AEVA - Detail Report

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	5.82%	4.76%	5.31%	8.47%	7.44%	7.44%	14.11	16.37	13.10	17.64
Weekly	13.88%	12.60%	12.81%	20.03%	16.39%	16.37%	12.90	17.91	10.95	21.10
Monthly	31.24%	33.27%	25.89%	44.97%	34.12%	34.08%	10.81	21.38	7.68	30.07
Quarterly	47.67%	89.86%	46.62%	90.74%	59.09%	59.03%	8.42	27.45	4.66	49.56
Annual	—	—	—	—	118.19%	118.07%	4.66	49.56	1.43	161.58
Option Time Horizon	—	—	—	—	44.61%	44.56%	9.73	23.75	6.23	37.09

Calculation Notes: Computed at 2026-03-23T16:41 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $15.20 | Strike (K): $17.50 (first OTM call ≥ spot) | Observed Mid-Price: $1.9250 (Bid $1.7500 / Ask $2.1000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 118.19% (CRR binomial tree, American, n=20 steps) | BS IV: 119.13% (European Black-Scholes) | Yahoo IV (Annual): 118.07% → period-scaled as σ_period = σ_annual·√h | Price bands: Upper = S·e^+σ√h, Lower = S·e^−σ√h

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.87. Further, an Excess Kurtosis of 3.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -17.39%	2	0.14%	0.14%
-17.39% to -13.02%	13	0.89%	1.03%
-13.02% to -8.65%	49	3.37%	4.40%
-8.65% to -4.28%	240	16.52%	20.92%
-4.28% to 0.09%	467	32.14%	53.06%
0.09% to 4.45%	421	28.97%	82.04%
4.45% to 8.82%	162	11.15%	93.19%
8.82% to 13.19%	70	4.82%	98.00%
13.19% to 17.56%	16	1.10%	99.11%
Greater than 17.56%	13	0.89%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.74%	5.91%	74.54%	68.27%
±2σ	-11.56%	11.73%	94.98%	95.45%
±3σ	-17.39%	17.56%	98.97%	99.73%

Descriptive Statistics

Mean	0.085%
Standard Error	0.153%
Median	-0.078%
Mode	0.000%
Standard Deviation	5.824%
Sample Variance	33.922%
Kurtosis	3.97
Skewness	0.87
Range	62.516%
Minimum	-24.160%
Maximum	38.356%
Count	1453

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.538%	686	47.21%	2.143%
Negative	-4.113%	727	50.03%	-2.058%
Zero	0.000%	40	2.75%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	8.82%
20	1 Month	9.76%
60	1 Quarter	9.86%
250	1 Year	10.45%
750	3 Years	9.19%
1,250	5 Years	8.47%
2,500	10 Years	7.93%
5,000	20 Years	7.93%
12,500	50 Years	7.93%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.79. Further, an Excess Kurtosis of 7.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -6.28%	0	0.00%	0.00%
-6.28% to -2.71%	0	0.00%	0.00%
-2.71% to 0.86%	86	5.91%	5.91%
0.86% to 4.43%	152	10.45%	16.37%
4.43% to 8.00%	611	42.02%	58.39%
8.00% to 11.57%	360	24.76%	83.15%
11.57% to 15.14%	158	10.87%	94.02%
15.14% to 18.71%	47	3.23%	97.25%
18.71% to 22.27%	17	1.17%	98.42%
Greater than 22.27%	23	1.58%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.24%	12.76%	78.34%	68.27%
±2σ	-1.52%	17.52%	97.04%	95.45%
±3σ	-6.28%	22.28%	98.42%	99.73%

Descriptive Statistics

Mean	7.998%
Standard Error	0.125%
Median	7.335%
Mode	7.143%
Standard Deviation	4.759%
Sample Variance	22.652%
Kurtosis	7.75
Skewness	1.79
Range	46.881%
Minimum	0.050%
Maximum	46.931%
Count	1454

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.998%	1454	100.00%	7.998%
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 0.02. Further, an Excess Kurtosis of 1.81 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -15.43%	8	0.55%	0.55%
-15.43% to -11.45%	18	1.24%	1.79%
-11.45% to -7.47%	66	4.54%	6.33%
-7.47% to -3.48%	182	12.52%	18.84%
-3.48% to 0.50%	475	32.67%	51.51%
0.50% to 4.48%	414	28.47%	79.99%
4.48% to 8.46%	200	13.76%	93.74%
8.46% to 12.45%	64	4.40%	98.14%
12.45% to 16.43%	20	1.38%	99.52%
Greater than 16.43%	7	0.48%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.81%	5.81%	72.76%	68.27%
±2σ	-10.12%	11.12%	94.43%	95.45%
±3σ	-15.43%	16.43%	98.97%	99.73%

Descriptive Statistics

Mean	0.498%
Standard Error	0.139%
Median	0.302%
Mode	0.000%
Standard Deviation	5.310%
Sample Variance	28.199%
Kurtosis	1.81
Skewness	0.02
Range	49.378%
Minimum	-23.628%
Maximum	25.750%
Count	1454

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.205%	765	52.61%	2.212%
Negative	-3.846%	648	44.57%	-1.714%
Zero	0.000%	41	2.82%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.33. Further, an Excess Kurtosis of 4.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -41.13%	0	0.00%	0.00%
-41.13% to -30.72%	1	0.32%	0.32%
-30.72% to -20.31%	11	3.55%	3.87%
-20.31% to -9.90%	53	17.10%	20.97%
-9.90% to 0.51%	105	33.87%	54.84%
0.51% to 10.92%	90	29.03%	83.87%
10.92% to 21.33%	30	9.68%	93.55%
21.33% to 31.74%	11	3.55%	97.10%
31.74% to 42.15%	3	0.97%	98.06%
Greater than 42.15%	6	1.94%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.37%	14.39%	77.42%	68.27%
±2σ	-27.25%	28.27%	95.81%	95.45%
±3σ	-41.13%	42.15%	98.06%	99.73%

Descriptive Statistics

Mean	0.508%
Standard Error	0.788%
Median	-0.374%
Mode	-3.409%
Standard Deviation	13.881%
Sample Variance	192.680%
Kurtosis	4.46
Skewness	1.33
Range	101.712%
Minimum	-32.426%
Maximum	69.286%
Count	310

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.940%	144	46.45%	5.082%
Negative	-8.646%	164	52.90%	-4.574%
Zero	0.000%	2	0.65%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	19.33%
12	1 Quarter	21.99%
52	1 Year	25.55%
156	3 Years	21.66%
260	5 Years	20.03%
520	10 Years	18.36%
1,040	20 Years	18.36%
2,600	50 Years	18.36%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.39. Further, an Excess Kurtosis of 4.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -17.53%	0	0.00%	0.00%
-17.53% to -8.08%	0	0.00%	0.00%
-8.08% to 1.37%	15	4.82%	4.82%
1.37% to 10.82%	36	11.58%	16.40%
10.82% to 20.27%	126	40.51%	56.91%
20.27% to 29.72%	83	26.69%	83.60%
29.72% to 39.17%	30	9.65%	93.25%
39.17% to 48.62%	9	2.89%	96.14%
48.62% to 58.06%	8	2.57%	98.71%
Greater than 58.06%	4	1.29%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.67%	32.87%	76.21%	68.27%
±2σ	-4.93%	45.47%	96.14%	95.45%
±3σ	-17.53%	58.06%	98.71%	99.73%

Descriptive Statistics

Mean	20.268%
Standard Error	0.714%
Median	18.543%
Mode	2.538%
Standard Deviation	12.599%
Sample Variance	158.746%
Kurtosis	4.03
Skewness	1.39
Range	82.851%
Minimum	0.104%
Maximum	82.955%
Count	311

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	20.268%	311	100.00%	20.268%
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 0.19. Further, an Excess Kurtosis of 1.28 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -36.86%	2	0.64%	0.64%
-36.86% to -27.25%	3	0.96%	1.61%
-27.25% to -17.64%	11	3.54%	5.14%
-17.64% to -8.04%	39	12.54%	17.68%
-8.04% to 1.57%	124	39.87%	57.56%
1.57% to 11.18%	66	21.22%	78.78%
11.18% to 20.79%	44	14.15%	92.93%
20.79% to 30.39%	15	4.82%	97.75%
30.39% to 40.00%	5	1.61%	99.36%
Greater than 40.00%	2	0.64%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.24%	14.38%	73.31%	68.27%
±2σ	-24.05%	27.19%	94.53%	95.45%
±3σ	-36.86%	40.00%	98.71%	99.73%

Descriptive Statistics

Mean	1.572%
Standard Error	0.726%
Median	0.202%
Mode	0.000%
Standard Deviation	12.810%
Sample Variance	164.105%
Kurtosis	1.28
Skewness	0.19
Range	90.834%
Minimum	-41.520%
Maximum	49.314%
Count	311

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.785%	160	51.45%	5.549%
Negative	-8.356%	148	47.59%	-3.976%
Zero	0.000%	3	0.96%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.53. Further, an Excess Kurtosis of 9.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -91.71%	0	0.00%	0.00%
-91.71% to -68.28%	0	0.00%	0.00%
-68.28% to -44.85%	1	1.39%	1.39%
-44.85% to -21.42%	10	13.89%	15.28%
-21.42% to 2.02%	32	44.44%	59.72%
2.02% to 25.45%	22	30.56%	90.28%
25.45% to 48.88%	4	5.56%	95.83%
48.88% to 72.31%	0	0.00%	95.83%
72.31% to 95.74%	1	1.39%	97.22%
Greater than 95.74%	2	2.78%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-29.23%	33.26%	84.72%	68.27%
±2σ	-60.47%	64.50%	95.83%	95.45%
±3σ	-91.71%	95.74%	97.22%	99.73%

Descriptive Statistics

Mean	2.015%
Standard Error	3.682%
Median	-0.151%
Mode	-50.675%
Standard Deviation	31.242%
Sample Variance	976.059%
Kurtosis	9.75
Skewness	2.53
Range	207.637%
Minimum	-50.675%
Maximum	156.962%
Count	72

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	21.617%	35	48.61%	10.508%
Negative	-16.986%	36	50.00%	-8.493%
Zero	0.000%	1	1.39%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	48.45%
12	1 Year	63.09%
36	3 Years	51.33%
60	5 Years	44.97%
120	10 Years	41.15%
240	20 Years	41.15%
600	50 Years	41.15%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.54. Further, an Excess Kurtosis of 4.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -49.33%	0	0.00%	0.00%
-49.33% to -24.38%	0	0.00%	0.00%
-24.38% to 0.58%	0	0.00%	0.00%
0.58% to 25.53%	10	13.70%	13.70%
25.53% to 50.48%	36	49.32%	63.01%
50.48% to 75.44%	14	19.18%	82.19%
75.44% to 100.39%	9	12.33%	94.52%
100.39% to 125.34%	1	1.37%	95.89%
125.34% to 150.30%	1	1.37%	97.26%
Greater than 150.30%	2	2.74%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.21%	83.76%	72.60%	68.27%
±2σ	-16.06%	117.03%	94.52%	95.45%
±3σ	-49.33%	150.30%	97.26%	99.73%

Descriptive Statistics

Mean	50.485%
Standard Error	3.894%
Median	43.520%
Mode	2.238%
Standard Deviation	33.271%
Sample Variance	1106.933%
Kurtosis	4.01
Skewness	1.54
Range	178.318%
Minimum	2.238%
Maximum	180.556%
Count	73

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	50.485%	73	100.00%	50.485%
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 0.51. Further, an Excess Kurtosis of 1.61 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -72.40%	0	0.00%	0.00%
-72.40% to -52.98%	1	1.37%	1.37%
-52.98% to -33.57%	2	2.74%	4.11%
-33.57% to -14.15%	9	12.33%	16.44%
-14.15% to 5.26%	33	45.21%	61.64%
5.26% to 24.68%	12	16.44%	78.08%
24.68% to 44.09%	10	13.70%	91.78%
44.09% to 63.50%	4	5.48%	97.26%
63.50% to 82.92%	1	1.37%	98.63%
Greater than 82.92%	1	1.37%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.62%	31.15%	78.08%	68.27%
±2σ	-46.51%	57.03%	93.15%	95.45%
±3σ	-72.40%	82.92%	98.63%	99.73%

Descriptive Statistics

Mean	5.261%
Standard Error	3.030%
Median	0.410%
Mode	-60.920%
Standard Deviation	25.886%
Sample Variance	670.089%
Kurtosis	1.61
Skewness	0.51
Range	154.268%
Minimum	-60.920%
Maximum	93.348%
Count	73

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	23.783%	37	50.69%	12.054%
Negative	-13.776%	36	49.31%	-6.794%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.73. Further, an Excess Kurtosis of 4.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -139.25%	0	0.00%	0.00%
-139.25% to -103.49%	0	0.00%	0.00%
-103.49% to -67.73%	0	0.00%	0.00%
-67.73% to -31.98%	6	25.00%	25.00%
-31.98% to 3.78%	9	37.50%	62.50%
3.78% to 39.53%	5	20.83%	83.33%
39.53% to 75.29%	3	12.50%	95.83%
75.29% to 111.05%	0	0.00%	95.83%
111.05% to 146.80%	0	0.00%	95.83%
Greater than 146.80%	1	4.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-43.90%	51.45%	83.33%	68.27%
±2σ	-91.57%	99.13%	95.83%	95.45%
±3σ	-139.25%	146.80%	95.83%	99.73%

Descriptive Statistics

Mean	3.778%
Standard Error	9.732%
Median	-4.957%
Mode	-60.160%
Standard Deviation	47.675%
Sample Variance	2272.938%
Kurtosis	4.27
Skewness	1.73
Range	222.326%
Minimum	-60.160%
Maximum	162.166%
Count	24

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	39.784%	11	45.83%	18.234%
Negative	-26.689%	13	54.17%	-14.457%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	157.64%
12	3 Years	111.43%
20	5 Years	90.74%
40	10 Years	83.80%
80	20 Years	83.80%
200	50 Years	83.80%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.13. Further, an Excess Kurtosis of 7.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -155.99%	0	0.00%	0.00%
-155.99% to -88.60%	0	0.00%	0.00%
-88.60% to -21.21%	0	0.00%	0.00%
-21.21% to 46.18%	3	12.00%	12.00%
46.18% to 113.58%	12	48.00%	60.00%
113.58% to 180.97%	8	32.00%	92.00%
180.97% to 248.36%	1	4.00%	96.00%
248.36% to 315.75%	0	0.00%	96.00%
315.75% to 383.15%	0	0.00%	96.00%
Greater than 383.15%	1	4.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	23.72%	203.43%	80.00%	68.27%
±2σ	-66.14%	293.29%	96.00%	95.45%
±3σ	-155.99%	383.15%	96.00%	99.73%

Descriptive Statistics

Mean	113.577%
Standard Error	17.971%
Median	94.068%
Mode	3.194%
Standard Deviation	89.857%
Sample Variance	8074.286%
Kurtosis	7.19
Skewness	2.13
Range	443.285%
Minimum	3.194%
Maximum	446.479%
Count	25

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	113.577%	25	100.00%	113.577%
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 1.04. Further, an Excess Kurtosis of 1.78 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -126.33%	0	0.00%	0.00%
-126.33% to -91.36%	0	0.00%	0.00%
-91.36% to -56.40%	1	4.00%	4.00%
-56.40% to -21.43%	3	12.00%	16.00%
-21.43% to 13.54%	12	48.00%	64.00%
13.54% to 48.51%	3	12.00%	76.00%
48.51% to 83.47%	5	20.00%	96.00%
83.47% to 118.44%	0	0.00%	96.00%
118.44% to 153.41%	1	4.00%	100.00%
Greater than 153.41%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.08%	60.16%	72.00%	68.27%
±2σ	-79.71%	106.78%	96.00%	95.45%
±3σ	-126.33%	153.41%	100.00%	99.73%

Descriptive Statistics

Mean	13.538%
Standard Error	9.325%
Median	0.708%
Mode	-61.695%
Standard Deviation	46.623%
Sample Variance	2173.740%
Kurtosis	1.78
Skewness	1.04
Range	212.699%
Minimum	-61.695%
Maximum	151.004%
Count	25

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	45.732%	13	52.00%	23.781%
Negative	-21.338%	12	48.00%	-10.242%
Zero	0.000%	0	0.00%	0.000%

AEVA Deep Analytical Report