Markets Data Volatility Heatmap Portfolio Calculator

BAC Deep Analytical Report

Bank of America Corporation | Category: Equity Mega Cap | Ann. Div Yield: 2.05% ($1.08) | Last Updated: 2026-02-22 | Data Range: 1973-05-01 → 2026-02-01 (634 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% 1.68% 1.73% 52.17 53.96 51.30 54.88
Weekly 5.42% 6.29% 5.29% 5.69% 3.70% 3.82% 51.13 55.06 49.27 57.14
Monthly 10.46% 16.84% 11.39% 12.29% 7.71% 7.94% 49.12 57.31 45.48 61.91
Quarterly 17.19% 38.95% 25.56% 22.12% 13.36% 13.76% 46.43 60.64 40.62 69.31
Annual — — — — 26.71% 27.52% 40.62 69.31 31.10 90.53
Option Time Horizon — — — — 10.28% 10.58% 47.88 58.80 43.20 65.17
Calculation Notes: Computed at 2026-02-22T14:17 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $53.06  |  Strike (K): $55.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $1.4300 (Bid $1.4000 / Ask $1.4600)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.05%  |  Binomial IV (Annual): 26.71% (CRR binomial tree, American, n=20 steps)  |  BS IV: 26.83% (European Black-Scholes)  |  Yahoo IV (Annual): 27.52% → 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
2025-12-05 $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%3142.36%3.85%
-3.50% to -1.72%12669.53%13.38%
-1.72% to 0.06%544641.00%54.38%
0.06% to 1.83%426832.13%86.51%
1.83% to 3.61%12549.44%95.95%
3.61% to 5.38%3262.45%98.40%
5.38% to 7.16%1110.84%99.24%
Greater than 7.16%1010.76%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% 98.55%99.73%
Descriptive Statistics
Mean0.055%
Standard Error0.021%
Median0.000%
Mode0.000%
Standard Deviation2.368%
Sample Variance5.607%
Kurtosis25.91
Skewness0.65
Range64.238%
Minimum-28.969%
Maximum35.269%
Count13283
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.638% 6125 46.11% 0.755%
Negative -1.571% 5921 44.58% -0.700%
Zero 0.000% 1237 9.31% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.31%
20 1 Month 2.44%
60 1 Quarter 2.03%
250 1 Year 2.32%
750 3 Years 2.25%
1,250 5 Years 2.41%
2,500 10 Years 2.46%
5,000 20 Years 3.01%
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 86.14 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 -2.19%00.00%0.00%
-2.19% to -0.61%00.00%0.00%
-0.61% to 0.97%12069.08%9.08%
0.97% to 2.55%704853.06%62.13%
2.55% to 4.12%361127.18%89.32%
4.12% to 5.70%8576.45%95.77%
5.70% to 7.28%2621.97%97.74%
7.28% to 8.86%1150.87%98.61%
Greater than 8.86%1851.39%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%8.86% 98.61%99.73%
Descriptive Statistics
Mean2.546%
Standard Error0.018%
Median2.058%
Mode3.158%
Standard Deviation2.103%
Sample Variance4.421%
Kurtosis86.14
Skewness6.29
Range61.381%
Minimum0.279%
Maximum61.660%
Count13284
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.546% 13284 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 24.59 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 -4.23%1000.75%1.42%
-4.23% to -2.79%3202.41%3.82%
-2.79% to -1.36%135310.19%14.01%
-1.36% to 0.08%569342.86%56.87%
0.08% to 1.51%392529.55%86.41%
1.51% to 2.95%12219.19%95.60%
2.95% to 4.38%3512.64%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% 81.74%68.27%
±2σ -3.75%3.91% 95.75%95.45%
±3σ -5.66%5.82% 98.58%99.73%
Descriptive Statistics
Mean0.079%
Standard Error0.017%
Median0.000%
Mode0.000%
Standard Deviation1.914%
Sample Variance3.662%
Kurtosis24.59
Skewness1.13
Range44.753%
Minimum-17.694%
Maximum27.059%
Count13284
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.424% 5860 44.11% 0.628%
Negative -1.301% 5602 42.17% -0.549%
Zero 0.000% 1822 13.72% 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 16.21 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%4.43%
-7.85% to -3.79%2719.84%14.26%
-3.79% to 0.28%100736.55%50.82%
0.28% to 4.34%97835.50%86.32%
4.34% to 8.41%2579.33%95.64%
8.41% to 12.47%712.58%98.22%
12.47% to 16.54%250.91%99.13%
Greater than 16.54%240.87%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.14%5.70% 81.38%68.27%
±2σ -10.56%11.12% 95.32%95.45%
±3σ -15.98%16.54% 98.19%99.73%
Descriptive Statistics
Mean0.276%
Standard Error0.103%
Median0.206%
Mode0.000%
Standard Deviation5.420%
Sample Variance29.377%
Kurtosis16.21
Skewness0.84
Range101.983%
Minimum-37.183%
Maximum64.800%
Count2755
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.673% 1418 51.47% 1.890%
Negative -3.556% 1251 45.41% -1.615%
Zero 0.000% 86 3.12% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 6.03%
12 1 Quarter 4.99%
52 1 Year 5.64%
156 3 Years 5.32%
260 5 Years 5.69%
520 10 Years 5.84%
1,040 20 Years 7.25%
2,600 50 Years 6.34%
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 58.07 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.14%00.00%0.00%
-12.14% to -7.42%00.00%0.00%
-7.42% to -2.70%00.00%0.00%
-2.70% to 2.02%923.34%3.34%
2.02% to 6.74%178764.84%68.18%
6.74% to 11.45%57720.94%89.11%
11.45% to 16.17%1796.49%95.61%
16.17% to 20.89%541.96%97.57%
20.89% to 25.61%230.83%98.40%
Greater than 25.61%441.60%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.44%13.03% 92.42%68.27%
±2σ -5.85%19.32% 96.92%95.45%
±3σ -12.14%25.61% 98.40%99.73%
Descriptive Statistics
Mean6.735%
Standard Error0.120%
Median5.150%
Mode5.000%
Standard Deviation6.292%
Sample Variance39.595%
Kurtosis58.07
Skewness5.95
Range104.990%
Minimum0.939%
Maximum105.929%
Count2756
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.735% 2756 100.00% 6.735%
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 14.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.70%130.47%0.47%
-15.70% to -11.73%200.73%1.20%
-11.73% to -7.76%662.39%3.59%
-7.76% to -3.80%29910.85%14.44%
-3.80% to 0.17%110940.24%54.68%
0.17% to 4.14%86931.53%86.21%
4.14% to 8.11%2438.82%95.03%
8.11% to 12.07%772.79%97.82%
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% 81.86%68.27%
±2σ -10.41%10.75% 95.61%95.45%
±3σ -15.70%16.04% 98.40%99.73%
Descriptive Statistics
Mean0.170%
Standard Error0.101%
Median0.000%
Mode0.000%
Standard Deviation5.290%
Sample Variance27.989%
Kurtosis14.18
Skewness1.34
Range90.333%
Minimum-34.483%
Maximum55.850%
Count2756
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.831% 1279 46.41% 1.778%
Negative -3.230% 1372 49.78% -1.608%
Zero 0.000% 105 3.81% 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 6.20 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.27%60.95%0.95%
-30.27% to -22.42%71.11%2.05%
-22.42% to -14.58%162.53%4.58%
-14.58% to -6.73%7812.32%16.90%
-6.73% to 1.11%21634.12%51.03%
1.11% to 8.96%20231.91%82.94%
8.96% to 16.81%7912.48%95.42%
16.81% to 24.65%182.84%98.26%
24.65% to 32.50%60.95%99.21%
Greater than 32.50%50.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.35%11.58% 78.83%68.27%
±2σ -19.81%22.04% 95.26%95.45%
±3σ -30.27%32.50% 98.26%99.73%
Descriptive Statistics
Mean1.114%
Standard Error0.416%
Median0.965%
Mode0.000%
Standard Deviation10.461%
Sample Variance109.440%
Kurtosis6.20
Skewness0.25
Range126.400%
Minimum-53.267%
Maximum73.133%
Count633
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.790% 346 54.66% 4.258%
Negative -7.184% 277 43.76% -3.144%
Zero 0.000% 10 1.58% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 9.41%
12 1 Year 11.52%
36 3 Years 11.57%
60 5 Years 12.29%
120 10 Years 13.09%
240 20 Years 15.97%
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 55.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -34.26%00.00%0.00%
-34.26% to -21.63%00.00%0.00%
-21.63% to -8.99%00.00%0.00%
-8.99% to 3.64%60.95%0.95%
3.64% to 16.27%42366.72%67.67%
16.27% to 28.90%15123.82%91.48%
28.90% to 41.54%335.21%96.69%
41.54% to 54.17%71.10%97.79%
54.17% to 66.80%40.63%98.42%
Greater than 66.80%101.58%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -0.57%33.12% 94.32%68.27%
±2σ -17.42%49.96% 97.48%95.45%
±3σ -34.26%66.80% 98.42%99.73%
Descriptive Statistics
Mean16.271%
Standard Error0.669%
Median12.741%
Mode8.333%
Standard Deviation16.844%
Sample Variance283.736%
Kurtosis55.42
Skewness6.43
Range190.657%
Minimum2.610%
Maximum193.267%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 16.271% 634 100.00% 16.271%
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 2.45. 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 -33.93%10.16%0.16%
-33.93% to -25.39%40.63%0.79%
-25.39% to -16.85%91.42%2.21%
-16.85% to -8.31%9014.20%16.40%
-8.31% to 0.23%24438.49%54.89%
0.23% to 8.77%19931.39%86.28%
8.77% to 17.31%599.31%95.58%
17.31% to 25.85%121.89%97.48%
25.85% to 34.39%81.26%98.74%
Greater than 34.39%81.26%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.16%11.61% 82.65%68.27%
±2σ -22.54%23.00% 96.21%95.45%
±3σ -33.93%34.39% 98.58%99.73%
Descriptive Statistics
Mean0.228%
Standard Error0.452%
Median-0.899%
Mode0.000%
Standard Deviation11.386%
Sample Variance129.648%
Kurtosis18.40
Skewness2.45
Range158.617%
Minimum-47.067%
Maximum111.550%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.489% 287 45.27% 3.843%
Negative -6.761% 339 53.47% -3.615%
Zero 0.000% 8 1.26% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.00. Further, an Excess Kurtosis of 3.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -48.30%31.42%1.42%
-48.30% to -35.40%00.00%1.42%
-35.40% to -22.51%83.79%5.21%
-22.51% to -9.62%2712.80%18.01%
-9.62% to 3.27%6430.33%48.34%
3.27% to 16.17%7535.55%83.89%
16.17% to 29.06%2210.43%94.31%
29.06% to 41.95%83.79%98.10%
41.95% to 54.84%10.47%98.58%
Greater than 54.84%31.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -13.92%20.46% 79.62%68.27%
±2σ -31.11%37.65% 96.21%95.45%
±3σ -48.30%54.84% 97.16%99.73%
Descriptive Statistics
Mean3.273%
Standard Error1.183%
Median3.681%
Mode0.000%
Standard Deviation17.190%
Sample Variance295.490%
Kurtosis3.58
Skewness0.00
Range137.923%
Minimum-72.156%
Maximum65.767%
Count211
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 13.419% 124 58.77% 7.886%
Negative -11.587% 84 39.81% -4.613%
Zero 0.000% 3 1.42% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 16.67%
12 3 Years 20.98%
20 5 Years 22.12%
40 10 Years 23.35%
80 20 Years 27.16%
200 50 Years 24.30%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.73. Further, an Excess Kurtosis of 55.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -85.09%00.00%0.00%
-85.09% to -55.88%00.00%0.00%
-55.88% to -26.67%00.00%0.00%
-26.67% to 2.54%00.00%0.00%
2.54% to 31.75%15372.17%72.17%
31.75% to 60.96%4420.75%92.92%
60.96% to 90.17%62.83%95.75%
90.17% to 119.39%62.83%98.58%
119.39% to 148.60%10.47%99.06%
Greater than 148.60%20.94%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.20%70.70% 93.87%68.27%
±2σ -46.14%109.65% 97.17%95.45%
±3σ -85.09%148.60% 99.06%99.73%
Descriptive Statistics
Mean31.752%
Standard Error2.675%
Median22.978%
Mode14.286%
Standard Deviation38.948%
Sample Variance1516.969%
Kurtosis55.46
Skewness6.73
Range381.115%
Minimum6.410%
Maximum387.525%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 31.752% 212 100.00% 31.752%
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 5.95. Further, an Excess Kurtosis of 55.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -75.69%00.00%0.00%
-75.69% to -56.52%00.00%0.00%
-56.52% to -37.34%31.42%1.42%
-37.34% to -18.17%146.60%8.02%
-18.17% to 1.00%11252.83%60.85%
1.00% to 20.18%6430.19%91.04%
20.18% to 39.35%136.13%97.17%
39.35% to 58.52%31.42%98.58%
58.52% to 77.69%00.00%98.58%
Greater than 77.69%31.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -24.56%26.57% 89.15%68.27%
±2σ -50.13%52.13% 98.58%95.45%
±3σ -75.69%77.69% 98.58%99.73%
Descriptive Statistics
Mean1.002%
Standard Error1.756%
Median-2.494%
Mode0.000%
Standard Deviation25.564%
Sample Variance653.526%
Kurtosis55.33
Skewness5.95
Range304.854%
Minimum-40.568%
Maximum264.286%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.165% 88 41.51% 7.125%
Negative -10.729% 121 57.08% -6.124%
Zero 0.000% 3 1.42% 0.000%