard Error0.530%
Median-1.191%
Mode0.000%
Standard Deviation8.513%
Sample Variance72.474%
Kurtosis1.82
Skewness0.86
Range60.223%
Minimum-20.934%
Maximum39.289%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.242% 114 44.19% 3.200%
Negative -6.182% 140 54.26% -3.355%
Zero 0.000% 4 1.55% 0.000%