Markets Data Volatility Heatmap Portfolio Calculator

BAC Deep Analytical Report

Bank of America Corporation | Category: Equity Mega Cap | Ann. Div Yield: 2.29% ($1.08) | Last Updated: 2026-03-24 | Data Range: 1973-05-01 → 2026-03-01 (635 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 2.37% 2.10% 1.91% 2.41% 2.09% 2.08% 46.55 48.54 45.59 49.56
Weekly 5.42% 6.29% 5.29% 5.69% 4.60% 4.58% 45.40 49.77 43.36 52.11
Monthly 10.46% 16.83% 11.38% 12.26% 9.57% 9.53% 43.20 52.31 39.26 57.56
Quarterly 17.21% 38.92% 25.57% 22.62% 16.57% 16.50% 40.27 56.10 34.12 66.22
Annual — — — — 33.15% 33.01% 34.12 66.22 24.50 92.25
Option Time Horizon — — — — 12.51% 12.46% 41.94 53.87 37.01 61.05
Calculation Notes: Computed at 2026-03-23T16:31 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $47.53  |  Strike (K): $50.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $1.4150 (Bid $1.4000 / Ask $1.4300)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.29%  |  Binomial IV (Annual): 33.15% (CRR binomial tree, American, n=20 steps)  |  BS IV: 33.01% (European Black-Scholes)  |  Yahoo IV (Annual): 33.01% → 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
2026-03-06 $0.2800
2025-12-05 $0.2800
2025-09-05 $0.2800
2025-06-06 $0.2600
2025-03-07 $0.2600
2024-12-06 $0.2600
2024-09-06 $0.2600
2024-06-07 $0.2400
2024-02-29 $0.2400
2023-11-30 $0.2400
2023-08-31 $0.2400
2023-06-01 $0.2200
2023-03-02 $0.2200
2022-12-01 $0.2200
2022-09-01 $0.2200
2022-06-02 $0.2100
2022-03-03 $0.2100
2021-12-02 $0.2100
2021-09-02 $0.2100
2021-06-03 $0.1800
2021-03-04 $0.1800
2020-12-03 $0.1800
2020-09-03 $0.1800
2020-06-04 $0.1800
2020-03-05 $0.1800
2019-12-05 $0.1800
2019-09-05 $0.1800
2019-06-06 $0.1500
2019-02-28 $0.1500
2018-12-06 $0.1500
2018-09-06 $0.1500
2018-05-31 $0.1200
2018-03-01 $0.1200
2017-11-30 $0.1200
2017-08-30 $0.1200
2017-05-31 $0.0750
2017-03-01 $0.0750
2016-11-30 $0.0750
2016-08-31 $0.0750
2016-06-01 $0.0500
2016-03-02 $0.0500
2015-12-02 $0.0500
2015-09-02 $0.0500
2015-06-03 $0.0500
2015-03-04 $0.0500
2014-12-03 $0.0500
2014-09-03 $0.0500
2014-06-20 $0.0100
2014-03-05 $0.0100
2013-12-04 $0.0100
2013-09-04 $0.0100
2013-06-05 $0.0100
2013-02-27 $0.0100
2012-12-05 $0.0100
2012-09-05 $0.0100
2012-05-30 $0.0100
2012-02-29 $0.0100
2011-11-30 $0.0100
2011-08-31 $0.0100
2011-06-01 $0.0100
2011-03-02 $0.0100
2010-12-01 $0.0100
2010-09-01 $0.0100
2010-06-02 $0.0100
2010-03-03 $0.0100
2009-12-02 $0.0100
2009-09-02 $0.0100
2009-06-03 $0.0100
2009-03-04 $0.0100
2008-12-03 $0.3200
2008-09-03 $0.6400
2008-06-04 $0.6400
2008-03-05 $0.6400
2007-12-05 $0.6400
2007-09-05 $0.6400
2007-05-30 $0.5600
2007-02-28 $0.5600
2006-11-29 $0.5600
2006-08-30 $0.5600
2006-05-31 $0.5000
2006-03-01 $0.5000
2005-11-30 $0.5000
2005-08-31 $0.5000
2005-06-01 $0.4500
2005-03-02 $0.4500
2004-12-01 $0.4500
2004-09-01 $0.4500
2004-06-02 $0.4000
2004-03-03 $0.4000
2003-12-03 $0.4000
2003-09-03 $0.4000
2003-06-04 $0.3200
2003-03-05 $0.3200
2002-12-04 $0.3200
2002-09-04 $0.3000
2002-06-05 $0.3000
2002-02-27 $0.3000
2001-12-05 $0.3000
2001-09-05 $0.2800
2001-05-30 $0.2800
2001-02-28 $0.2800
2000-11-29 $0.2800
2000-08-30 $0.2500
2000-05-31 $0.2500
2000-03-01 $0.2500
1999-12-01 $0.2500
1999-09-01 $0.2250
1999-06-02 $0.2250
1999-03-03 $0.2250
1998-12-02 $0.2250
1998-09-02 $0.1900
1998-06-03 $0.1900
1998-03-04 $0.1900
1997-12-03 $0.1900
1997-09-03 $0.1650
1997-06-04 $0.1650
1997-03-05 $0.1650
1996-12-04 $0.1650
1996-09-04 $0.1450
1996-06-05 $0.1450
1996-02-28 $0.1450
1995-11-29 $0.1450
1995-08-30 $0.1250
1995-05-26 $0.1250
1995-02-27 $0.1250
1994-11-28 $0.1250
1994-08-29 $0.1150
1994-05-27 $0.1150
1994-02-28 $0.1150
1993-11-29 $0.1050
1993-08-30 $0.1050
1993-05-28 $0.1000
1993-03-01 $0.1000
1992-11-30 $0.1000
1992-08-31 $0.0925
1992-06-01 $0.0925
1992-03-02 $0.0925
1991-12-02 $0.0925
1991-08-30 $0.0925
1991-06-03 $0.0925
1991-03-04 $0.0925
1990-12-03 $0.0925
1990-08-31 $0.0875
1990-05-25 $0.0875
1990-02-26 $0.0875
1989-11-27 $0.0750
1989-08-28 $0.0750
1989-05-26 $0.0625
1989-02-27 $0.0625
1988-11-28 $0.0625
1988-08-29 $0.0575
1988-05-27 $0.0575
1988-02-29 $0.0575
1987-11-30 $0.0575
1987-08-31 $0.0525
1987-06-01 $0.0525
1987-03-02 $0.0525
1986-12-01 $0.0525
1986-08-29 $0.0475
1986-06-02 $0.0475
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.65. Further, an Excess Kurtosis of 25.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -7.05%920.69%0.69%
-7.05% to -5.27%1050.79%1.48%
-5.27% to -3.50%3172.38%3.86%
-3.50% to -1.72%12679.52%13.39%
-1.72% to 0.05%545140.97%54.36%
0.05% to 1.83%427432.13%86.49%
1.83% to 3.60%12609.47%95.96%
3.60% to 5.38%3252.44%98.40%
5.38% to 7.16%1110.83%99.23%
Greater than 7.16%1020.77%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.31%2.42% 82.61%68.27%
±2σ -4.68%4.79% 95.84%95.45%
±3σ -7.05%7.16% 98.54%99.73%
Descriptive Statistics
Mean0.054%
Standard Error0.021%
Median0.000%
Mode0.000%
Standard Deviation2.367%
Sample Variance5.604%
Kurtosis25.91
Skewness0.65
Range64.238%
Minimum-28.969%
Maximum35.269%
Count13304
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.637% 6135 46.11% 0.755%
Negative -1.571% 5932 44.59% -0.700%
Zero 0.000% 1237 9.30% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.22%
20 1 Month 2.95%
60 1 Quarter 2.50%
250 1 Year 2.32%
750 3 Years 2.23%
1,250 5 Years 2.41%
2,500 10 Years 2.46%
5,000 20 Years 3.02%
12,500 50 Years 2.71%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.29. Further, an Excess Kurtosis of 86.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.76%00.00%0.00%
-3.76% to -2.18%00.00%0.00%
-2.18% to -0.61%00.00%0.00%
-0.61% to 0.97%12089.08%9.08%
0.97% to 2.55%705853.05%62.13%
2.55% to 4.12%361727.19%89.31%
4.12% to 5.70%8606.46%95.78%
5.70% to 7.27%2621.97%97.75%
7.27% to 8.85%1140.86%98.60%
Greater than 8.85%1861.40%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.44%4.65% 92.28%68.27%
±2σ -1.66%6.75% 97.32%95.45%
±3σ -3.76%8.85% 98.60%99.73%
Descriptive Statistics
Mean2.546%
Standard Error0.018%
Median2.059%
Mode3.158%
Standard Deviation2.101%
Sample Variance4.415%
Kurtosis86.23
Skewness6.29
Range61.381%
Minimum0.279%
Maximum61.660%
Count13305
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.546% 13305 100.00% 2.546%
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 1.13. Further, an Excess Kurtosis of 24.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.66%880.66%0.66%
-5.66% to -4.22%1000.75%1.41%
-4.22% to -2.79%3212.41%3.83%
-2.79% to -1.36%135510.18%14.01%
-1.36% to 0.08%570142.85%56.86%
0.08% to 1.51%393229.55%86.41%
1.51% to 2.95%12229.18%95.60%
2.95% to 4.38%3532.65%98.25%
4.38% to 5.82%1331.00%99.25%
Greater than 5.82%1000.75%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.83%1.99% 81.70%68.27%
±2σ -3.75%3.91% 95.75%95.45%
±3σ -5.66%5.82% 98.59%99.73%
Descriptive Statistics
Mean0.079%
Standard Error0.017%
Median0.000%
Mode0.000%
Standard Deviation1.913%
Sample Variance3.660%
Kurtosis24.58
Skewness1.13
Range44.753%
Minimum-17.694%
Maximum27.059%
Count13305
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.423% 5871 44.13% 0.628%
Negative -1.301% 5612 42.18% -0.549%
Zero 0.000% 1822 13.69% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.84. Further, an Excess Kurtosis of 16.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.98%260.94%0.94%
-15.98% to -11.92%240.87%1.81%
-11.92% to -7.85%722.61%4.42%
-7.85% to -3.79%2719.82%14.24%
-3.79% to 0.27%101136.64%50.89%
0.27% to 4.33%97835.45%86.34%
4.33% to 8.40%2569.28%95.61%
8.40% to 12.46%722.61%98.22%
12.46% to 16.52%250.91%99.13%
Greater than 16.52%240.87%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.14%5.69% 81.41%68.27%
±2σ -10.56%11.11% 95.29%95.45%
±3σ -15.98%16.52% 98.19%99.73%
Descriptive Statistics
Mean0.272%
Standard Error0.103%
Median0.201%
Mode0.000%
Standard Deviation5.417%
Sample Variance29.348%
Kurtosis16.23
Skewness0.84
Range101.983%
Minimum-37.183%
Maximum64.800%
Count2759
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.673% 1418 51.40% 1.888%
Negative -3.553% 1255 45.49% -1.616%
Zero 0.000% 86 3.12% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 6.40%
12 1 Quarter 6.00%
52 1 Year 5.52%
156 3 Years 5.23%
260 5 Years 5.69%
520 10 Years 5.85%
1,040 20 Years 7.26%
2,600 50 Years 6.35%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.95. Further, an Excess Kurtosis of 58.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.13%00.00%0.00%
-12.13% to -7.41%00.00%0.00%
-7.41% to -2.70%00.00%0.00%
-2.70% to 2.02%923.33%3.33%
2.02% to 6.74%178964.82%68.15%
6.74% to 11.45%57920.98%89.13%
11.45% to 16.17%1796.49%95.62%
16.17% to 20.88%531.92%97.54%
20.88% to 25.60%240.87%98.41%
Greater than 25.60%441.59%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.45%13.02% 92.43%68.27%
±2σ -5.84%19.31% 96.88%95.45%
±3σ -12.13%25.60% 98.41%99.73%
Descriptive Statistics
Mean6.736%
Standard Error0.120%
Median5.154%
Mode5.000%
Standard Deviation6.288%
Sample Variance39.538%
Kurtosis58.15
Skewness5.95
Range104.990%
Minimum0.939%
Maximum105.929%
Count2760
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.736% 2760 100.00% 6.736%
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 1.34. Further, an Excess Kurtosis of 14.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.69%130.47%0.47%
-15.69% to -11.72%200.72%1.20%
-11.72% to -7.76%662.39%3.59%
-7.76% to -3.79%30010.87%14.46%
-3.79% to 0.17%111040.22%54.67%
0.17% to 4.14%87131.56%86.23%
4.14% to 8.11%2438.80%95.04%
8.11% to 12.07%772.79%97.83%
12.07% to 16.04%291.05%98.88%
Greater than 16.04%311.12%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.12%5.46% 81.88%68.27%
±2σ -10.40%10.75% 95.58%95.45%
±3σ -15.69%16.04% 98.41%99.73%
Descriptive Statistics
Mean0.173%
Standard Error0.101%
Median0.000%
Mode0.000%
Standard Deviation5.288%
Sample Variance27.958%
Kurtosis14.19
Skewness1.34
Range90.333%
Minimum-34.483%
Maximum55.850%
Count2760
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.827% 1283 46.49% 1.779%
Negative -3.230% 1372 49.71% -1.606%
Zero 0.000% 105 3.80% 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 6.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.28%60.95%0.95%
-30.28% to -22.44%60.95%1.89%
-22.44% to -14.59%172.68%4.57%
-14.59% to -6.75%7912.46%17.03%
-6.75% to 1.10%21634.07%51.10%
1.10% to 8.94%20231.86%82.97%
8.94% to 16.78%7912.46%95.43%
16.78% to 24.63%182.84%98.26%
24.63% to 32.47%60.95%99.21%
Greater than 32.47%50.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.36%11.55% 78.86%68.27%
±2σ -19.82%22.01% 95.27%95.45%
±3σ -30.28%32.47% 98.26%99.73%
Descriptive Statistics
Mean1.096%
Standard Error0.415%
Median0.964%
Mode0.000%
Standard Deviation10.459%
Sample Variance109.400%
Kurtosis6.19
Skewness0.25
Range126.400%
Minimum-53.267%
Maximum73.133%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.790% 346 54.57% 4.251%
Negative -7.194% 278 43.85% -3.154%
Zero 0.000% 10 1.58% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 11.51%
12 1 Year 11.20%
36 3 Years 11.26%
60 5 Years 12.26%
120 10 Years 13.10%
240 20 Years 16.01%
600 50 Years 14.02%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.43. Further, an Excess Kurtosis of 55.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -34.23%00.00%0.00%
-34.23% to -21.60%00.00%0.00%
-21.60% to -8.98%00.00%0.00%
-8.98% to 3.64%60.94%0.94%
3.64% to 16.27%42466.77%67.72%
16.27% to 28.89%15123.78%91.50%
28.89% to 41.52%335.20%96.69%
41.52% to 54.14%71.10%97.80%
54.14% to 66.76%40.63%98.43%
Greater than 66.76%101.57%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -0.56%33.10% 94.33%68.27%
±2σ -17.40%49.93% 97.48%95.45%
±3σ -34.23%66.76% 98.43%99.73%
Descriptive Statistics
Mean16.268%
Standard Error0.668%
Median12.770%
Mode8.333%
Standard Deviation16.832%
Sample Variance283.310%
Kurtosis55.51
Skewness6.43
Range190.657%
Minimum2.610%
Maximum193.267%
Count635
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 16.268% 635 100.00% 16.268%
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 Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.44. Further, an Excess Kurtosis of 18.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.90%10.16%0.16%
-33.90% to -25.37%40.63%0.79%
-25.37% to -16.83%91.42%2.20%
-16.83% to -8.29%9114.33%16.54%
-8.29% to 0.24%24438.43%54.96%
0.24% to 8.78%19931.34%86.30%
8.78% to 17.31%599.29%95.59%
17.31% to 25.85%121.89%97.48%
25.85% to 34.38%81.26%98.74%
Greater than 34.38%81.26%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.14%11.62% 82.68%68.27%
±2σ -22.52%23.00% 96.22%95.45%
±3σ -33.90%34.38% 98.58%99.73%
Descriptive Statistics
Mean0.241%
Standard Error0.452%
Median-0.883%
Mode0.000%
Standard Deviation11.381%
Sample Variance129.517%
Kurtosis18.40
Skewness2.44
Range158.617%
Minimum-47.067%
Maximum111.550%
Count635
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.490% 288 45.35% 3.851%
Negative -6.761% 339 53.39% -3.609%
Zero 0.000% 8 1.26% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.01. Further, an Excess Kurtosis of 3.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -48.41%31.42%1.42%
-48.41% to -35.50%00.00%1.42%
-35.50% to -22.59%83.79%5.21%
-22.59% to -9.68%2813.27%18.48%
-9.68% to 3.23%6329.86%48.34%
3.23% to 16.14%7535.55%83.89%
16.14% to 29.05%2210.43%94.31%
29.05% to 41.95%83.79%98.10%
41.95% to 54.87%10.47%98.58%
Greater than 54.87%31.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -13.99%20.44% 79.62%68.27%
±2σ -31.20%37.65% 96.21%95.45%
±3σ -48.41%54.87% 97.16%99.73%
Descriptive Statistics
Mean3.226%
Standard Error1.185%
Median3.681%
Mode0.000%
Standard Deviation17.213%
Sample Variance296.296%
Kurtosis3.55
Skewness0.01
Range137.923%
Minimum-72.156%
Maximum65.767%
Count211
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 13.419% 124 58.77% 7.886%
Negative -11.706% 84 39.81% -4.660%
Zero 0.000% 3 1.42% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 19.17%
12 3 Years 21.81%
20 5 Years 22.62%
40 10 Years 23.60%
80 20 Years 27.29%
200 50 Years 24.35%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.74. Further, an Excess Kurtosis of 55.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -84.96%00.00%0.00%
-84.96% to -55.77%00.00%0.00%
-55.77% to -26.57%00.00%0.00%
-26.57% to 2.62%00.00%0.00%
2.62% to 31.81%15372.17%72.17%
31.81% to 61.01%4420.75%92.92%
61.01% to 90.20%62.83%95.75%
90.20% to 119.39%62.83%98.58%
119.39% to 148.59%10.47%99.06%
Greater than 148.59%20.94%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.11%70.74% 93.87%68.27%
±2σ -46.04%109.66% 97.17%95.45%
±3σ -84.96%148.59% 99.06%99.73%
Descriptive Statistics
Mean31.812%
Standard Error2.673%
Median23.017%
Mode14.286%
Standard Deviation38.925%
Sample Variance1515.174%
Kurtosis55.56
Skewness6.74
Range381.115%
Minimum6.410%
Maximum387.525%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 31.812% 212 100.00% 31.812%
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 5.94. Further, an Excess Kurtosis of 55.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -75.67%00.00%0.00%
-75.67% to -56.49%00.00%0.00%
-56.49% to -37.31%31.42%1.42%
-37.31% to -18.13%146.60%8.02%
-18.13% to 1.05%11252.83%60.85%
1.05% to 20.23%6530.66%91.51%
20.23% to 39.41%125.66%97.17%
39.41% to 58.60%31.42%98.58%
58.60% to 77.78%00.00%98.58%
Greater than 77.78%31.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -24.52%26.63% 89.15%68.27%
±2σ -50.09%52.20% 98.58%95.45%
±3σ -75.67%77.78% 98.58%99.73%
Descriptive Statistics
Mean1.054%
Standard Error1.756%
Median-2.494%
Mode0.000%
Standard Deviation25.574%
Sample Variance654.033%
Kurtosis55.19
Skewness5.94
Range304.854%
Minimum-40.568%
Maximum264.286%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.292% 88 41.51% 7.178%
Negative -10.729% 121 57.08% -6.124%
Zero 0.000% 3 1.42% 0.000%