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	5.83%	4.77%	5.30%	8.52%	7.45%	7.44%	11.64	13.51	10.80	14.55
Weekly	13.94%	12.68%	12.85%	20.28%	16.40%	16.37%	10.64	14.77	9.03	17.41
Monthly	31.43%	33.50%	25.90%	45.17%	34.14%	34.08%	8.91	17.64	6.34	24.82
Quarterly	47.57%	90.89%	46.27%	89.29%	59.13%	59.03%	6.94	22.65	3.84	40.92
Annual	—	—	—	—	118.27%	118.07%	3.84	40.92	1.18	133.52
Option Time Horizon	—	—	—	—	45.49%	45.41%	7.96	19.76	5.05	31.15

Calculation Notes: Computed at 2026-02-22T14:24 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $12.54 | Strike (K): $15.00 (first OTM call ≥ spot) | Observed Mid-Price: $1.4500 (Bid $1.3000 / Ask $1.6000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 118.27% (CRR binomial tree, American, n=20 steps) | BS IV: 117.98% (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 0.88. 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 -17.42%	2	0.14%	0.14%
-17.42% to -13.05%	13	0.91%	1.05%
-13.05% to -8.68%	48	3.35%	4.40%
-8.68% to -4.30%	236	16.48%	20.88%
-4.30% to 0.07%	462	32.26%	53.14%
0.07% to 4.44%	414	28.91%	82.05%
4.44% to 8.81%	160	11.17%	93.23%
8.81% to 13.19%	68	4.75%	97.97%
13.19% to 17.56%	16	1.12%	99.09%
Greater than 17.56%	13	0.91%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.76%	5.90%	74.86%	68.27%
±2σ	-11.59%	11.73%	94.90%	95.45%
±3σ	-17.42%	17.56%	98.95%	99.73%

Descriptive Statistics

Mean	0.070%
Standard Error	0.154%
Median	-0.101%
Mode	0.000%
Standard Deviation	5.830%
Sample Variance	33.984%
Kurtosis	4.03
Skewness	0.88
Range	62.516%
Minimum	-24.160%
Maximum	38.356%
Count	1432

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.531%	674	47.07%	2.133%
Negative	-4.108%	719	50.21%	-2.063%
Zero	0.000%	39	2.72%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	7.90%
20	1 Month	9.32%
60	1 Quarter	9.88%
250	1 Year	10.46%
750	3 Years	9.19%
1,250	5 Years	8.52%
2,500	10 Years	7.90%
5,000	20 Years	7.90%
12,500	50 Years	7.90%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.80. Further, an Excess Kurtosis of 7.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -6.33%	0	0.00%	0.00%
-6.33% to -2.75%	0	0.00%	0.00%
-2.75% to 0.82%	85	5.93%	5.93%
0.82% to 4.40%	147	10.26%	16.19%
4.40% to 7.97%	606	42.29%	58.48%
7.97% to 11.55%	352	24.56%	83.04%
11.55% to 15.12%	157	10.96%	94.00%
15.12% to 18.70%	47	3.28%	97.28%
18.70% to 22.28%	16	1.12%	98.39%
Greater than 22.28%	23	1.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.21%	12.74%	78.16%	68.27%
±2σ	-1.56%	17.51%	97.07%	95.45%
±3σ	-6.33%	22.28%	98.39%	99.73%

Descriptive Statistics

Mean	7.973%
Standard Error	0.126%
Median	7.298%
Mode	7.143%
Standard Deviation	4.768%
Sample Variance	22.737%
Kurtosis	7.81
Skewness	1.80
Range	46.881%
Minimum	0.050%
Maximum	46.931%
Count	1433

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.973%	1433	100.00%	7.973%
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 0.03. Further, an Excess Kurtosis of 1.86 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -15.39%	8	0.56%	0.56%
-15.39% to -11.41%	17	1.19%	1.74%
-11.41% to -7.43%	65	4.54%	6.28%
-7.43% to -3.46%	182	12.70%	18.98%
-3.46% to 0.52%	474	33.08%	52.06%
0.52% to 4.50%	400	27.91%	79.97%
4.50% to 8.48%	197	13.75%	93.72%
8.48% to 12.46%	63	4.40%	98.12%
12.46% to 16.43%	20	1.40%	99.51%
Greater than 16.43%	7	0.49%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.78%	5.83%	72.85%	68.27%
±2σ	-10.09%	11.13%	94.42%	95.45%
±3σ	-15.39%	16.44%	98.95%	99.73%

Descriptive Statistics

Mean	0.523%
Standard Error	0.140%
Median	0.303%
Mode	0.000%
Standard Deviation	5.304%
Sample Variance	28.134%
Kurtosis	1.86
Skewness	0.03
Range	49.378%
Minimum	-23.628%
Maximum	25.750%
Count	1433

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.202%	757	52.83%	2.220%
Negative	-3.823%	636	44.38%	-1.697%
Zero	0.000%	40	2.79%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.34. 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 -41.37%	0	0.00%	0.00%
-41.37% to -30.91%	1	0.33%	0.33%
-30.91% to -20.46%	10	3.27%	3.59%
-20.46% to -10.01%	53	17.32%	20.92%
-10.01% to 0.45%	103	33.66%	54.58%
0.45% to 10.90%	90	29.41%	83.99%
10.90% to 21.35%	29	9.48%	93.46%
21.35% to 31.80%	11	3.59%	97.06%
31.80% to 42.26%	3	0.98%	98.04%
Greater than 42.26%	6	1.96%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.49%	14.38%	77.45%	68.27%
±2σ	-27.43%	28.32%	95.75%	95.45%
±3σ	-41.37%	42.26%	98.04%	99.73%

Descriptive Statistics

Mean	0.446%
Standard Error	0.797%
Median	-0.406%
Mode	-3.409%
Standard Deviation	13.937%
Sample Variance	194.242%
Kurtosis	4.46
Skewness	1.34
Range	101.712%
Minimum	-32.426%
Maximum	69.286%
Count	306

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	11.006%	141	46.08%	5.071%
Negative	-8.683%	163	53.27%	-4.625%
Zero	0.000%	2	0.65%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	17.31%
12	1 Quarter	24.64%
52	1 Year	26.45%
156	3 Years	21.73%
260	5 Years	20.28%
520	10 Years	18.34%
1,040	20 Years	18.34%
2,600	50 Years	18.34%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.38. Further, an Excess Kurtosis of 3.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -17.79%	0	0.00%	0.00%
-17.79% to -8.27%	0	0.00%	0.00%
-8.27% to 1.24%	14	4.56%	4.56%
1.24% to 10.75%	38	12.38%	16.94%
10.75% to 20.26%	123	40.07%	57.00%
20.26% to 29.77%	81	26.38%	83.39%
29.77% to 39.29%	30	9.77%	93.16%
39.29% to 48.80%	9	2.93%	96.09%
48.80% to 58.31%	8	2.61%	98.70%
Greater than 58.31%	4	1.30%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.58%	32.95%	75.90%	68.27%
±2σ	-5.10%	45.63%	96.09%	95.45%
±3σ	-17.79%	58.31%	98.70%	99.73%

Descriptive Statistics

Mean	20.263%
Standard Error	0.724%
Median	18.543%
Mode	2.538%
Standard Deviation	12.683%
Sample Variance	160.856%
Kurtosis	3.94
Skewness	1.38
Range	82.851%
Minimum	0.104%
Maximum	82.955%
Count	307

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	20.263%	307	100.00%	20.263%
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 0.17. Further, an Excess Kurtosis of 1.26 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -36.90%	2	0.65%	0.65%
-36.90% to -27.26%	3	0.98%	1.63%
-27.26% to -17.62%	11	3.58%	5.21%
-17.62% to -7.98%	38	12.38%	17.59%
-7.98% to 1.66%	122	39.74%	57.33%
1.66% to 11.30%	66	21.50%	78.83%
11.30% to 20.94%	44	14.33%	93.16%
20.94% to 30.58%	15	4.89%	98.05%
30.58% to 40.22%	4	1.30%	99.35%
Greater than 40.22%	2	0.65%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.19%	14.51%	72.96%	68.27%
±2σ	-24.05%	27.36%	94.46%	95.45%
±3σ	-36.90%	40.22%	98.70%	99.73%

Descriptive Statistics

Mean	1.659%
Standard Error	0.734%
Median	0.202%
Mode	0.000%
Standard Deviation	12.853%
Sample Variance	165.204%
Kurtosis	1.26
Skewness	0.17
Range	90.834%
Minimum	-41.520%
Maximum	49.314%
Count	307

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.836%	159	51.79%	5.612%
Negative	-8.370%	145	47.23%	-3.953%
Zero	0.000%	3	0.98%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.54. Further, an Excess Kurtosis of 9.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -92.53%	0	0.00%	0.00%
-92.53% to -68.96%	0	0.00%	0.00%
-68.96% to -45.39%	1	1.41%	1.41%
-45.39% to -21.82%	10	14.08%	15.49%
-21.82% to 1.75%	33	46.48%	61.97%
1.75% to 25.32%	20	28.17%	90.14%
25.32% to 48.90%	4	5.63%	95.77%
48.90% to 72.47%	0	0.00%	95.77%
72.47% to 96.04%	1	1.41%	97.18%
Greater than 96.04%	2	2.82%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-29.67%	33.18%	84.51%	68.27%
±2σ	-61.10%	64.61%	95.77%	95.45%
±3σ	-92.53%	96.04%	97.18%	99.73%

Descriptive Statistics

Mean	1.754%
Standard Error	3.730%
Median	-0.503%
Mode	-50.675%
Standard Deviation	31.428%
Sample Variance	987.711%
Kurtosis	9.73
Skewness	2.54
Range	207.637%
Minimum	-50.675%
Maximum	156.962%
Count	71

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	22.358%	33	46.48%	10.392%
Negative	-16.576%	37	52.11%	-8.638%
Zero	0.000%	1	1.41%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	56.03%
12	1 Year	69.92%
36	3 Years	51.49%
60	5 Years	45.17%
120	10 Years	41.12%
240	20 Years	41.12%
600	50 Years	41.12%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.52. Further, an Excess Kurtosis of 3.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -49.93%	0	0.00%	0.00%
-49.93% to -24.80%	0	0.00%	0.00%
-24.80% to 0.32%	0	0.00%	0.00%
0.32% to 25.45%	10	13.89%	13.89%
25.45% to 50.57%	35	48.61%	62.50%
50.57% to 75.70%	14	19.44%	81.94%
75.70% to 100.82%	9	12.50%	94.44%
100.82% to 125.95%	1	1.39%	95.83%
125.95% to 151.07%	1	1.39%	97.22%
Greater than 151.07%	2	2.78%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.07%	84.07%	73.61%	68.27%
±2σ	-16.43%	117.57%	94.44%	95.45%
±3σ	-49.93%	151.07%	97.22%	99.73%

Descriptive Statistics

Mean	50.572%
Standard Error	3.948%
Median	43.102%
Mode	2.238%
Standard Deviation	33.500%
Sample Variance	1122.253%
Kurtosis	3.90
Skewness	1.52
Range	178.318%
Minimum	2.238%
Maximum	180.556%
Count	72

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	50.572%	72	100.00%	50.572%
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 0.48. Further, an Excess Kurtosis of 1.63 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -72.06%	0	0.00%	0.00%
-72.06% to -52.63%	1	1.39%	1.39%
-52.63% to -33.20%	2	2.78%	4.17%
-33.20% to -13.78%	8	11.11%	15.28%
-13.78% to 5.65%	33	45.83%	61.11%
5.65% to 25.08%	13	18.06%	79.17%
25.08% to 44.51%	9	12.50%	91.67%
44.51% to 63.93%	4	5.56%	97.22%
63.93% to 83.36%	1	1.39%	98.61%
Greater than 83.36%	1	1.39%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.25%	31.55%	77.78%	68.27%
±2σ	-46.15%	57.46%	93.06%	95.45%
±3σ	-72.06%	83.36%	98.61%	99.73%

Descriptive Statistics

Mean	5.652%
Standard Error	3.053%
Median	0.593%
Mode	-60.920%
Standard Deviation	25.903%
Sample Variance	670.950%
Kurtosis	1.63
Skewness	0.48
Range	154.268%
Minimum	-60.920%
Maximum	93.348%
Count	72

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	23.170%	38	52.78%	12.229%
Negative	-13.926%	34	47.22%	-6.576%
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 1.80. Further, an Excess Kurtosis of 4.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -139.81%	0	0.00%	0.00%
-139.81% to -104.14%	0	0.00%	0.00%
-104.14% to -68.46%	0	0.00%	0.00%
-68.46% to -32.78%	5	20.83%	20.83%
-32.78% to 2.90%	11	45.83%	66.67%
2.90% to 38.57%	4	16.67%	83.33%
38.57% to 74.25%	3	12.50%	95.83%
74.25% to 109.93%	0	0.00%	95.83%
109.93% to 145.61%	0	0.00%	95.83%
Greater than 145.61%	1	4.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-44.67%	50.47%	83.33%	68.27%
±2σ	-92.24%	98.04%	95.83%	95.45%
±3σ	-139.81%	145.61%	95.83%	99.73%

Descriptive Statistics

Mean	2.897%
Standard Error	9.710%
Median	-5.606%
Mode	-60.160%
Standard Deviation	47.570%
Sample Variance	2262.949%
Kurtosis	4.50
Skewness	1.80
Range	222.326%
Minimum	-60.160%
Maximum	162.166%
Count	24

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	41.828%	10	41.67%	17.428%
Negative	-24.911%	14	58.33%	-14.531%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	150.42%
12	3 Years	109.02%
20	5 Years	89.29%
40	10 Years	82.59%
80	20 Years	82.59%
200	50 Years	82.59%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.08. Further, an Excess Kurtosis of 6.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -160.39%	0	0.00%	0.00%
-160.39% to -92.22%	0	0.00%	0.00%
-92.22% to -24.06%	0	0.00%	0.00%
-24.06% to 44.11%	4	16.00%	16.00%
44.11% to 112.28%	11	44.00%	60.00%
112.28% to 180.44%	8	32.00%	92.00%
180.44% to 248.61%	1	4.00%	96.00%
248.61% to 316.77%	0	0.00%	96.00%
316.77% to 384.94%	0	0.00%	96.00%
Greater than 384.94%	1	4.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	21.39%	203.16%	80.00%	68.27%
±2σ	-69.50%	294.05%	96.00%	95.45%
±3σ	-160.39%	384.94%	96.00%	99.73%

Descriptive Statistics

Mean	112.275%
Standard Error	18.178%
Median	94.068%
Mode	3.194%
Standard Deviation	90.889%
Sample Variance	8260.878%
Kurtosis	6.89
Skewness	2.08
Range	443.285%
Minimum	3.194%
Maximum	446.479%
Count	25

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	112.275%	25	100.00%	112.275%
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 1.03. Further, an Excess Kurtosis of 1.86 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -124.55%	0	0.00%	0.00%
-124.55% to -89.85%	0	0.00%	0.00%
-89.85% to -55.15%	1	4.00%	4.00%
-55.15% to -20.45%	3	12.00%	16.00%
-20.45% to 14.25%	12	48.00%	64.00%
14.25% to 48.95%	3	12.00%	76.00%
48.95% to 83.65%	5	20.00%	96.00%
83.65% to 118.35%	0	0.00%	96.00%
118.35% to 153.05%	1	4.00%	100.00%
Greater than 153.05%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.02%	60.52%	68.00%	68.27%
±2σ	-78.28%	106.78%	96.00%	95.45%
±3σ	-124.55%	153.05%	100.00%	99.73%

Descriptive Statistics

Mean	14.250%
Standard Error	9.253%
Median	0.708%
Mode	-61.695%
Standard Deviation	46.267%
Sample Variance	2140.634%
Kurtosis	1.86
Skewness	1.03
Range	212.699%
Minimum	-61.695%
Maximum	151.004%
Count	25

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	42.499%	14	56.00%	23.799%
Negative	-21.703%	11	44.00%	-9.549%
Zero	0.000%	0	0.00%	0.000%

AEVA Deep Analytical Report