Markets Data Volatility Heatmap Portfolio Calculator

AEP Deep Analytical Report

American Electric Power Company, Inc. | Category: Equity Mega Cap | Ann. Div Yield: 2.91% ($3.74) | 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 1.31% 1.29% 1.19% 1.85% 1.37% 1.48% 127.60 131.16 125.86 132.98
Weekly 2.95% 3.23% 2.98% 4.18% 3.03% 3.27% 125.51 133.35 121.77 137.44
Monthly 5.52% 6.80% 5.58% 8.82% 6.30% 6.80% 121.47 137.78 114.05 146.74
Quarterly 8.46% 12.93% 8.52% 14.65% 10.91% 11.78% 115.99 144.29 104.00 160.93
Annual — — — — 21.83% 23.55% 104.00 160.93 83.61 200.18
Option Time Horizon — — — — 10.35% 11.16% 116.66 143.47 105.19 159.11
Calculation Notes: Computed at 2026-02-22T14:18 UTC  |  Reference Contract: Call option expiring 2026-05-15 (82 days)  |  Spot Price (S): $129.37  |  Strike (K): $130.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $5.1000 (Bid $4.7000 / Ask $5.5000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.91%  |  Binomial IV (Annual): 21.83% (CRR binomial tree, American, n=20 steps)  |  BS IV: 21.76% (European Black-Scholes)  |  Yahoo IV (Annual): 23.55% → 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 17.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.88%1090.68%0.68%
-3.88% to -2.90%1490.92%1.60%
-2.90% to -1.92%4903.04%4.63%
-1.92% to -0.94%186811.57%16.21%
-0.94% to 0.04%629238.98%55.19%
0.04% to 1.02%456928.31%83.50%
1.02% to 2.00%190111.78%95.28%
2.00% to 2.98%5093.15%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% 95.55%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%
Kurtosis17.65
Skewness0.17
Range42.627%
Minimum-22.785%
Maximum19.842%
Count16140
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.022% 7315 45.32% 0.463%
Negative -1.003% 6818 42.24% -0.424%
Zero 0.000% 2007 12.44% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.20%
20 1 Month 2.10%
60 1 Quarter 1.73%
250 1 Year 1.76%
750 3 Years 1.82%
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 256.66 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.10%00.00%0.00%
-2.10% to -1.13%00.00%0.00%
-1.13% to -0.17%00.00%0.00%
-0.17% to 0.80%13568.40%8.40%
0.80% to 1.76%891555.23%63.63%
1.76% to 2.73%398724.70%88.33%
2.73% to 3.69%11767.29%95.62%
3.69% to 4.66%3372.09%97.71%
4.66% to 5.62%1631.01%98.72%
Greater than 5.62%2071.28%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.48%3.05% 90.65%68.27%
±2σ -0.81%4.33% 97.29%95.45%
±3σ -2.10%5.62% 98.73%99.73%
Descriptive Statistics
Mean1.763%
Standard Error0.010%
Median1.486%
Mode1.429%
Standard Deviation1.286%
Sample Variance1.654%
Kurtosis256.66
Skewness9.76
Range50.540%
Minimum0.174%
Maximum50.714%
Count16141
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.763% 16141 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 22.66 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%1220.76%1.39%
-2.69% to -1.80%5173.20%4.59%
-1.80% to -0.91%195612.12%16.71%
-0.91% to -0.01%443727.49%44.20%
-0.01% to 0.88%633639.25%83.45%
0.88% to 1.77%189711.75%95.20%
1.77% to 2.67%5103.16%98.36%
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% 95.82%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 Variance1.419%
Kurtosis22.66
Skewness0.66
Range38.843%
Minimum-13.066%
Maximum25.777%
Count16141
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.953% 6736 41.73% 0.398%
Negative -0.928% 7147 44.28% -0.411%
Zero 0.000% 2258 13.99% 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 11.06 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 -6.44%240.72%1.52%
-6.44% to -4.23%1063.17%4.69%
-4.23% to -2.02%38711.57%16.26%
-2.02% to 0.19%116334.76%51.02%
0.19% to 2.41%108232.34%83.35%
2.41% to 4.62%40412.07%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
Mean0.194%
Standard Error0.051%
Median0.048%
Mode0.000%
Standard Deviation2.950%
Sample Variance8.703%
Kurtosis11.06
Skewness0.25
Range58.180%
Minimum-28.751%
Maximum29.429%
Count3346
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.215% 1681 50.24% 1.113%
Negative -2.098% 1466 43.81% -0.919%
Zero 0.000% 199 5.95% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.86%
12 1 Quarter 3.91%
52 1 Year 4.05%
156 3 Years 4.17%
260 5 Years 4.18%
520 10 Years 4.09%
1,040 20 Years 4.13%
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 90.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.47%00.00%0.00%
-5.47% 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%196558.71%65.31%
4.22% to 6.65%78923.57%88.89%
6.65% to 9.07%2286.81%95.70%
9.07% to 11.49%742.21%97.91%
11.49% to 13.92%290.87%98.78%
Greater than 13.92%411.22%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.99%7.46% 91.60%68.27%
±2σ -2.24%10.69% 97.37%95.45%
±3σ -5.47%13.92% 98.78%99.73%
Descriptive Statistics
Mean4.225%
Standard Error0.056%
Median3.557%
Mode4.167%
Standard Deviation3.231%
Sample Variance10.440%
Kurtosis90.27
Skewness7.00
Range61.938%
Minimum0.314%
Maximum62.252%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.225% 3347 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 16.88 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%45813.68%17.45%
-2.23% to -0.00%102830.71%48.16%
-0.00% to 2.23%120335.94%84.11%
2.23% to 4.46%36810.99%95.10%
4.46% to 6.69%1053.14%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% 78.61%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%
Kurtosis16.88
Skewness1.11
Range63.168%
Minimum-22.814%
Maximum40.354%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.213% 1531 45.74% 1.012%
Negative -2.103% 1612 48.16% -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 0.10. Further, an Excess Kurtosis of 1.39 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.75%40.52%0.52%
-15.75% to -11.61%101.30%1.82%
-11.61% to -7.47%283.64%5.46%
-7.47% to -3.33%12015.60%21.07%
-3.33% to 0.81%21427.83%48.89%
0.81% to 4.95%24031.21%80.10%
4.95% to 9.09%10914.17%94.28%
9.09% to 13.23%334.29%98.57%
13.23% to 17.37%81.04%99.61%
Greater than 17.37%30.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.71%6.33% 71.13%68.27%
±2σ -10.23%11.85% 95.58%95.45%
±3σ -15.75%17.37% 99.09%99.73%
Descriptive Statistics
Mean0.807%
Standard Error0.199%
Median1.036%
Mode0.000%
Standard Deviation5.520%
Sample Variance30.474%
Kurtosis1.39
Skewness0.10
Range46.462%
Minimum-17.766%
Maximum28.696%
Count769
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.593% 430 55.92% 2.568%
Negative -4.141% 327 42.52% -1.761%
Zero 0.000% 12 1.56% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 9.21%
12 1 Year 8.13%
36 3 Years 8.67%
60 5 Years 8.82%
120 10 Years 8.73%
240 20 Years 8.55%
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 64.78 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.99%00.00%0.00%
-10.99% to -5.88%00.00%0.00%
-5.88% to -0.78%00.00%0.00%
-0.78% to 4.32%516.62%6.62%
4.32% to 9.42%43456.36%62.99%
9.42% to 14.52%20025.97%88.96%
14.52% to 19.62%516.62%95.58%
19.62% to 24.72%192.47%98.05%
24.72% to 29.82%50.65%98.70%
Greater than 29.82%101.30%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.62%16.22% 92.34%68.27%
±2σ -4.19%23.02% 97.66%95.45%
±3σ -10.99%29.82% 98.70%99.73%
Descriptive Statistics
Mean9.417%
Standard Error0.245%
Median7.850%
Mode10.526%
Standard Deviation6.801%
Sample Variance46.251%
Kurtosis64.78
Skewness6.31
Range98.667%
Minimum2.326%
Maximum100.993%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.417% 770 100.00% 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 0.40. Further, an Excess Kurtosis of 0.97 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.75%30.39%0.39%
-16.75% to -12.57%20.26%0.65%
-12.57% to -8.38%344.42%5.06%
-8.38% to -4.19%13016.88%21.95%
-4.19% to -0.01%23630.65%52.60%
-0.01% to 4.18%19124.81%77.40%
4.18% to 8.37%12616.36%93.77%
8.37% to 12.56%314.03%97.79%
12.56% to 16.74%91.17%98.96%
Greater than 16.74%81.04%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.59%5.58% 70.52%68.27%
±2σ -11.17%11.16% 95.84%95.45%
±3σ -16.75%16.74% 98.57%99.73%
Descriptive Statistics
Mean-0.005%
Standard Error0.201%
Median-0.502%
Mode0.000%
Standard Deviation5.583%
Sample Variance31.165%
Kurtosis0.97
Skewness0.40
Range41.814%
Minimum-20.270%
Maximum21.544%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.861% 344 44.67% 2.172%
Negative -4.139% 405 52.60% -2.177%
Zero 0.000% 21 2.73% 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 0.40 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 -4.01%4216.34%22.57%
-4.01% to 2.33%6726.07%48.64%
2.33% to 8.68%7529.18%77.82%
8.68% to 15.02%3915.18%93.00%
15.02% to 21.37%166.23%99.22%
21.37% to 27.71%10.39%99.61%
Greater than 27.71%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.13%10.79% 69.65%68.27%
±2σ -14.59%19.25% 96.11%95.45%
±3σ -23.05%27.72% 99.22%99.73%
Descriptive Statistics
Mean2.332%
Standard Error0.528%
Median2.694%
Mode-27.202%
Standard Deviation8.461%
Sample Variance71.588%
Kurtosis0.40
Skewness-0.19
Range55.880%
Minimum-27.202%
Maximum28.678%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.512% 159 61.87% 4.648%
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 13.26%
12 3 Years 13.89%
20 5 Years 14.65%
40 10 Years 14.45%
80 20 Years 14.74%
200 50 Years 14.94%
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 44.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -21.62%00.00%0.00%
-21.62% to -11.93%00.00%0.00%
-11.93% to -2.23%00.00%0.00%
-2.23% to 7.47%62.33%2.33%
7.47% to 17.16%16764.73%67.05%
17.16% to 26.86%6224.03%91.09%
26.86% to 36.56%145.43%96.51%
36.56% to 46.25%31.16%97.67%
46.25% 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%30.09% 93.02%68.27%
±2σ -8.69%43.02% 97.29%95.45%
±3σ -21.62%55.95% 98.06%99.73%
Descriptive Statistics
Mean17.164%
Standard Error0.805%
Median14.273%
Mode7.692%
Standard Deviation12.929%
Sample Variance167.171%
Kurtosis44.63
Skewness5.61
Range137.469%
Minimum6.173%
Maximum143.642%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.164% 258 100.00% 17.164%
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 1.81 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -25.71%00.00%0.00%
-25.71% to -19.32%10.39%0.39%
-19.32% to -12.93%72.71%3.10%
-12.93% to -6.55%4818.60%21.71%
-6.55% to -0.16%8432.56%54.26%
-0.16% 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 -8.68%8.36% 68.99%68.27%
±2σ -17.19%16.88% 95.74%95.45%
±3σ -25.71%25.39% 98.45%99.73%
Descriptive Statistics
Mean-0.159%
Standard Error0.530%
Median-1.191%
Mode0.000%
Standard Deviation8.517%
Sample Variance72.539%
Kurtosis1.81
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 -6.191% 140 54.26% -3.359%
Zero 0.000% 4 1.55% 0.000%