Markets Data Volatility Heatmap Portfolio Calculator

BA Deep Analytical Report

The Boeing Company | Category: Equity Mega Cap | Last Updated: 2026-02-22 | Data Range: 1962-01-01 → 2026-02-01 (770 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 2.14% 1.65% 1.80% 3.11% 2.15% 2.36% 227.10 237.07 222.28 242.21
Weekly 4.86% 4.37% 4.82% 7.53% 4.73% 5.19% 221.32 243.26 211.10 255.03
Monthly 9.69% 11.48% 9.87% 15.96% 9.84% 10.81% 210.29 256.02 190.59 282.49
Quarterly 18.25% 22.72% 18.51% 27.97% 17.04% 18.73% 195.68 275.14 165.02 326.25
Annual — — — — 34.08% 37.45% 165.02 326.25 117.36 458.74
Option Time Horizon — — — — 13.11% 14.41% 203.52 264.53 178.52 301.58
Calculation Notes: Computed at 2026-02-22T14:18 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $232.03  |  Strike (K): $235.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $11.4000 (Bid $10.7000 / Ask $12.1000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.00%  |  Binomial IV (Annual): 34.08% (CRR binomial tree, American, n=20 steps)  |  BS IV: 34.23% (European Black-Scholes)  |  Yahoo IV (Annual): 37.45% → 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
2020-02-13 $2.0550
2019-11-07 $2.0550
2019-08-08 $2.0550
2019-05-09 $2.0550
2019-02-07 $2.0550
2018-11-08 $1.7100
2018-08-09 $1.7100
2018-05-10 $1.7100
2018-02-08 $1.7100
2017-11-09 $1.4200
2017-08-09 $1.4200
2017-05-10 $1.4200
2017-02-08 $1.4200
2016-11-08 $1.0900
2016-08-10 $1.0900
2016-05-11 $1.0900
2016-02-10 $1.0900
2015-11-04 $0.9100
2015-08-05 $0.9100
2015-05-06 $0.9100
2015-02-11 $0.9100
2014-11-05 $0.7300
2014-08-06 $0.7300
2014-05-07 $0.7300
2014-02-12 $0.7300
2013-11-06 $0.4850
2013-08-07 $0.4850
2013-05-08 $0.4850
2013-02-13 $0.4850
2012-11-07 $0.4400
2012-08-15 $0.4400
2012-05-09 $0.4400
2012-02-08 $0.4400
2011-11-08 $0.4200
2011-08-10 $0.4200
2011-05-11 $0.4200
2011-02-09 $0.4200
2010-11-03 $0.4200
2010-08-04 $0.4200
2010-05-05 $0.4200
2010-02-03 $0.4200
2009-11-04 $0.4200
2009-08-05 $0.4200
2009-05-06 $0.4200
2009-02-04 $0.4200
2008-11-05 $0.4000
2008-08-06 $0.4000
2008-05-07 $0.4000
2008-02-06 $0.4000
2007-11-07 $0.3500
2007-08-08 $0.3500
2007-05-09 $0.3500
2007-02-07 $0.3500
2006-11-08 $0.3000
2006-08-09 $0.3000
2006-05-10 $0.3000
2006-02-08 $0.3000
2005-11-08 $0.2500
2005-08-10 $0.2500
2005-05-11 $0.2500
2005-02-09 $0.2500
2004-11-09 $0.2000
2004-08-11 $0.2000
2004-05-19 $0.2000
2004-02-11 $0.1700
2003-11-12 $0.1700
2003-08-13 $0.1700
2003-05-14 $0.1700
2003-02-05 $0.1700
2002-11-13 $0.1700
2002-08-14 $0.1700
2002-05-15 $0.1700
2002-02-06 $0.1700
2001-11-14 $0.1700
2001-08-15 $0.1700
2001-05-09 $0.1700
2001-02-07 $0.1700
2000-11-08 $0.1400
2000-08-09 $0.1400
2000-05-10 $0.1400
2000-02-09 $0.1400
1999-11-09 $0.1400
1999-08-11 $0.1400
1999-05-12 $0.1400
1999-02-08 $0.1400
1998-11-10 $0.1400
1998-08-12 $0.1400
1998-05-13 $0.1400
1998-02-11 $0.1400
1997-11-12 $0.1400
1997-08-13 $0.1400
1997-05-14 $0.1400
1997-02-12 $0.1400
1996-11-13 $0.1400
1996-08-14 $0.1400
1996-05-15 $0.1400
1996-02-07 $0.1250
1995-11-08 $0.1250
1995-08-09 $0.1250
1995-05-08 $0.1250
1995-02-06 $0.1250
1994-11-04 $0.1250
1994-08-08 $0.1250
1994-05-09 $0.1250
1994-02-07 $0.1250
1993-11-05 $0.1250
1993-08-09 $0.1250
1993-05-10 $0.1250
1993-02-08 $0.1250
1992-11-06 $0.1250
1992-08-10 $0.1250
1992-05-11 $0.1250
1992-02-10 $0.1250
1991-11-08 $0.1250
1991-08-12 $0.1250
1991-05-13 $0.1250
1991-02-11 $0.1250
1990-11-09 $0.1250
1990-08-13 $0.1250
1990-05-14 $0.1250
1990-02-12 $0.1000
1989-11-13 $0.1000
1989-08-14 $0.1000
1989-05-08 $0.1000
1989-02-06 $0.0889
1988-11-04 $0.0889
1988-05-09 $0.0889
1988-02-05 $0.0778
1987-11-03 $0.0778
1987-08-04 $0.0778
1987-05-04 $0.0778
1987-02-04 $0.0778
1986-11-05 $0.0667
1986-08-05 $0.0667
1986-05-06 $0.0667
1986-02-04 $0.0667
1985-11-04 $0.0600
1985-08-06 $0.0600
1985-05-06 $0.0400
1985-02-05 $0.0519
1984-11-02 $0.0519
1984-08-06 $0.0519
1984-05-07 $0.0519
1984-02-06 $0.0519
1983-11-03 $0.0519
1983-08-08 $0.0519
1983-05-09 $0.0519
1983-02-07 $0.0519
1982-11-04 $0.0519
1982-08-09 $0.0519
1982-05-10 $0.0519
1982-02-05 $0.0519
1981-11-05 $0.0519
1981-08-07 $0.0519
1981-05-08 $0.0519
1981-02-06 $0.0519
1980-11-06 $0.0741
1980-08-08 $0.0444
1980-05-09 $0.0444
1980-02-08 $0.0444
1979-08-10 $0.0247
1979-05-14 $0.0247
1979-02-09 $0.0247
1978-08-11 $0.0198
1978-05-05 $0.0198
1977-11-10 $0.0165
1977-08-05 $0.0165
1977-05-06 $0.0115
1977-02-14 $0.0115
1976-11-05 $0.0165
1976-08-06 $0.0082
1976-05-07 $0.0082
1976-02-06 $0.0082
1975-11-06 $0.0132
1975-08-08 $0.0066
1975-05-09 $0.0066
1975-02-06 $0.0066
1974-11-07 $0.0099
1974-07-26 $0.0049
1974-05-10 $0.0049
1974-02-01 $0.0049
1973-11-01 $0.0033
1973-08-03 $0.0033
1973-05-04 $0.0033
1973-02-02 $0.0033
1972-11-02 $0.0033
1972-08-04 $0.0033
1972-04-28 $0.0033
1972-02-04 $0.0033
1971-10-28 $0.0033
1971-07-30 $0.0033
1971-04-30 $0.0033
1971-01-29 $0.0033
1970-10-29 $0.0033
1970-07-31 $0.0033
1970-05-01 $0.0033
1969-10-30 $0.0099
1969-05-02 $0.0099
1969-02-03 $0.0099
1968-10-31 $0.0099
1968-08-05 $0.0099
1968-05-03 $0.0099
1968-02-05 $0.0099
1967-11-03 $0.0099
1967-08-10 $0.0099
1967-05-09 $0.0099
1967-02-06 $0.0099
1966-11-04 $0.0099
1966-08-29 $0.0099
1966-08-02 $0.0099
1966-04-28 $0.0082
1966-02-07 $0.0082
1965-11-01 $0.0165
1965-08-04 $0.0082
1965-05-11 $0.0082
1965-02-08 $0.0082
1964-11-12 $0.0082
1964-08-05 $0.0082
1964-05-12 $0.0082
1964-02-07 $0.0082
1963-11-08 $0.0082
1963-08-12 $0.0082
1963-05-14 $0.0082
1963-02-06 $0.0082
1962-11-05 $0.0082
1962-08-13 $0.0082
1962-05-08 $0.0082
1962-02-05 $0.0082
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.31. Further, an Excess Kurtosis of 9.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.36%950.59%0.59%
-6.36% to -4.75%1641.02%1.60%
-4.75% to -3.15%5203.22%4.83%
-3.15% to -1.54%198612.31%17.13%
-1.54% to 0.07%577135.76%52.89%
0.07% to 1.67%489030.30%83.19%
1.67% to 3.28%184011.40%94.60%
3.28% to 4.89%5523.42%98.02%
4.89% to 6.49%1991.23%99.25%
Greater than 6.49%1210.75%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.07%2.21% 77.47%68.27%
±2σ -4.22%4.35% 94.99%95.45%
±3σ -6.36%6.49% 98.66%99.73%
Descriptive Statistics
Mean0.067%
Standard Error0.017%
Median0.000%
Mode0.000%
Standard Deviation2.142%
Sample Variance4.587%
Kurtosis9.01
Skewness0.31
Range48.167%
Minimum-23.848%
Maximum24.319%
Count16138
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.635% 7695 47.68% 0.780%
Negative -1.506% 7636 47.32% -0.713%
Zero 0.000% 807 5.00% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.63%
20 1 Month 3.15%
60 1 Quarter 2.70%
250 1 Year 2.94%
750 3 Years 2.83%
1,250 5 Years 3.11%
2,500 10 Years 3.02%
5,000 20 Years 2.70%
12,500 50 Years 2.63%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.46. Further, an Excess Kurtosis of 29.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.41%00.00%0.00%
-2.41% to -1.17%00.00%0.00%
-1.17% to 0.07%00.00%0.00%
0.07% to 1.32%272416.88%16.88%
1.32% to 2.56%735845.59%62.47%
2.56% to 3.80%358922.24%84.71%
3.80% to 5.04%14148.76%93.47%
5.04% to 6.28%5583.46%96.93%
6.28% to 7.52%2361.46%98.39%
Greater than 7.52%2601.61%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.90%4.21% 84.13%68.27%
±2σ -0.75%5.86% 96.03%95.45%
±3σ -2.41%7.52% 98.39%99.73%
Descriptive Statistics
Mean2.556%
Standard Error0.013%
Median2.151%
Mode1.667%
Standard Deviation1.654%
Sample Variance2.734%
Kurtosis29.36
Skewness3.46
Range33.078%
Minimum0.216%
Maximum33.294%
Count16139
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.556% 16139 100.00% 2.556%
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 4.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.39%1100.68%0.68%
-5.39% to -4.04%1951.21%1.89%
-4.04% to -2.69%6073.76%5.65%
-2.69% to -1.34%197312.23%17.88%
-1.34% to 0.00%561234.77%52.65%
0.00% to 1.35%478629.65%82.30%
1.35% to 2.70%196612.18%94.49%
2.70% to 4.05%5873.64%98.12%
4.05% to 5.40%1931.20%99.32%
Greater than 5.40%1100.68%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.79%1.80% 76.13%68.27%
±2σ -3.59%3.60% 94.79%95.45%
±3σ -5.39%5.40% 98.64%99.73%
Descriptive Statistics
Mean0.004%
Standard Error0.014%
Median0.000%
Mode0.000%
Standard Deviation1.798%
Sample Variance3.232%
Kurtosis4.90
Skewness0.03
Range36.267%
Minimum-18.333%
Maximum17.934%
Count16139
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.359% 7643 47.36% 0.644%
Negative -1.373% 7511 46.54% -0.639%
Zero 0.000% 985 6.10% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.40. Further, an Excess Kurtosis of 9.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.26%220.66%0.66%
-14.26% to -10.61%270.81%1.46%
-10.61% to -6.96%1143.41%4.87%
-6.96% to -3.32%45413.57%18.44%
-3.32% to 0.33%109632.76%51.20%
0.33% to 3.98%102230.54%81.74%
3.98% to 7.63%42412.67%94.41%
7.63% to 11.27%1333.97%98.39%
11.27% to 14.92%351.05%99.43%
Greater than 14.92%190.57%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.53%5.19% 75.43%68.27%
±2σ -9.40%10.06% 95.34%95.45%
±3σ -14.26%14.92% 98.77%99.73%
Descriptive Statistics
Mean0.331%
Standard Error0.084%
Median0.228%
Mode0.000%
Standard Deviation4.863%
Sample Variance23.648%
Kurtosis9.01
Skewness0.40
Range95.202%
Minimum-42.946%
Maximum52.256%
Count3346
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.705% 1727 51.61% 1.912%
Negative -3.382% 1565 46.77% -1.582%
Zero 0.000% 54 1.61% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 7.08%
12 1 Quarter 6.07%
52 1 Year 7.36%
156 3 Years 6.86%
260 5 Years 7.53%
520 10 Years 7.30%
1,040 20 Years 6.47%
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 4.42. Further, an Excess Kurtosis of 48.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.33%00.00%0.00%
-6.33% to -3.05%00.00%0.00%
-3.05% to 0.23%00.00%0.00%
0.23% to 3.51%53816.07%16.07%
3.51% to 6.79%154546.16%62.23%
6.79% to 10.07%77523.16%85.39%
10.07% to 13.35%2858.52%93.90%
13.35% to 16.62%1103.29%97.19%
16.62% to 19.90%431.28%98.48%
Greater than 19.90%511.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.42%11.16% 85.54%68.27%
±2σ -1.96%15.53% 96.41%95.45%
±3σ -6.33%19.90% 98.48%99.73%
Descriptive Statistics
Mean6.787%
Standard Error0.076%
Median5.841%
Mode5.000%
Standard Deviation4.372%
Sample Variance19.118%
Kurtosis48.10
Skewness4.42
Range83.761%
Minimum0.947%
Maximum84.708%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.787% 3347 100.00% 6.787%
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 1.89. Further, an Excess Kurtosis of 28.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.46%100.30%0.30%
-14.46% to -10.84%250.75%1.05%
-10.84% to -7.23%1323.94%4.99%
-7.23% to -3.62%45013.44%18.43%
-3.62% to -0.01%108832.51%50.94%
-0.01% to 3.60%107031.97%82.91%
3.60% to 7.22%39611.83%94.74%
7.22% to 10.83%1203.59%98.33%
10.83% to 14.44%290.87%99.19%
Greater than 14.44%270.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.82%4.81% 76.73%68.27%
±2σ -9.64%9.62% 95.61%95.45%
±3σ -14.46%14.44% 98.89%99.73%
Descriptive Statistics
Mean-0.008%
Standard Error0.083%
Median-0.172%
Mode0.000%
Standard Deviation4.816%
Sample Variance23.193%
Kurtosis28.77
Skewness1.89
Range116.045%
Minimum-33.189%
Maximum82.856%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.556% 1591 47.53% 1.690%
Negative -3.333% 1706 50.97% -1.699%
Zero 0.000% 50 1.49% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.26. Further, an Excess Kurtosis of 2.55 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -27.68%30.39%0.39%
-27.68% to -20.42%60.78%1.17%
-20.42% to -13.15%263.38%4.55%
-13.15% to -5.89%12115.73%20.29%
-5.89% to 1.38%23630.69%50.98%
1.38% to 8.64%23330.30%81.27%
8.64% to 15.91%10313.39%94.67%
15.91% to 23.17%283.64%98.31%
23.17% to 30.44%70.91%99.22%
Greater than 30.44%60.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.31%11.06% 72.82%68.27%
±2σ -18.00%20.75% 95.32%95.45%
±3σ -27.68%30.44% 98.83%99.73%
Descriptive Statistics
Mean1.378%
Standard Error0.349%
Median1.170%
Mode-9.558%
Standard Deviation9.687%
Sample Variance93.833%
Kurtosis2.55
Skewness0.26
Range97.301%
Minimum-45.789%
Maximum51.512%
Count769
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.906% 427 55.53% 4.390%
Negative -6.812% 340 44.21% -3.012%
Zero 0.000% 2 0.26% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 14.94%
12 1 Year 16.12%
36 3 Years 14.55%
60 5 Years 15.96%
120 10 Years 16.16%
240 20 Years 14.13%
600 50 Years 13.71%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 9.85. Further, an Excess Kurtosis of 172.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.73%00.00%0.00%
-18.73% to -10.11%00.00%0.00%
-10.11% to -1.50%00.00%0.00%
-1.50% to 7.11%536.88%6.88%
7.11% to 15.73%43155.97%62.86%
15.73% to 24.34%19224.94%87.79%
24.34% to 32.95%648.31%96.10%
32.95% to 41.57%172.21%98.31%
41.57% to 50.18%60.78%99.09%
Greater than 50.18%70.91%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.24%27.21% 92.08%68.27%
±2σ -7.24%38.70% 97.79%95.45%
±3σ -18.73%50.18% 99.09%99.73%
Descriptive Statistics
Mean15.727%
Standard Error0.414%
Median13.441%
Mode11.111%
Standard Deviation11.485%
Sample Variance131.911%
Kurtosis172.41
Skewness9.85
Range230.918%
Minimum3.284%
Maximum234.202%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.727% 770 100.00% 15.727%
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 1.39. Further, an Excess Kurtosis of 9.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -29.82%20.26%0.26%
-29.82% to -22.42%50.65%0.91%
-22.42% to -15.01%232.99%3.90%
-15.01% to -7.61%11414.81%18.70%
-7.61% to -0.20%26934.94%53.64%
-0.20% to 7.21%22228.83%82.47%
7.21% to 14.61%9412.21%94.68%
14.61% to 22.02%273.51%98.18%
22.02% to 29.42%70.91%99.09%
Greater than 29.42%70.91%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.07%9.67% 74.94%68.27%
±2σ -19.95%19.55% 96.10%95.45%
±3σ -29.82%29.42% 98.83%99.73%
Descriptive Statistics
Mean-0.200%
Standard Error0.356%
Median-1.094%
Mode-9.602%
Standard Deviation9.874%
Sample Variance97.496%
Kurtosis9.25
Skewness1.39
Range120.067%
Minimum-32.632%
Maximum87.435%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.699% 355 46.10% 3.550%
Negative -6.991% 413 53.64% -3.750%
Zero 0.000% 2 0.26% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.60. Further, an Excess Kurtosis of 1.71 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -50.43%10.39%0.39%
-50.43% to -36.74%10.39%0.78%
-36.74% to -23.05%93.50%4.28%
-23.05% to -9.36%3915.18%19.46%
-9.36% to 4.33%8834.24%53.70%
4.33% to 18.02%6926.85%80.54%
18.02% to 31.71%3112.06%92.61%
31.71% to 45.40%103.89%96.50%
45.40% to 59.09%51.95%98.44%
Greater than 59.09%41.56%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -13.92%22.58% 74.32%68.27%
±2σ -32.17%40.84% 95.72%95.45%
±3σ -50.43%59.09% 98.05%99.73%
Descriptive Statistics
Mean4.331%
Standard Error1.139%
Median3.757%
Mode-13.691%
Standard Deviation18.253%
Sample Variance333.159%
Kurtosis1.71
Skewness0.60
Range130.065%
Minimum-55.428%
Maximum74.637%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.768% 148 57.59% 9.080%
Negative -11.199% 109 42.41% -4.750%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 24.48%
12 3 Years 27.20%
20 5 Years 27.97%
40 10 Years 29.65%
80 20 Years 25.30%
200 50 Years 24.78%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.70. Further, an Excess Kurtosis of 70.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -37.95%00.00%0.00%
-37.95% to -20.91%00.00%0.00%
-20.91% to -3.87%00.00%0.00%
-3.87% to 13.17%197.36%7.36%
13.17% to 30.20%14957.75%65.12%
30.20% to 47.24%6324.42%89.53%
47.24% to 64.28%166.20%95.74%
64.28% to 81.32%72.71%98.45%
81.32% to 98.36%10.39%98.84%
Greater than 98.36%31.16%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 7.49%52.92% 93.02%68.27%
±2σ -15.23%75.64% 98.06%95.45%
±3σ -37.95%98.36% 98.84%99.73%
Descriptive Statistics
Mean30.205%
Standard Error1.414%
Median26.014%
Mode17.582%
Standard Deviation22.717%
Sample Variance516.078%
Kurtosis70.59
Skewness6.70
Range285.444%
Minimum7.758%
Maximum293.202%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 30.205% 258 100.00% 30.205%
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 1.73. Further, an Excess Kurtosis of 8.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -56.06%00.00%0.00%
-56.06% to -42.18%00.00%0.00%
-42.18% to -28.30%93.49%3.49%
-28.30% to -14.42%4216.28%19.77%
-14.42% to -0.54%9436.43%56.20%
-0.54% to 13.34%7328.29%84.50%
13.34% to 27.22%228.53%93.02%
27.22% to 41.10%145.43%98.45%
41.10% to 54.98%20.78%99.22%
Greater than 54.98%20.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -19.05%17.97% 77.13%68.27%
±2σ -37.55%36.47% 94.96%95.45%
±3σ -56.06%54.98% 99.22%99.73%
Descriptive Statistics
Mean-0.539%
Standard Error1.152%
Median-3.125%
Mode-4.575%
Standard Deviation18.506%
Sample Variance342.481%
Kurtosis8.98
Skewness1.73
Range167.585%
Minimum-41.553%
Maximum126.032%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 14.709% 111 43.02% 6.328%
Negative -12.053% 147 56.98% -6.867%
Zero 0.000% 0 0.00% 0.000%