Markets Data Volatility Heatmap Portfolio Calculator

AON Deep Analytical Report

Aon plc | Category: Equity Mega Cap | Ann. Div Yield: 0.89% ($2.91) | Last Updated: 2026-03-24 | Data Range: 1980-06-01 → 2026-03-01 (550 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 1.73% 1.49% 1.51% 1.97% 1.95% 2.06% 319.64 332.33 313.48 338.86
Weekly 3.87% 4.01% 3.91% 4.60% 4.28% 4.54% 312.26 340.19 299.16 355.08
Monthly 7.38% 8.63% 7.51% 10.25% 8.92% 9.45% 298.12 356.33 272.68 389.57
Quarterly 11.57% 12.96% 11.55% 17.33% 15.45% 16.36% 279.27 380.37 239.30 443.91
Annual — — — — 30.90% 32.72% 239.30 443.91 175.70 604.60
Option Time Horizon — — — — 11.66% 12.35% 290.05 366.24 258.12 411.53
Calculation Notes: Computed at 2026-03-23T16:34 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $325.92  |  Strike (K): $330.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $13.9500 (Bid $13.4000 / Ask $14.5000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.89%  |  Binomial IV (Annual): 30.90% (CRR binomial tree, American, n=20 steps)  |  BS IV: 31.06% (European Black-Scholes)  |  Yahoo IV (Annual): 32.72% → 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
2025-08-01 $0.7450
2025-05-01 $0.7450
2025-02-03 $0.6750
2024-11-01 $0.6750
2024-08-01 $0.6750
2024-04-30 $0.6750
2024-01-31 $0.6150
2023-10-31 $0.6150
2023-07-31 $0.6150
2023-04-28 $0.6150
2023-01-31 $0.5600
2022-10-31 $0.5600
2022-07-29 $0.5600
2022-04-29 $0.5600
2022-01-31 $0.5100
2021-10-29 $0.5100
2021-07-30 $0.5100
2021-04-30 $0.5100
2021-01-29 $0.4600
2020-10-30 $0.4600
2020-07-31 $0.4400
2020-04-30 $0.4400
2020-01-31 $0.4400
2019-10-31 $0.4400
2019-07-31 $0.4400
2019-04-30 $0.4400
2019-01-31 $0.4000
2018-10-31 $0.4000
2018-08-09 $0.4000
2018-07-31 $0.4000
2018-04-30 $0.4000
2018-01-31 $0.3600
2017-10-31 $0.3600
2017-07-28 $0.3600
2017-04-27 $0.3600
2017-01-30 $0.3300
2016-10-28 $0.3300
2016-07-28 $0.3300
2016-04-28 $0.3300
2016-01-28 $0.3000
2015-10-29 $0.3000
2015-07-30 $0.3000
2015-04-29 $0.3000
2015-01-29 $0.2500
2014-10-30 $0.2500
2014-07-30 $0.2500
2014-04-29 $0.2500
2014-01-30 $0.1750
2013-10-30 $0.1750
2013-07-30 $0.1750
2013-04-29 $0.1750
2013-01-30 $0.1580
2012-10-31 $0.1580
2012-07-30 $0.1580
2012-04-27 $0.1580
2012-01-30 $0.1500
2011-10-28 $0.1500
2011-07-28 $0.1500
2011-04-28 $0.1500
2011-01-28 $0.1500
2010-10-28 $0.1500
2010-07-29 $0.1500
2010-04-29 $0.1500
2010-01-28 $0.1500
2009-10-29 $0.1500
2009-07-30 $0.1500
2009-04-29 $0.1500
2009-01-29 $0.1500
2008-10-30 $0.1500
2008-07-30 $0.1500
2008-04-29 $0.1500
2008-01-30 $0.1500
2007-10-30 $0.1500
2007-07-30 $0.1500
2007-04-27 $0.1500
2007-01-30 $0.1500
2006-10-30 $0.1500
2006-07-28 $0.1500
2006-04-28 $0.1500
2006-01-30 $0.1500
2005-10-28 $0.1500
2005-07-29 $0.1500
2005-04-29 $0.1500
2005-02-01 $0.1500
2004-10-29 $0.1500
2004-07-30 $0.1500
2004-04-30 $0.1500
2004-02-06 $0.1500
2003-10-31 $0.1500
2003-08-01 $0.1500
2003-04-29 $0.1500
2003-02-10 $0.1500
2002-11-06 $0.1500
2002-07-30 $0.2250
2002-04-30 $0.2250
2002-02-08 $0.2250
2001-10-30 $0.2250
2001-07-31 $0.2250
2001-05-01 $0.2250
2001-02-06 $0.2200
2000-10-31 $0.2200
2000-07-28 $0.2200
2000-04-28 $0.2200
2000-02-04 $0.2100
1999-10-29 $0.2100
1999-07-30 $0.2100
1999-04-30 $0.2067
1999-02-05 $0.1867
1998-10-30 $0.1867
1998-08-03 $0.1867
1998-05-01 $0.1867
1998-02-06 $0.1733
1997-10-31 $0.1733
1997-08-01 $0.1733
1997-04-29 $0.1733
1997-02-07 $0.1600
1996-10-15 $0.1600
1996-07-30 $0.1600
1996-04-30 $0.1600
1996-02-06 $0.1511
1995-10-31 $0.1511
1995-07-28 $0.1511
1995-04-26 $0.1511
1995-02-03 $0.1422
1994-10-26 $0.1422
1994-07-27 $0.1422
1994-04-28 $0.1422
1994-02-02 $0.1333
1993-10-27 $0.1333
1993-07-28 $0.1333
1993-04-28 $0.1333
1993-01-28 $0.1244
1992-10-28 $0.1244
1992-07-29 $0.1244
1992-04-29 $0.1244
1992-01-30 $0.1185
1991-10-30 $0.1185
1991-07-31 $0.1185
1991-05-01 $0.1185
1991-01-31 $0.1126
1990-10-31 $0.1126
1990-08-01 $0.1126
1990-05-02 $0.1126
1990-02-01 $0.1037
1989-11-01 $0.1037
1989-08-02 $0.1037
1989-05-03 $0.1037
1989-02-02 $0.0948
1988-11-02 $0.0948
1988-08-03 $0.0948
1988-04-27 $0.0948
1988-01-27 $0.0889
1984-07-26 $0.0770
1984-04-26 $0.0770
1984-02-03 $0.0741
1983-10-27 $0.0741
1983-07-28 $0.0741
1983-05-03 $0.0741
1983-01-28 $0.0741
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Left Skewed (Negative Asymmetry) with a Skewness factor of -0.71. Further, an Excess Kurtosis of 26.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.12%820.71%0.71%
-5.12% to -3.83%950.82%1.53%
-3.83% to -2.53%3202.77%4.31%
-2.53% to -1.23%126910.99%15.30%
-1.23% to 0.07%421036.47%51.77%
0.07% to 1.36%381333.03%84.80%
1.36% to 2.66%121210.50%95.30%
2.66% to 3.96%3563.08%98.39%
3.96% to 5.25%1151.00%99.38%
Greater than 5.25%710.62%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.67%1.79% 79.89%68.27%
±2σ -3.40%3.52% 95.82%95.45%
±3σ -5.12%5.25% 98.67%99.73%
Descriptive Statistics
Mean0.065%
Standard Error0.016%
Median0.000%
Mode0.000%
Standard Deviation1.730%
Sample Variance2.994%
Kurtosis26.79
Skewness-0.71
Range52.419%
Minimum-30.330%
Maximum22.089%
Count11543
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.211% 5718 49.54% 0.600%
Negative -1.185% 5217 45.20% -0.536%
Zero 0.000% 608 5.27% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.46%
20 1 Month 2.48%
60 1 Quarter 2.42%
250 1 Year 2.11%
750 3 Years 1.82%
1,250 5 Years 1.97%
2,500 10 Years 1.88%
5,000 20 Years 1.96%
12,500 50 Years 2.12%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.32. Further, an Excess Kurtosis of 40.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.45%00.00%0.00%
-2.45% to -1.33%00.00%0.00%
-1.33% to -0.21%00.00%0.00%
-0.21% to 0.91%136911.86%11.86%
0.91% to 2.03%604452.36%64.22%
2.03% to 3.15%258422.38%86.60%
3.15% to 4.27%8657.49%94.09%
4.27% to 5.39%3503.03%97.12%
5.39% to 6.51%1361.18%98.30%
Greater than 6.51%1961.70%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.53%3.52% 88.23%68.27%
±2σ -0.96%5.01% 96.41%95.45%
±3σ -2.45%6.51% 98.30%99.73%
Descriptive Statistics
Mean2.028%
Standard Error0.014%
Median1.659%
Mode1.370%
Standard Deviation1.493%
Sample Variance2.229%
Kurtosis40.04
Skewness4.32
Range31.148%
Minimum0.220%
Maximum31.368%
Count11544
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.028% 11544 100.00% 2.028%
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 0.42. Further, an Excess Kurtosis of 10.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.59%720.62%0.62%
-4.59% to -3.45%1211.05%1.67%
-3.45% to -2.32%3763.26%4.93%
-2.32% to -1.19%133611.57%16.50%
-1.19% to -0.05%361231.29%47.79%
-0.05% to 1.08%415435.98%83.78%
1.08% to 2.21%132211.45%95.23%
2.21% to 3.35%3513.04%98.27%
3.35% to 4.48%1070.93%99.19%
Greater than 4.48%930.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.56%1.46% 78.27%68.27%
±2σ -3.08%2.97% 95.29%95.45%
±3σ -4.59%4.48% 98.57%99.73%
Descriptive Statistics
Mean-0.054%
Standard Error0.014%
Median0.000%
Mode0.000%
Standard Deviation1.511%
Sample Variance2.283%
Kurtosis10.92
Skewness0.42
Range36.645%
Minimum-17.577%
Maximum19.068%
Count11544
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.091% 5179 44.86% 0.489%
Negative -1.107% 5661 49.04% -0.543%
Zero 0.000% 704 6.10% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.12. Further, an Excess Kurtosis of 6.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.28%170.71%0.71%
-11.28% to -8.38%251.05%1.76%
-8.38% to -5.49%763.18%4.94%
-5.49% to -2.59%27711.59%16.53%
-2.59% to 0.31%79333.18%49.71%
0.31% to 3.21%81934.27%83.97%
3.21% to 6.11%25510.67%94.64%
6.11% to 9.01%843.51%98.16%
9.01% to 11.91%251.05%99.21%
Greater than 11.91%190.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.55%4.18% 79.00%68.27%
±2σ -7.42%8.05% 95.19%95.45%
±3σ -11.28%11.91% 98.49%99.73%
Descriptive Statistics
Mean0.314%
Standard Error0.079%
Median0.331%
Mode0.000%
Standard Deviation3.866%
Sample Variance14.949%
Kurtosis6.85
Skewness-0.12
Range51.656%
Minimum-27.638%
Maximum24.018%
Count2390
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.777% 1283 53.68% 1.491%
Negative -2.640% 1065 44.56% -1.176%
Zero 0.000% 42 1.76% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 6.15%
12 1 Quarter 6.11%
52 1 Year 5.02%
156 3 Years 4.28%
260 5 Years 4.60%
520 10 Years 4.35%
1,040 20 Years 4.45%
2,600 50 Years 5.05%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.92. 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 -6.83%00.00%0.00%
-6.83% to -3.82%00.00%0.00%
-3.82% to -0.81%00.00%0.00%
-0.81% to 2.19%2098.74%8.74%
2.19% to 5.20%134956.42%65.16%
5.20% to 8.21%53822.50%87.66%
8.21% to 11.22%1727.19%94.86%
11.22% to 14.22%612.55%97.41%
14.22% to 17.23%220.92%98.33%
Greater than 17.23%401.67%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.19%9.21% 90.84%68.27%
±2σ -2.82%13.22% 96.82%95.45%
±3σ -6.83%17.23% 98.33%99.73%
Descriptive Statistics
Mean5.202%
Standard Error0.082%
Median4.194%
Mode5.000%
Standard Deviation4.010%
Sample Variance16.078%
Kurtosis44.63
Skewness4.92
Range63.896%
Minimum0.690%
Maximum64.586%
Count2391
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.202% 2391 100.00% 5.202%
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 1.35. Further, an Excess Kurtosis of 12.78 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.87%140.59%0.59%
-11.87% to -8.94%140.59%1.17%
-8.94% to -6.00%793.30%4.48%
-6.00% to -3.07%28611.96%16.44%
-3.07% to -0.14%84535.34%51.78%
-0.14% to 2.79%79833.38%85.15%
2.79% to 5.73%2339.74%94.90%
5.73% to 8.66%773.22%98.12%
8.66% to 11.60%210.88%99.00%
Greater than 11.60%241.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.05%3.77% 80.01%68.27%
±2σ -7.96%7.68% 95.36%95.45%
±3σ -11.87%11.60% 98.41%99.73%
Descriptive Statistics
Mean-0.138%
Standard Error0.080%
Median-0.282%
Mode0.000%
Standard Deviation3.911%
Sample Variance15.299%
Kurtosis12.78
Skewness1.35
Range58.271%
Minimum-20.797%
Maximum37.474%
Count2391
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.759% 1078 45.09% 1.244%
Negative -2.619% 1261 52.74% -1.381%
Zero 0.000% 52 2.17% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.23. Further, an Excess Kurtosis of 6.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -20.83%30.55%0.55%
-20.83% to -15.30%71.28%1.82%
-15.30% to -9.76%213.83%5.65%
-9.76% to -4.23%7213.11%18.76%
-4.23% to 1.31%16530.05%48.82%
1.31% to 6.84%18433.52%82.33%
6.84% to 12.38%7213.11%95.45%
12.38% to 17.91%183.28%98.72%
17.91% to 23.45%50.91%99.64%
Greater than 23.45%20.36%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.07%8.69% 77.23%68.27%
±2σ -13.45%16.07% 95.45%95.45%
±3σ -20.83%23.45% 99.09%99.73%
Descriptive Statistics
Mean1.306%
Standard Error0.315%
Median1.473%
Mode0.000%
Standard Deviation7.380%
Sample Variance54.471%
Kurtosis6.09
Skewness0.23
Range88.429%
Minimum-35.313%
Maximum53.116%
Count549
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.712% 326 59.38% 3.392%
Negative -5.252% 218 39.71% -2.086%
Zero 0.000% 5 0.91% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 10.94%
12 1 Year 9.99%
36 3 Years 9.75%
60 5 Years 10.25%
120 10 Years 9.61%
240 20 Years 9.49%
600 50 Years 11.05%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.07. Further, an Excess Kurtosis of 25.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -13.94%00.00%0.00%
-13.94% to -7.46%00.00%0.00%
-7.46% to -0.98%00.00%0.00%
-0.98% to 5.49%549.82%9.82%
5.49% to 11.97%30956.18%66.00%
11.97% to 18.45%12122.00%88.00%
18.45% to 24.92%376.73%94.73%
24.92% to 31.40%152.73%97.45%
31.40% to 37.88%50.91%98.36%
Greater than 37.88%91.64%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.34%20.61% 91.09%68.27%
±2σ -5.30%29.24% 96.55%95.45%
±3σ -13.94%37.88% 98.36%99.73%
Descriptive Statistics
Mean11.970%
Standard Error0.368%
Median9.957%
Mode12.500%
Standard Deviation8.635%
Sample Variance74.571%
Kurtosis25.27
Skewness4.07
Range85.747%
Minimum2.165%
Maximum87.912%
Count550
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 11.970% 550 100.00% 11.970%
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 1.31. Further, an Excess Kurtosis of 7.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -23.11%10.18%0.18%
-23.11% to -17.47%20.36%0.55%
-17.47% to -11.84%162.91%3.45%
-11.84% to -6.21%8114.73%18.18%
-6.21% to -0.57%20236.73%54.91%
-0.57% to 5.06%15728.55%83.45%
5.06% to 10.70%5910.73%94.18%
10.70% to 16.33%203.64%97.82%
16.33% to 21.96%40.73%98.55%
Greater than 21.96%81.45%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.08%6.94% 78.91%68.27%
±2σ -15.60%14.45% 96.00%95.45%
±3σ -23.11%21.96% 98.36%99.73%
Descriptive Statistics
Mean-0.572%
Standard Error0.320%
Median-1.103%
Mode0.000%
Standard Deviation7.512%
Sample Variance56.436%
Kurtosis7.55
Skewness1.31
Range87.058%
Minimum-34.884%
Maximum52.174%
Count550
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.978% 221 40.18% 2.402%
Negative -5.080% 322 58.55% -2.974%
Zero 0.000% 7 1.27% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.04. Further, an Excess Kurtosis of 0.83 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.94%10.55%0.55%
-30.94% to -22.26%31.64%2.19%
-22.26% to -13.58%84.37%6.56%
-13.58% to -4.90%2513.66%20.22%
-4.90% to 3.78%5228.42%48.63%
3.78% to 12.46%5831.69%80.33%
12.46% to 21.14%2513.66%93.99%
21.14% to 29.82%63.28%97.27%
29.82% to 38.50%52.73%100.00%
Greater than 38.50%00.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.80%15.35% 73.22%68.27%
±2σ -19.37%26.92% 94.54%95.45%
±3σ -30.94%38.50% 99.45%99.73%
Descriptive Statistics
Mean3.777%
Standard Error0.855%
Median4.068%
Mode6.479%
Standard Deviation11.573%
Sample Variance133.929%
Kurtosis0.83
Skewness0.04
Range69.232%
Minimum-32.890%
Maximum36.342%
Count183
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.661% 124 67.76% 6.546%
Negative -8.589% 59 32.24% -2.769%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 12.51%
12 3 Years 16.12%
20 5 Years 17.33%
40 10 Years 16.47%
80 20 Years 16.25%
200 50 Years 19.46%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.58. Further, an Excess Kurtosis of 8.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.04%00.00%0.00%
-17.04% to -7.31%00.00%0.00%
-7.31% to 2.41%00.00%0.00%
2.41% to 12.13%2413.04%13.04%
12.13% to 21.86%9451.09%64.13%
21.86% to 31.58%4222.83%86.96%
31.58% to 41.30%105.43%92.39%
41.30% to 51.02%63.26%95.65%
51.02% to 60.75%31.63%97.28%
Greater than 60.75%52.72%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 8.89%34.82% 85.87%68.27%
±2σ -4.07%47.78% 95.11%95.45%
±3σ -17.04%60.75% 97.28%99.73%
Descriptive Statistics
Mean21.856%
Standard Error0.956%
Median19.026%
Mode20.000%
Standard Deviation12.964%
Sample Variance168.058%
Kurtosis8.41
Skewness2.58
Range81.506%
Minimum6.406%
Maximum87.912%
Count184
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 21.856% 184 100.00% 21.856%
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 2.70 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -36.59%00.00%0.00%
-36.59% to -27.93%00.00%0.00%
-27.93% to -19.27%73.80%3.80%
-19.27% to -10.61%3116.85%20.65%
-10.61% to -1.95%6535.33%55.98%
-1.95% to 6.72%5027.17%83.15%
6.72% to 15.38%1910.33%93.48%
15.38% to 24.04%73.80%97.28%
24.04% to 32.70%31.63%98.91%
Greater than 32.70%21.09%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -13.49%9.60% 76.63%68.27%
±2σ -25.04%21.15% 94.57%95.45%
±3σ -36.59%32.70% 98.91%99.73%
Descriptive Statistics
Mean-1.945%
Standard Error0.851%
Median-3.305%
Mode-4.972%
Standard Deviation11.549%
Sample Variance133.374%
Kurtosis2.70
Skewness1.03
Range76.842%
Minimum-26.316%
Maximum50.526%
Count184
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.385% 61 33.15% 3.443%
Negative -8.061% 123 66.85% -5.389%
Zero 0.000% 0 0.00% 0.000%