Markets Data Volatility Heatmap Portfolio Calculator

BA Deep Analytical Report

The Boeing Company | Category: Equity Mega Cap | Last Updated: 2026-03-24 | Data Range: 1962-01-01 → 2026-03-01 (771 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% 3.08% 2.65% 2.78% 193.08 203.58 188.03 209.05
Weekly 4.86% 4.37% 4.82% 7.47% 5.83% 6.11% 187.03 210.16 176.44 222.78
Monthly 9.69% 11.48% 9.88% 15.78% 12.14% 12.72% 175.60 223.84 155.54 252.72
Quarterly 18.29% 22.68% 18.54% 28.75% 21.02% 22.03% 160.68 244.64 130.22 301.86
Annual — — — — 42.04% 44.07% 130.22 301.86 85.53 459.60
Option Time Horizon — — — — 15.87% 16.63% 169.17 232.35 144.35 272.31
Calculation Notes: Computed at 2026-03-23T16:32 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $198.26  |  Strike (K): $200.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $12.2000 (Bid $11.8000 / Ask $12.6000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.00%  |  Binomial IV (Annual): 42.04% (CRR binomial tree, American, n=20 steps)  |  BS IV: 41.96% (European Black-Scholes)  |  Yahoo IV (Annual): 44.07% → 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 8.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.36%940.58%0.58%
-6.36% to -4.75%1651.02%1.60%
-4.75% to -3.15%5223.23%4.83%
-3.15% to -1.54%199312.33%17.17%
-1.54% to 0.07%577535.74%52.91%
0.07% to 1.67%488930.26%83.16%
1.67% to 3.28%184611.42%94.59%
3.28% to 4.88%5553.43%98.02%
4.88% 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 -2.08%2.21% 77.41%68.27%
±2σ -4.22%4.35% 94.99%95.45%
±3σ -6.36%6.49% 98.67%99.73%
Descriptive Statistics
Mean0.066%
Standard Error0.017%
Median0.000%
Mode0.000%
Standard Deviation2.142%
Sample Variance4.588%
Kurtosis8.99
Skewness0.31
Range48.167%
Minimum-23.848%
Maximum24.319%
Count16159
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.636% 7702 47.66% 0.780%
Negative -1.507% 7650 47.34% -0.713%
Zero 0.000% 807 4.99% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 3.90%
20 1 Month 3.50%
60 1 Quarter 3.00%
250 1 Year 2.89%
750 3 Years 2.83%
1,250 5 Years 3.08%
2,500 10 Years 3.03%
5,000 20 Years 2.71%
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 29.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.40%00.00%0.00%
-2.40% to -1.16%00.00%0.00%
-1.16% to 0.08%00.00%0.00%
0.08% to 1.32%273916.95%16.95%
1.32% to 2.56%735345.50%62.45%
2.56% to 3.80%359522.25%84.70%
3.80% to 5.04%14178.77%93.47%
5.04% to 6.28%5603.47%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% 84.12%68.27%
±2σ -0.75%5.86% 96.03%95.45%
±3σ -2.40%7.52% 98.39%99.73%
Descriptive Statistics
Mean2.557%
Standard Error0.013%
Median2.151%
Mode1.667%
Standard Deviation1.653%
Sample Variance2.733%
Kurtosis29.34
Skewness3.46
Range33.078%
Minimum0.216%
Maximum33.294%
Count16160
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.557% 16160 100.00% 2.557%
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 4.89 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%1961.21%1.89%
-4.04% to -2.69%6073.76%5.65%
-2.69% to -1.34%197612.23%17.88%
-1.34% to 0.01%561834.76%52.64%
0.01% to 1.35%479029.64%82.28%
1.35% to 2.70%197012.19%94.47%
2.70% to 4.05%5913.66%98.13%
4.05% to 5.40%1921.19%99.32%
Greater than 5.40%1100.68%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.79%1.80% 76.11%68.27%
±2σ -3.59%3.60% 94.78%95.45%
±3σ -5.39%5.40% 98.64%99.73%
Descriptive Statistics
Mean0.005%
Standard Error0.014%
Median0.000%
Mode0.000%
Standard Deviation1.798%
Sample Variance3.233%
Kurtosis4.89
Skewness0.03
Range36.267%
Minimum-18.333%
Maximum17.934%
Count16160
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.359% 7657 47.38% 0.644%
Negative -1.374% 7518 46.52% -0.639%
Zero 0.000% 985 6.09% 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 9.00 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 -10.62%270.81%1.46%
-10.62% to -6.97%1143.40%4.87%
-6.97% to -3.32%45513.58%18.45%
-3.32% to 0.33%109832.78%51.22%
0.33% to 3.97%102330.54%81.76%
3.97% to 7.62%42412.66%94.42%
7.62% to 11.27%1333.97%98.39%
11.27% to 14.91%351.04%99.43%
Greater than 14.91%190.57%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.54%5.19% 75.34%68.27%
±2σ -9.40%10.05% 95.37%95.45%
±3σ -14.26%14.92% 98.78%99.73%
Descriptive Statistics
Mean0.326%
Standard Error0.084%
Median0.219%
Mode0.000%
Standard Deviation4.863%
Sample Variance23.647%
Kurtosis9.00
Skewness0.40
Range95.202%
Minimum-42.946%
Maximum52.256%
Count3350
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.705% 1727 51.55% 1.910%
Negative -3.383% 1569 46.84% -1.584%
Zero 0.000% 54 1.61% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 8.19%
12 1 Quarter 7.03%
52 1 Year 7.08%
156 3 Years 6.87%
260 5 Years 7.47%
520 10 Years 7.31%
1,040 20 Years 6.49%
2,600 50 Years 6.33%
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 48.07 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%53916.08%16.08%
3.51% to 6.79%154546.11%62.19%
6.79% to 10.07%77823.22%85.41%
10.07% to 13.35%2858.50%93.91%
13.35% to 16.63%1103.28%97.19%
16.63% to 19.91%431.28%98.48%
Greater than 19.91%511.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.42%11.16% 85.53%68.27%
±2σ -1.95%15.53% 96.42%95.45%
±3σ -6.33%19.91% 98.48%99.73%
Descriptive Statistics
Mean6.790%
Standard Error0.076%
Median5.844%
Mode5.000%
Standard Deviation4.372%
Sample Variance19.111%
Kurtosis48.07
Skewness4.42
Range83.761%
Minimum0.947%
Maximum84.708%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.790% 3351 100.00% 6.790%
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 1.88. Further, an Excess Kurtosis of 28.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.45%100.30%0.30%
-14.45% to -10.84%250.75%1.04%
-10.84% to -7.23%1323.94%4.98%
-7.23% to -3.62%45213.49%18.47%
-3.62% to -0.00%108732.44%50.91%
-0.00% to 3.61%107131.96%82.87%
3.61% to 7.22%39711.85%94.72%
7.22% to 10.83%1213.61%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% 76.69%68.27%
±2σ -9.64%9.63% 95.61%95.45%
±3σ -14.45%14.44% 98.90%99.73%
Descriptive Statistics
Mean-0.004%
Standard Error0.083%
Median-0.170%
Mode0.000%
Standard Deviation4.816%
Sample Variance23.194%
Kurtosis28.73
Skewness1.88
Range116.045%
Minimum-33.189%
Maximum82.856%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.558% 1594 47.57% 1.692%
Negative -3.331% 1707 50.94% -1.697%
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 2.53 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -27.73%30.39%0.39%
-27.73% to -20.45%60.78%1.17%
-20.45% to -13.18%263.38%4.55%
-13.18% to -5.91%12215.84%20.39%
-5.91% to 1.36%23530.52%50.91%
1.36% to 8.63%23430.39%81.30%
8.63% to 15.90%10313.38%94.68%
15.90% 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 -8.34%11.05% 72.60%68.27%
±2σ -18.03%20.75% 95.32%95.45%
±3σ -27.73%30.44% 98.83%99.73%
Descriptive Statistics
Mean1.357%
Standard Error0.349%
Median1.151%
Mode-9.558%
Standard Deviation9.694%
Sample Variance93.980%
Kurtosis2.53
Skewness0.26
Range97.301%
Minimum-45.789%
Maximum51.512%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.906% 427 55.45% 4.384%
Negative -6.835% 341 44.29% -3.027%
Zero 0.000% 2 0.26% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 15.08%
12 1 Year 15.89%
36 3 Years 14.76%
60 5 Years 15.78%
120 10 Years 16.19%
240 20 Years 14.16%
600 50 Years 13.72%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 9.86. Further, an Excess Kurtosis of 172.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.70%00.00%0.00%
-18.70% to -10.09%00.00%0.00%
-10.09% to -1.48%00.00%0.00%
-1.48% to 7.13%557.13%7.13%
7.13% to 15.74%43055.77%62.91%
15.74% to 24.34%19224.90%87.81%
24.34% to 32.95%648.30%96.11%
32.95% to 41.56%172.20%98.31%
41.56% to 50.17%60.78%99.09%
Greater than 50.17%70.91%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.26%27.21% 92.09%68.27%
±2σ -7.22%38.69% 97.80%95.45%
±3σ -18.70%50.17% 99.09%99.73%
Descriptive Statistics
Mean15.736%
Standard Error0.413%
Median13.441%
Mode11.111%
Standard Deviation11.478%
Sample Variance131.736%
Kurtosis172.62
Skewness9.86
Range230.918%
Minimum3.284%
Maximum234.202%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.736% 771 100.00% 15.736%
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 1.38. Further, an Excess Kurtosis of 9.19 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 -22.41%50.65%0.91%
-22.41% to -15.00%232.98%3.89%
-15.00% to -7.59%11414.79%18.68%
-7.59% to -0.18%26934.89%53.57%
-0.18% to 7.23%22228.79%82.36%
7.23% to 14.64%9612.45%94.81%
14.64% to 22.05%263.37%98.18%
22.05% to 29.46%70.91%99.09%
Greater than 29.46%70.91%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.06%9.70% 74.97%68.27%
±2σ -19.94%19.58% 96.11%95.45%
±3σ -29.82%29.46% 98.83%99.73%
Descriptive Statistics
Mean-0.179%
Standard Error0.356%
Median-1.090%
Mode-9.602%
Standard Deviation9.880%
Sample Variance97.624%
Kurtosis9.19
Skewness1.38
Range120.067%
Minimum-32.632%
Maximum87.435%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.722% 356 46.17% 3.566%
Negative -6.991% 413 53.57% -3.745%
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 1.69 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -50.59%10.39%0.39%
-50.59% to -36.87%10.39%0.78%
-36.87% to -23.16%93.50%4.28%
-23.16% to -9.44%3814.79%19.07%
-9.44% to 4.28%8633.46%52.53%
4.28% to 17.99%7228.02%80.54%
17.99% to 31.71%3112.06%92.61%
31.71% to 45.43%114.28%96.89%
45.43% to 59.14%41.56%98.44%
Greater than 59.14%41.56%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -14.01%22.57% 73.93%68.27%
±2σ -32.30%40.85% 95.72%95.45%
±3σ -50.59%59.14% 98.05%99.73%
Descriptive Statistics
Mean4.276%
Standard Error1.141%
Median3.757%
Mode-13.691%
Standard Deviation18.289%
Sample Variance334.500%
Kurtosis1.69
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 -11.329% 109 42.41% -4.805%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 28.40%
12 3 Years 28.50%
20 5 Years 28.75%
40 10 Years 30.04%
80 20 Years 25.50%
200 50 Years 24.86%
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 71.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -37.74%00.00%0.00%
-37.74% to -20.74%00.00%0.00%
-20.74% to -3.73%00.00%0.00%
-3.73% to 13.28%186.98%6.98%
13.28% to 30.28%15058.14%65.12%
30.28% to 47.29%6324.42%89.53%
47.29% to 64.30%166.20%95.74%
64.30% to 81.31%72.71%98.45%
81.31% to 98.31%10.39%98.84%
Greater than 98.31%31.16%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 7.61%52.96% 93.02%68.27%
±2σ -15.07%75.64% 98.06%95.45%
±3σ -37.74%98.31% 98.84%99.73%
Descriptive Statistics
Mean30.284%
Standard Error1.412%
Median26.081%
Mode17.582%
Standard Deviation22.676%
Sample Variance514.206%
Kurtosis71.03
Skewness6.73
Range285.444%
Minimum7.758%
Maximum293.202%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 30.284% 258 100.00% 30.284%
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 1.71. Further, an Excess Kurtosis of 8.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -56.09%00.00%0.00%
-56.09% to -42.18%00.00%0.00%
-42.18% to -28.28%93.49%3.49%
-28.28% to -14.38%4216.28%19.77%
-14.38% to -0.47%9436.43%56.20%
-0.47% to 13.43%7227.91%84.11%
13.43% to 27.33%249.30%93.41%
27.33% to 41.24%135.04%98.45%
41.24% to 55.14%20.78%99.22%
Greater than 55.14%20.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -19.01%18.06% 77.13%68.27%
±2σ -37.55%36.60% 94.96%95.45%
±3σ -56.09%55.14% 99.22%99.73%
Descriptive Statistics
Mean-0.474%
Standard Error1.154%
Median-3.125%
Mode-4.575%
Standard Deviation18.538%
Sample Variance343.666%
Kurtosis8.88
Skewness1.71
Range167.585%
Minimum-41.553%
Maximum126.032%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 14.859% 111 43.02% 6.393%
Negative -12.053% 147 56.98% -6.867%
Zero 0.000% 0 0.00% 0.000%