CHWY - Detail Report

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	3.88%	2.93%	3.43%	5.26%	3.72%	3.82%	25.48	27.45	24.55	28.49
Weekly	8.44%	7.18%	8.04%	12.35%	8.19%	8.40%	24.37	28.71	22.45	31.16
Monthly	16.48%	15.88%	15.88%	27.96%	17.05%	17.49%	22.30	31.37	18.81	37.20
Quarterly	30.26%	35.43%	30.07%	49.19%	29.53%	30.30%	19.69	35.54	14.65	47.74
Annual	—	—	—	—	59.05%	60.60%	14.65	47.74	8.12	86.17
Option Time Horizon	—	—	—	—	22.71%	23.31%	21.08	33.20	16.79	41.66

Calculation Notes: Computed at 2026-02-22T14:19 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $26.45 | Strike (K): $27.50 (first OTM call ≥ spot) | Observed Mid-Price: $2.0350 (Bid $1.8200 / Ask $2.2500) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 59.05% (CRR binomial tree, American, n=20 steps) | BS IV: 59.70% (European Black-Scholes) | Yahoo IV (Annual): 60.60% → period-scaled as σ_period = σ_annual·√h | Price bands: Upper = S·e^+σ√h, Lower = S·e^−σ√h

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.64. Further, an Excess Kurtosis of 4.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -11.57%	7	0.42%	0.42%
-11.57% to -8.66%	15	0.89%	1.31%
-8.66% to -5.76%	65	3.87%	5.18%
-5.76% to -2.85%	224	13.33%	18.51%
-2.85% to 0.06%	562	33.45%	51.96%
0.06% to 2.97%	488	29.05%	81.01%
2.97% to 5.87%	220	13.10%	94.11%
5.87% to 8.78%	62	3.69%	97.80%
8.78% to 11.69%	23	1.37%	99.17%
Greater than 11.69%	14	0.83%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.82%	3.93%	75.18%	68.27%
±2σ	-7.70%	7.81%	95.24%	95.45%
±3σ	-11.57%	11.69%	98.75%	99.73%

Descriptive Statistics

Mean	0.058%
Standard Error	0.095%
Median	-0.050%
Mode	0.000%
Standard Deviation	3.877%
Sample Variance	15.032%
Kurtosis	4.11
Skewness	0.64
Range	43.747%
Minimum	-16.603%
Maximum	27.144%
Count	1680

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.938%	824	49.05%	1.441%
Negative	-2.738%	849	50.54%	-1.384%
Zero	0.000%	7	0.42%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	4.30%
20	1 Month	4.59%
60	1 Quarter	4.03%
250	1 Year	4.01%
750	3 Years	4.59%
1,250	5 Years	5.26%
2,500	10 Years	5.42%
5,000	20 Years	5.42%
12,500	50 Years	5.42%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.00. Further, an Excess Kurtosis of 22.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.48%	0	0.00%	0.00%
-3.48% to -1.27%	0	0.00%	0.00%
-1.27% to 0.93%	0	0.00%	0.00%
0.93% to 3.13%	317	18.86%	18.86%
3.13% to 5.33%	724	43.07%	61.93%
5.33% to 7.53%	366	21.77%	83.70%
7.53% to 9.73%	161	9.58%	93.28%
9.73% to 11.93%	57	3.39%	96.67%
11.93% to 14.13%	28	1.67%	98.33%
Greater than 14.13%	28	1.67%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.39%	8.26%	81.62%	68.27%
±2σ	-0.54%	11.20%	95.66%	95.45%
±3σ	-3.47%	14.13%	98.33%	99.73%

Descriptive Statistics

Mean	5.327%
Standard Error	0.072%
Median	4.627%
Mode	2.577%
Standard Deviation	2.934%
Sample Variance	8.607%
Kurtosis	22.61
Skewness	3.00
Range	42.833%
Minimum	1.182%
Maximum	44.015%
Count	1681

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.327%	1681	100.00%	5.327%
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 -0.11. Further, an Excess Kurtosis of 1.45 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.20%	11	0.65%	0.65%
-10.20% to -7.62%	25	1.49%	2.14%
-7.62% to -5.05%	66	3.93%	6.07%
-5.05% to -2.47%	225	13.38%	19.45%
-2.47% to 0.10%	506	30.10%	49.55%
0.10% to 2.68%	515	30.64%	80.19%
2.68% to 5.25%	235	13.98%	94.17%
5.25% to 7.83%	73	4.34%	98.51%
7.83% to 10.40%	18	1.07%	99.58%
Greater than 10.40%	7	0.42%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.33%	3.54%	72.99%	68.27%
±2σ	-6.76%	6.97%	94.35%	95.45%
±3σ	-10.20%	10.40%	98.93%	99.73%

Descriptive Statistics

Mean	0.103%
Standard Error	0.084%
Median	0.118%
Mode	0.000%
Standard Deviation	3.433%
Sample Variance	11.784%
Kurtosis	1.45
Skewness	-0.11
Range	31.464%
Minimum	-14.444%
Maximum	17.020%
Count	1681

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.601%	872	51.87%	1.349%
Negative	-2.602%	805	47.89%	-1.246%
Zero	0.000%	4	0.24%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.72. Further, an Excess Kurtosis of 1.78 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -25.05%	1	0.29%	0.29%
-25.05% to -18.72%	0	0.00%	0.29%
-18.72% to -12.39%	18	5.16%	5.44%
-12.39% to -6.06%	53	15.19%	20.63%
-6.06% to 0.28%	113	32.38%	53.01%
0.28% to 6.61%	93	26.65%	79.66%
6.61% to 12.94%	49	14.04%	93.70%
12.94% to 19.27%	13	3.72%	97.42%
19.27% to 25.60%	5	1.43%	98.85%
Greater than 25.60%	4	1.15%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.17%	8.72%	72.78%	68.27%
±2σ	-16.61%	17.16%	95.99%	95.45%
±3σ	-25.05%	25.60%	98.57%	99.73%

Descriptive Statistics

Mean	0.275%
Standard Error	0.452%
Median	-0.532%
Mode	6.724%
Standard Deviation	8.441%
Sample Variance	71.254%
Kurtosis	1.78
Skewness	0.72
Range	61.505%
Minimum	-27.166%
Maximum	34.339%
Count	349

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.010%	168	48.14%	3.374%
Negative	-5.976%	181	51.86%	-3.099%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	12.21%
12	1 Quarter	9.50%
52	1 Year	9.10%
156	3 Years	10.77%
260	5 Years	12.35%
520	10 Years	12.71%
1,040	20 Years	12.71%
2,600	50 Years	12.71%

High-to-Low 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 4.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -7.87%	0	0.00%	0.00%
-7.87% to -2.48%	0	0.00%	0.00%
-2.48% to 2.90%	0	0.00%	0.00%
2.90% to 8.28%	76	21.71%	21.71%
8.28% to 13.66%	135	38.57%	60.29%
13.66% to 19.04%	79	22.57%	82.86%
19.04% to 24.43%	31	8.86%	91.71%
24.43% to 29.81%	16	4.57%	96.29%
29.81% to 35.19%	7	2.00%	98.29%
Greater than 35.19%	6	1.71%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.48%	20.84%	76.00%	68.27%
±2σ	-0.69%	28.01%	95.71%	95.45%
±3σ	-7.87%	35.19%	98.29%	99.73%

Descriptive Statistics

Mean	13.661%
Standard Error	0.384%
Median	12.101%
Mode	5.562%
Standard Deviation	7.176%
Sample Variance	51.493%
Kurtosis	4.41
Skewness	1.71
Range	51.188%
Minimum	3.419%
Maximum	54.607%
Count	350

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	13.661%	350	100.00%	13.661%
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 0.17. Further, an Excess Kurtosis of 1.17 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -23.61%	1	0.29%	0.29%
-23.61% to -17.57%	5	1.43%	1.71%
-17.57% to -11.54%	14	4.00%	5.71%
-11.54% to -5.51%	51	14.57%	20.29%
-5.51% to 0.53%	105	30.00%	50.29%
0.53% to 6.56%	102	29.14%	79.43%
6.56% to 12.59%	48	13.71%	93.14%
12.59% to 18.63%	21	6.00%	99.14%
18.63% to 24.66%	2	0.57%	99.71%
Greater than 24.66%	1	0.29%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.52%	8.57%	72.29%	68.27%
±2σ	-15.56%	16.62%	95.43%	95.45%
±3σ	-23.61%	24.66%	99.43%	99.73%

Descriptive Statistics

Mean	0.527%
Standard Error	0.430%
Median	0.510%
Mode	1.882%
Standard Deviation	8.045%
Sample Variance	64.728%
Kurtosis	1.17
Skewness	0.17
Range	62.520%
Minimum	-24.304%
Maximum	38.216%
Count	350

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.484%	184	52.57%	3.409%
Negative	-6.112%	165	47.14%	-2.881%
Zero	0.000%	1	0.29%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.46. Further, an Excess Kurtosis of -0.37 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -48.51%	0	0.00%	0.00%
-48.51% to -36.14%	0	0.00%	0.00%
-36.14% to -23.78%	5	6.25%	6.25%
-23.78% to -11.41%	14	17.50%	23.75%
-11.41% to 0.95%	28	35.00%	58.75%
0.95% to 13.31%	14	17.50%	76.25%
13.31% to 25.68%	11	13.75%	90.00%
25.68% to 38.04%	6	7.50%	97.50%
38.04% to 50.40%	2	2.50%	100.00%
Greater than 50.40%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.54%	17.43%	71.25%	68.27%
±2σ	-32.02%	33.92%	96.25%	95.45%
±3σ	-48.51%	50.40%	100.00%	99.73%

Descriptive Statistics

Mean	0.949%
Standard Error	1.843%
Median	-1.128%
Mode	-29.263%
Standard Deviation	16.485%
Sample Variance	271.744%
Kurtosis	-0.37
Skewness	0.46
Range	70.757%
Minimum	-29.263%
Maximum	41.494%
Count	80

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	15.509%	37	46.25%	7.173%
Negative	-11.580%	43	53.75%	-6.224%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	18.85%
12	1 Year	19.53%
36	3 Years	25.47%
60	5 Years	27.96%
120	10 Years	28.09%
240	20 Years	28.09%
600	50 Years	28.09%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.49. Further, an Excess Kurtosis of 2.50 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -15.06%	0	0.00%	0.00%
-15.06% to -3.14%	0	0.00%	0.00%
-3.14% to 8.77%	0	0.00%	0.00%
8.77% to 20.68%	17	20.99%	20.99%
20.68% to 32.60%	34	41.98%	62.96%
32.60% to 44.51%	13	16.05%	79.01%
44.51% to 56.43%	12	14.81%	93.83%
56.43% to 68.34%	2	2.47%	96.30%
68.34% to 80.25%	1	1.23%	97.53%
Greater than 80.25%	2	2.47%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.71%	48.48%	79.01%	68.27%
±2σ	0.83%	64.37%	95.06%	95.45%
±3σ	-15.06%	80.25%	97.53%	99.73%

Descriptive Statistics

Mean	32.598%
Standard Error	1.765%
Median	27.011%
Mode	12.452%
Standard Deviation	15.885%
Sample Variance	252.325%
Kurtosis	2.50
Skewness	1.49
Range	79.740%
Minimum	12.452%
Maximum	92.192%
Count	81

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	32.598%	81	100.00%	32.598%
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 0.27. Further, an Excess Kurtosis of -0.30 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -45.53%	0	0.00%	0.00%
-45.53% to -33.62%	0	0.00%	0.00%
-33.62% to -21.71%	3	3.70%	3.70%
-21.71% to -9.80%	20	24.69%	28.40%
-9.80% to 2.11%	19	23.46%	51.85%
2.11% to 14.02%	21	25.93%	77.78%
14.02% to 25.93%	12	14.81%	92.59%
25.93% to 37.84%	4	4.94%	97.53%
37.84% to 49.75%	2	2.47%	100.00%
Greater than 49.75%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.77%	17.99%	69.14%	68.27%
±2σ	-29.65%	33.87%	96.30%	95.45%
±3σ	-45.53%	49.75%	100.00%	99.73%

Descriptive Statistics

Mean	2.109%
Standard Error	1.764%
Median	1.718%
Mode	-29.750%
Standard Deviation	15.879%
Sample Variance	252.150%
Kurtosis	-0.30
Skewness	0.27
Range	71.560%
Minimum	-29.750%
Maximum	41.810%
Count	81

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	13.282%	46	56.79%	7.543%
Negative	-12.574%	35	43.21%	-5.433%
Zero	0.000%	0	0.00%	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 -0.13 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -87.54%	0	0.00%	0.00%
-87.54% to -64.84%	0	0.00%	0.00%
-64.84% to -42.15%	1	3.70%	3.70%
-42.15% to -19.45%	5	18.52%	22.22%
-19.45% to 3.24%	9	33.33%	55.56%
3.24% to 25.93%	7	25.93%	81.48%
25.93% to 48.63%	2	7.41%	88.89%
48.63% to 71.33%	3	11.11%	100.00%
71.33% to 94.02%	0	0.00%	100.00%
Greater than 94.02%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.02%	33.50%	66.67%	68.27%
±2σ	-57.28%	63.76%	96.30%	95.45%
±3σ	-87.54%	94.02%	100.00%	99.73%

Descriptive Statistics

Mean	3.240%
Standard Error	5.824%
Median	-2.133%
Mode	-42.979%
Standard Deviation	30.260%
Sample Variance	915.658%
Kurtosis	-0.13
Skewness	0.63
Range	108.271%
Minimum	-42.979%
Maximum	65.292%
Count	27

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	29.683%	12	44.44%	13.192%
Negative	-17.914%	15	55.56%	-9.952%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	27.75%
12	3 Years	46.58%
20	5 Years	49.19%
40	10 Years	51.41%
80	20 Years	51.41%
200	50 Years	51.41%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.20. Further, an Excess Kurtosis of 0.81 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -41.30%	0	0.00%	0.00%
-41.30% to -14.72%	0	0.00%	0.00%
-14.72% to 11.86%	0	0.00%	0.00%
11.86% to 38.43%	6	21.43%	21.43%
38.43% to 65.01%	12	42.86%	64.29%
65.01% to 91.58%	4	14.29%	78.57%
91.58% to 118.16%	3	10.71%	89.29%
118.16% to 144.73%	2	7.14%	96.43%
144.73% to 171.31%	1	3.57%	100.00%
Greater than 171.31%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	29.57%	100.44%	71.43%	68.27%
±2σ	-5.86%	135.87%	96.43%	95.45%
±3σ	-41.30%	171.31%	100.00%	99.73%

Descriptive Statistics

Mean	65.006%
Standard Error	6.696%
Median	50.926%
Mode	26.236%
Standard Deviation	35.434%
Sample Variance	1255.599%
Kurtosis	0.81
Skewness	1.20
Range	137.064%
Minimum	26.236%
Maximum	163.300%
Count	28

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	65.006%	28	100.00%	65.006%
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 0.64. Further, an Excess Kurtosis of 0.04 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -85.22%	0	0.00%	0.00%
-85.22% to -62.66%	0	0.00%	0.00%
-62.66% to -40.11%	0	0.00%	0.00%
-40.11% to -17.55%	6	21.43%	21.43%
-17.55% to 5.00%	9	32.14%	53.57%
5.00% to 27.56%	7	25.00%	78.57%
27.56% to 50.11%	3	10.71%	89.29%
50.11% to 72.67%	2	7.14%	96.43%
72.67% to 95.22%	1	3.57%	100.00%
Greater than 95.22%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.07%	35.08%	64.29%	68.27%
±2σ	-55.15%	65.15%	96.43%	95.45%
±3σ	-85.22%	95.22%	100.00%	99.73%

Descriptive Statistics

Mean	5.002%
Standard Error	5.683%
Median	0.370%
Mode	-38.981%
Standard Deviation	30.074%
Sample Variance	904.460%
Kurtosis	0.04
Skewness	0.64
Range	112.287%
Minimum	-38.981%
Maximum	73.306%
Count	28

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	27.592%	14	50.00%	13.796%
Negative	-17.589%	14	50.00%	-8.794%
Zero	0.000%	0	0.00%	0.000%

CHWY Deep Analytical Report