Markets Data Volatility Heatmap Portfolio Calculator

CB Deep Analytical Report

Chubb Limited | Category: Equity Mega Cap | Ann. Div Yield: 1.16% ($3.82) | Last Updated: 2026-02-22 | Data Range: 1993-03-01 → 2026-02-01 (396 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 1.94% 1.79% 1.74% 1.88% 1.32% 1.43% 327.28 336.02 323.00 340.47
Weekly 4.20% 4.61% 4.09% 4.30% 2.90% 3.16% 322.14 341.38 312.94 351.42
Monthly 6.91% 10.10% 6.91% 9.10% 6.04% 6.57% 312.20 352.25 293.91 374.17
Quarterly 11.29% 19.08% 10.82% 14.08% 10.45% 11.38% 298.70 368.16 269.05 408.74
Annual — — — — 20.91% 22.76% 269.05 408.74 218.29 503.79
Option Time Horizon — — — — 9.91% 10.79% 300.33 366.17 272.00 404.31
Calculation Notes: Computed at 2026-02-22T14:19 UTC  |  Reference Contract: Call option expiring 2026-05-15 (82 days)  |  Spot Price (S): $331.62  |  Strike (K): $335.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $12.4500 (Bid $12.1000 / Ask $12.8000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 1.16%  |  Binomial IV (Annual): 20.91% (CRR binomial tree, American, n=20 steps)  |  BS IV: 21.01% (European Black-Scholes)  |  Yahoo IV (Annual): 22.76% → 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
2025-06-13 $0.9700
2025-03-14 $0.9100
2024-12-13 $0.9100
2024-09-13 $0.9100
2024-06-14 $0.9100
2024-03-14 $0.8600
2023-12-14 $0.8600
2023-09-14 $0.8600
2023-06-15 $0.8600
2023-03-16 $0.8300
2022-12-15 $0.8300
2022-09-15 $0.8300
2022-06-16 $0.8300
2022-03-17 $0.8000
2021-12-16 $0.8000
2021-09-16 $0.8000
2021-06-17 $0.8000
2021-03-18 $0.7800
2020-12-17 $0.7800
2020-09-17 $0.7800
2020-06-18 $0.7800
2020-03-19 $0.7500
2019-12-19 $0.7500
2019-09-19 $0.7500
2019-06-20 $0.7500
2019-03-21 $0.7300
2018-12-20 $0.7300
2018-09-20 $0.7300
2018-06-21 $0.7300
2018-03-28 $0.7100
2017-12-28 $0.7100
2017-09-28 $0.7100
2017-06-28 $0.7100
2017-03-29 $0.6900
2016-12-28 $0.6900
2016-09-28 $0.6900
2016-06-28 $0.6900
2016-03-29 $0.6700
2015-12-29 $0.6700
2015-09-28 $0.6700
2015-06-26 $0.6700
2015-03-27 $0.6500
2014-12-15 $0.6500
2014-09-26 $0.6500
2014-07-21 $0.6500
2014-03-26 $0.6300
2014-01-13 $0.6300
2013-09-26 $0.5100
2013-07-19 $0.5100
2013-03-26 $0.4900
2012-12-13 $0.4900
2012-09-26 $0.4900
2012-07-27 $0.4900
2012-03-28 $0.4700
2012-01-10 $0.4700
2011-09-28 $0.3500
2011-06-28 $0.3500
2011-03-30 $0.3300
2010-12-14 $0.3300
2010-09-29 $0.3300
2010-07-23 $0.3300
2010-03-29 $0.3100
2009-12-15 $0.3100
2009-09-29 $0.3100
2009-07-24 $0.3100
2009-03-27 $0.2500
2009-01-06 $0.2700
2008-10-09 $0.2600
2008-06-26 $0.2900
2008-03-27 $0.2700
2007-12-27 $0.2700
2007-09-26 $0.2700
2007-06-27 $0.2700
2007-03-28 $0.2500
2006-12-27 $0.2500
2006-09-27 $0.2500
2006-06-28 $0.2500
2006-03-29 $0.2300
2005-12-28 $0.2300
2005-09-28 $0.2300
2005-06-28 $0.2300
2005-03-29 $0.2100
2004-12-29 $0.2100
2004-09-28 $0.2100
2004-06-28 $0.2100
2004-03-29 $0.1900
2003-12-29 $0.1900
2003-09-26 $0.1900
2003-06-26 $0.1900
2003-03-27 $0.1700
2002-12-24 $0.1700
2002-09-25 $0.1700
2002-06-26 $0.1700
2002-03-26 $0.1500
2001-12-27 $0.1500
2001-09-26 $0.1500
2001-06-27 $0.1500
2001-03-28 $0.1300
2000-12-27 $0.1300
2000-09-27 $0.1300
2000-06-28 $0.1300
2000-03-29 $0.1100
1999-12-29 $0.1100
1999-09-28 $0.1100
1999-06-28 $0.1100
1999-03-29 $0.0900
1998-12-11 $0.0900
1998-09-28 $0.0900
1998-06-26 $0.0900
1998-03-27 $0.0800
1997-12-10 $0.0800
1997-09-26 $0.0733
1997-06-26 $0.0733
1997-03-26 $0.0600
1996-12-27 $0.0600
1996-09-26 $0.0600
1996-06-12 $0.0600
1996-03-27 $0.0467
1995-12-27 $0.0467
1995-09-27 $0.0467
1995-06-28 $0.0467
1995-03-27 $0.0367
1994-12-23 $0.0367
1994-09-26 $0.0367
1994-06-24 $0.0367
1994-03-25 $0.0333
1993-12-27 $0.0333
1993-09-24 $0.0333
1993-09-02 $0.0767
1993-06-24 $0.0333
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.48. Further, an Excess Kurtosis of 12.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.75%570.69%0.69%
-5.75% to -4.30%700.85%1.54%
-4.30% to -2.84%2402.90%4.44%
-2.84% to -1.39%85310.32%14.75%
-1.39% to 0.07%305136.90%51.65%
0.07% to 1.52%283634.30%85.95%
1.52% to 2.98%7499.06%95.01%
2.98% to 4.43%2452.96%97.97%
4.43% to 5.89%810.98%98.95%
Greater than 5.89%871.05%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.87%2.01% 80.17%68.27%
±2σ -3.81%3.95% 95.10%95.45%
±3σ -5.75%5.89% 98.26%99.73%
Descriptive Statistics
Mean0.069%
Standard Error0.021%
Median0.017%
Mode0.000%
Standard Deviation1.940%
Sample Variance3.765%
Kurtosis12.28
Skewness0.48
Range40.511%
Minimum-19.758%
Maximum20.753%
Count8269
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.325% 4162 50.33% 0.667%
Negative -1.265% 3908 47.26% -0.598%
Zero 0.000% 199 2.41% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.08%
20 1 Month 2.22%
60 1 Quarter 1.74%
250 1 Year 1.78%
750 3 Years 1.71%
1,250 5 Years 1.88%
2,500 10 Years 1.89%
5,000 20 Years 2.04%
12,500 50 Years 2.33%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.50. Further, an Excess Kurtosis of 22.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.14%00.00%0.00%
-3.14% to -1.80%00.00%0.00%
-1.80% to -0.45%00.00%0.00%
-0.45% to 0.89%93111.26%11.26%
0.89% to 2.23%454354.93%66.19%
2.23% to 3.58%164419.88%86.07%
3.58% to 4.92%6077.34%93.41%
4.92% to 6.26%2603.14%96.55%
6.26% to 7.61%1171.41%97.97%
Greater than 7.61%1682.03%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.44%4.02% 88.46%68.27%
±2σ -1.35%5.81% 95.79%95.45%
±3σ -3.14%7.61% 97.97%99.73%
Descriptive Statistics
Mean2.233%
Standard Error0.020%
Median1.716%
Mode0.855%
Standard Deviation1.791%
Sample Variance3.208%
Kurtosis22.06
Skewness3.50
Range26.404%
Minimum0.210%
Maximum26.614%
Count8270
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.233% 8270 100.00% 2.233%
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 0.29. Further, an Excess Kurtosis of 12.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.21%820.99%0.99%
-5.21% to -3.90%841.02%2.01%
-3.90% to -2.60%2362.85%4.86%
-2.60% to -1.30%7919.56%14.43%
-1.30% to 0.00%308437.29%51.72%
0.00% to 1.30%276633.45%85.16%
1.30% to 2.60%8059.73%94.90%
2.60% to 3.91%2613.16%98.05%
3.91% to 5.21%961.16%99.21%
Greater than 5.21%650.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.74%1.74% 80.02%68.27%
±2σ -3.47%3.47% 94.76%95.45%
±3σ -5.21%5.21% 98.22%99.73%
Descriptive Statistics
Mean0.001%
Standard Error0.019%
Median0.000%
Mode0.000%
Standard Deviation1.736%
Sample Variance3.014%
Kurtosis12.41
Skewness0.29
Range39.529%
Minimum-14.483%
Maximum25.046%
Count8270
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.191% 3993 48.28% 0.575%
Negative -1.177% 4036 48.80% -0.574%
Zero 0.000% 241 2.91% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.63. Further, an Excess Kurtosis of 4.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.28%80.47%0.47%
-12.28% to -9.13%231.34%1.81%
-9.13% to -5.97%613.55%5.36%
-5.97% to -2.82%18110.54%15.90%
-2.82% to 0.33%61335.70%51.60%
0.33% to 3.48%57533.49%85.09%
3.48% to 6.64%1629.44%94.53%
6.64% to 9.79%482.80%97.32%
9.79% to 12.94%261.51%98.84%
Greater than 12.94%201.16%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.87%4.53% 78.74%68.27%
±2σ -8.08%8.74% 94.29%95.45%
±3σ -12.28%12.94% 98.37%99.73%
Descriptive Statistics
Mean0.331%
Standard Error0.101%
Median0.195%
Mode0.000%
Standard Deviation4.203%
Sample Variance17.664%
Kurtosis4.91
Skewness0.63
Range49.389%
Minimum-24.857%
Maximum24.532%
Count1717
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.077% 894 52.07% 1.602%
Negative -2.691% 811 47.23% -1.271%
Zero 0.000% 12 0.70% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.91%
12 1 Quarter 3.61%
52 1 Year 4.02%
156 3 Years 3.90%
260 5 Years 4.30%
520 10 Years 4.31%
1,040 20 Years 4.59%
2,600 50 Years 5.51%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.90. Further, an Excess Kurtosis of 28.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.15%00.00%0.00%
-8.15% to -4.69%00.00%0.00%
-4.69% to -1.23%00.00%0.00%
-1.23% to 2.22%1649.55%9.55%
2.22% to 5.68%98157.10%66.65%
5.68% to 9.14%33519.50%86.15%
9.14% to 12.59%1277.39%93.54%
12.59% to 16.05%603.49%97.03%
16.05% to 19.51%191.11%98.14%
Greater than 19.51%321.86%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.07%10.29% 88.65%68.27%
±2σ -3.54%14.90% 95.98%95.45%
±3σ -8.15%19.51% 98.14%99.73%
Descriptive Statistics
Mean5.681%
Standard Error0.111%
Median4.316%
Mode2.128%
Standard Deviation4.609%
Sample Variance21.241%
Kurtosis28.02
Skewness3.90
Range60.143%
Minimum0.630%
Maximum60.773%
Count1718
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.681% 1718 100.00% 5.681%
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 0.40. Further, an Excess Kurtosis of 6.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.36%170.99%0.99%
-12.36% to -9.29%201.16%2.15%
-9.29% to -6.22%523.03%5.18%
-6.22% to -3.16%1669.66%14.84%
-3.16% to -0.10%61835.97%50.81%
-0.10% to 2.97%58233.88%84.69%
2.97% to 6.04%1699.84%94.53%
6.04% to 9.10%583.38%97.90%
9.10% to 12.17%201.16%99.07%
Greater than 12.17%160.93%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.18%3.99% 78.75%68.27%
±2σ -8.27%8.08% 94.12%95.45%
±3σ -12.36%12.17% 98.08%99.73%
Descriptive Statistics
Mean-0.095%
Standard Error0.099%
Median-0.162%
Mode0.000%
Standard Deviation4.087%
Sample Variance16.702%
Kurtosis6.91
Skewness0.40
Range56.433%
Minimum-19.310%
Maximum37.123%
Count1718
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.849% 811 47.21% 1.345%
Negative -2.792% 886 51.57% -1.440%
Zero 0.000% 21 1.22% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.10. Further, an Excess Kurtosis of 1.90 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -19.42%41.01%1.01%
-19.42% to -14.24%41.01%2.03%
-14.24% to -9.06%82.03%4.05%
-9.06% to -3.88%6616.71%20.76%
-3.88% to 1.30%11328.61%49.37%
1.30% to 6.47%12732.15%81.52%
6.47% to 11.65%4812.15%93.67%
11.65% to 16.83%194.81%98.48%
16.83% to 22.01%20.51%98.99%
Greater than 22.01%41.01%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.61%8.20% 75.19%68.27%
±2σ -12.51%15.11% 95.44%95.45%
±3σ -19.42%22.01% 97.97%99.73%
Descriptive Statistics
Mean1.296%
Standard Error0.347%
Median1.333%
Mode0.000%
Standard Deviation6.905%
Sample Variance47.679%
Kurtosis1.90
Skewness0.10
Range51.122%
Minimum-22.405%
Maximum28.717%
Count395
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.530% 235 59.49% 3.290%
Negative -5.017% 157 39.75% -1.994%
Zero 0.000% 3 0.76% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 7.87%
12 1 Year 8.06%
36 3 Years 8.12%
60 5 Years 9.10%
120 10 Years 9.16%
240 20 Years 9.45%
600 50 Years 11.63%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.36. Further, an Excess Kurtosis of 16.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.57%00.00%0.00%
-17.57% to -9.99%00.00%0.00%
-9.99% to -2.42%00.00%0.00%
-2.42% to 5.16%369.09%9.09%
5.16% to 12.74%23559.34%68.43%
12.74% to 20.32%7318.43%86.87%
20.32% to 27.89%225.56%92.42%
27.89% to 35.47%184.55%96.97%
35.47% to 43.05%51.26%98.23%
Greater than 43.05%71.77%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.64%22.84% 89.65%68.27%
±2σ -7.47%32.95% 95.20%95.45%
±3σ -17.57%43.05% 98.23%99.73%
Descriptive Statistics
Mean12.739%
Standard Error0.508%
Median9.896%
Mode4.723%
Standard Deviation10.104%
Sample Variance102.089%
Kurtosis16.38
Skewness3.36
Range86.350%
Minimum2.600%
Maximum88.950%
Count396
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.739% 396 100.00% 12.739%
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 Right Skewed (Positive Asymmetry) with a Skewness factor of 0.63. Further, an Excess Kurtosis of 2.63 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -21.33%20.51%0.51%
-21.33% to -16.15%30.76%1.26%
-16.15% to -10.97%164.04%5.30%
-10.97% to -5.79%5012.63%17.93%
-5.79% to -0.60%14336.11%54.04%
-0.60% to 4.58%10125.51%79.55%
4.58% to 9.76%6416.16%95.71%
9.76% to 14.94%51.26%96.97%
14.94% to 20.12%61.52%98.48%
Greater than 20.12%61.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.51%6.30% 76.01%68.27%
±2σ -14.42%13.21% 95.45%95.45%
±3σ -21.33%20.12% 97.98%99.73%
Descriptive Statistics
Mean-0.605%
Standard Error0.347%
Median-1.158%
Mode-10.526%
Standard Deviation6.907%
Sample Variance47.710%
Kurtosis2.63
Skewness0.63
Range52.891%
Minimum-22.951%
Maximum29.940%
Count396
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.432% 166 41.92% 2.277%
Negative -4.984% 229 57.83% -2.882%
Zero 0.000% 1 0.25% 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 3.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.03%00.00%0.00%
-30.03% to -21.57%43.03%3.03%
-21.57% to -13.11%43.03%6.06%
-13.11% to -4.64%129.09%15.15%
-4.64% to 3.82%4534.09%49.24%
3.82% to 12.29%4433.33%82.58%
12.29% to 20.75%1612.12%94.70%
20.75% to 29.21%32.27%96.97%
29.21% to 37.68%32.27%99.24%
Greater than 37.68%10.76%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.46%15.11% 80.30%68.27%
±2σ -18.75%26.39% 93.94%95.45%
±3σ -30.03%37.68% 99.24%99.73%
Descriptive Statistics
Mean3.823%
Standard Error0.982%
Median4.034%
Mode5.047%
Standard Deviation11.285%
Sample Variance127.354%
Kurtosis3.08
Skewness0.40
Range79.265%
Minimum-28.398%
Maximum50.867%
Count132
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.770% 93 70.45% 6.179%
Negative -7.972% 39 29.55% -2.355%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 11.78%
12 3 Years 12.83%
20 5 Years 14.08%
40 10 Years 15.22%
80 20 Years 15.83%
200 50 Years 19.90%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.65. Further, an Excess Kurtosis of 7.84 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.99%00.00%0.00%
-33.99% to -19.68%00.00%0.00%
-19.68% to -5.37%00.00%0.00%
-5.37% to 8.95%96.77%6.77%
8.95% to 23.26%8463.16%69.92%
23.26% to 37.57%2418.05%87.97%
37.57% to 51.88%43.01%90.98%
51.88% to 66.19%75.26%96.24%
66.19% to 80.51%00.00%96.24%
Greater than 80.51%53.76%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.17%42.34% 89.47%68.27%
±2σ -14.91%61.42% 96.24%95.45%
±3σ -33.99%80.51% 96.24%99.73%
Descriptive Statistics
Mean23.257%
Standard Error1.655%
Median16.712%
Mode5.828%
Standard Deviation19.083%
Sample Variance364.158%
Kurtosis7.84
Skewness2.65
Range110.747%
Minimum5.828%
Maximum116.575%
Count133
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 23.257% 133 100.00% 23.257%
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 Right Skewed (Positive Asymmetry) with a Skewness factor of 0.97. Further, an Excess Kurtosis of 3.20 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -34.46%00.00%0.00%
-34.46% to -26.34%21.50%1.50%
-26.34% to -18.22%32.26%3.76%
-18.22% to -10.11%1712.78%16.54%
-10.11% to -1.99%5037.59%54.14%
-1.99% to 6.13%4130.83%84.96%
6.13% to 14.25%118.27%93.23%
14.25% to 22.37%43.01%96.24%
22.37% to 30.48%21.50%97.74%
Greater than 30.48%32.26%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -12.81%8.84% 79.70%68.27%
±2σ -23.63%19.66% 92.48%95.45%
±3σ -34.46%30.48% 97.74%99.73%
Descriptive Statistics
Mean-1.987%
Standard Error0.939%
Median-2.892%
Mode-8.264%
Standard Deviation10.824%
Sample Variance117.166%
Kurtosis3.20
Skewness0.97
Range73.420%
Minimum-32.174%
Maximum41.246%
Count133
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.133% 48 36.09% 2.935%
Negative -7.702% 85 63.91% -4.922%
Zero 0.000% 0 0.00% 0.000%