CI - 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	2.02%	1.95%	1.74%	2.32%	1.78%	1.87%	275.36	285.35	270.49	290.48
Weekly	4.42%	5.37%	4.51%	5.44%	3.92%	4.11%	269.52	291.53	259.15	303.19
Monthly	8.75%	14.81%	10.28%	12.11%	8.17%	8.55%	258.32	304.17	238.06	330.05
Quarterly	15.20%	29.92%	19.67%	20.25%	14.15%	14.82%	243.33	322.91	211.23	371.98
Annual	—	—	—	—	28.29%	29.63%	211.23	371.98	159.18	493.63
Option Time Horizon	—	—	—	—	10.88%	11.40%	251.41	312.54	225.48	348.47

Calculation Notes: Computed at 2026-02-22T14:18 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $280.31 | Strike (K): $290.00 (first OTM call ≥ spot) | Observed Mid-Price: $8.4500 (Bid $8.1000 / Ask $8.8000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 2.11% | Binomial IV (Annual): 28.29% (CRR binomial tree, American, n=20 steps) | BS IV: 28.53% (European Black-Scholes) | Yahoo IV (Annual): 29.63% → period-scaled as σ_period = σ_annual·√h | Price bands: Upper = S·e^+σ√h, Lower = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2025-12-04	$1.5100
2025-09-04	$1.5100
2025-06-03	$1.5100
2025-03-05	$1.5100
2024-12-04	$1.4000
2024-09-04	$1.4000
2024-06-04	$1.4000
2024-03-05	$1.4000
2023-12-05	$1.2300
2023-09-05	$1.2300
2023-06-06	$1.2300
2023-03-07	$1.2300
2022-12-05	$1.1200
2022-09-06	$1.1200
2022-06-07	$1.1200
2022-03-08	$1.1200
2021-12-06	$1.0000
2021-09-07	$1.0000
2021-06-07	$1.0000
2021-03-09	$1.0000
2020-03-09	$0.0400
2019-03-08	$0.0400
2018-03-09	$0.0400
2017-03-08	$0.0400
2016-03-09	$0.0400
2015-03-10	$0.0400
2014-03-10	$0.0400
2013-03-08	$0.0400
2012-03-08	$0.0400
2011-03-09	$0.0400
2010-03-09	$0.0400
2009-03-09	$0.0400
2008-03-07	$0.0400
2007-12-11	$0.0100
2007-09-10	$0.0100
2007-06-08	$0.0100
2007-03-09	$0.0083
2006-12-07	$0.0083
2006-09-07	$0.0083
2006-06-08	$0.0083
2006-03-09	$0.0083
2005-12-08	$0.0083
2005-09-08	$0.0083
2005-06-09	$0.0083
2005-03-10	$0.0083
2004-12-09	$0.0083
2004-09-09	$0.0083
2004-06-10	$0.0083
2004-03-11	$0.1100
2003-12-09	$0.1100
2003-09-09	$0.1100
2003-06-06	$0.1100
2003-03-07	$0.1100
2002-12-11	$0.1100
2002-09-10	$0.1100
2002-06-10	$0.1100
2002-03-11	$0.1100
2001-12-13	$0.1067
2001-09-10	$0.1067
2001-06-08	$0.1067
2001-03-09	$0.1067
2000-12-20	$0.1033
2000-09-08	$0.1033
2000-06-08	$0.1033
2000-03-09	$0.1033
1999-12-21	$0.1000
1999-09-08	$0.1000
1999-06-09	$0.1000
1999-03-10	$0.1000
1998-12-22	$0.0960
1998-09-09	$0.0960
1998-06-10	$0.0960
1998-03-11	$0.0956
1997-12-10	$0.0922
1997-09-10	$0.0922
1997-06-10	$0.0922
1997-03-11	$0.0922
1996-12-11	$0.0889
1996-09-10	$0.0889
1996-06-10	$0.0889
1996-03-11	$0.0889
1995-12-11	$0.0844
1995-09-08	$0.0844
1995-06-08	$0.0844
1995-03-07	$0.0844
1994-12-07	$0.0844
1994-09-06	$0.0844
1994-06-06	$0.0844
1994-03-07	$0.0844
1993-12-07	$0.0844
1993-09-03	$0.0844
1993-06-07	$0.0844
1993-03-08	$0.0844
1992-12-07	$0.0844
1992-09-04	$0.0844
1992-06-08	$0.0844
1992-03-09	$0.0844
1991-12-09	$0.0844
1991-09-06	$0.0844
1991-06-06	$0.0844
1991-03-07	$0.0844
1990-12-07	$0.0844
1990-09-06	$0.0844
1990-06-06	$0.0844
1990-03-07	$0.0844
1989-12-07	$0.0822
1989-09-06	$0.0822
1989-06-06	$0.0822
1989-03-07	$0.0822
1988-12-07	$0.0822
1988-09-06	$0.0822
1988-06-06	$0.1252
1988-03-07	$0.0822
1987-12-07	$0.0778
1987-09-04	$0.0778
1987-06-08	$0.0778
1987-03-09	$0.0778
1986-12-08	$0.0722
1986-09-08	$0.0722
1986-06-06	$0.0722
1986-03-07	$0.0722
1985-12-09	$0.0722
1985-09-06	$0.0722
1985-06-06	$0.0722
1985-03-07	$0.0722
1984-12-07	$0.0722
1984-09-06	$0.0722
1984-06-06	$0.0722
1984-03-07	$0.0722
1983-12-05	$0.0689
1983-09-02	$0.0689
1983-06-06	$0.0689
1983-03-07	$0.0689
1982-12-07	$0.0639
1982-09-07	$0.0639
1982-06-07	$0.0639

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Left Skewed (Negative Asymmetry) with a Skewness factor of -0.83. Further, an Excess Kurtosis of 29.20 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -6.01%	79	0.71%	0.71%
-6.01% to -4.49%	81	0.73%	1.45%
-4.49% to -2.97%	313	2.83%	4.28%
-2.97% to -1.45%	1175	10.62%	14.90%
-1.45% to 0.07%	3953	35.74%	50.64%
0.07% to 1.58%	3735	33.77%	84.40%
1.58% to 3.10%	1243	11.24%	95.64%
3.10% to 4.62%	320	2.89%	98.54%
4.62% to 6.14%	92	0.83%	99.37%
Greater than 6.14%	70	0.63%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.96%	2.09%	80.70%	68.27%
±2σ	-3.98%	4.11%	95.92%	95.45%
±3σ	-6.01%	6.14%	98.65%	99.73%

Descriptive Statistics

Mean	0.065%
Standard Error	0.019%
Median	0.030%
Mode	0.000%
Standard Deviation	2.024%
Sample Variance	4.095%
Kurtosis	29.20
Skewness	-0.83
Range	65.364%
Minimum	-41.824%
Maximum	23.540%
Count	11061

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	1.374%	5584	50.48%	0.694%
Negative	-1.356%	5129	46.37%	-0.629%
Zero	0.000%	348	3.15%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	2.21%
20	1 Month	2.92%
60	1 Quarter	2.38%
250	1 Year	2.57%
750	3 Years	2.34%
1,250	5 Years	2.32%
2,500	10 Years	2.46%
5,000	20 Years	2.75%
12,500	50 Years	2.43%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 10.28. Further, an Excess Kurtosis of 310.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.52%	0	0.00%	0.00%
-3.52% to -2.06%	0	0.00%	0.00%
-2.06% to -0.60%	0	0.00%	0.00%
-0.60% to 0.86%	797	7.20%	7.20%
0.86% to 2.32%	6412	57.96%	65.17%
2.32% to 3.78%	2605	23.55%	88.72%
3.78% to 5.24%	732	6.62%	95.34%
5.24% to 6.70%	254	2.30%	97.63%
6.70% to 8.15%	100	0.90%	98.54%
Greater than 8.15%	162	1.46%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.37%	4.26%	91.85%	68.27%
±2σ	-1.57%	6.21%	97.13%	95.45%
±3σ	-3.52%	8.15%	98.54%	99.73%

Descriptive Statistics

Mean	2.319%
Standard Error	0.018%
Median	1.888%
Mode	1.389%
Standard Deviation	1.945%
Sample Variance	3.783%
Kurtosis	310.97
Skewness	10.28
Range	83.944%
Minimum	0.170%
Maximum	84.114%
Count	11062

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.319%	11062	100.00%	2.319%
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 1.14. Further, an Excess Kurtosis of 22.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -5.22%	70	0.63%	0.63%
-5.22% to -3.92%	83	0.75%	1.38%
-3.92% to -2.62%	349	3.15%	4.54%
-2.62% to -1.32%	1298	11.73%	16.27%
-1.32% to -0.02%	3644	32.94%	49.21%
-0.02% to 1.28%	3893	35.19%	84.41%
1.28% to 2.58%	1222	11.05%	95.45%
2.58% to 3.89%	334	3.02%	98.47%
3.89% to 5.19%	91	0.82%	99.29%
Greater than 5.19%	78	0.71%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.75%	1.72%	78.89%	68.27%
±2σ	-3.49%	3.45%	95.77%	95.45%
±3σ	-5.22%	5.19%	98.66%	99.73%

Descriptive Statistics

Mean	-0.018%
Standard Error	0.016%
Median	0.000%
Mode	0.000%
Standard Deviation	1.735%
Sample Variance	3.011%
Kurtosis	22.74
Skewness	1.14
Range	48.109%
Minimum	-16.145%
Maximum	31.964%
Count	11062

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	1.220%	5185	46.87%	0.572%
Negative	-1.193%	5471	49.46%	-0.590%
Zero	0.000%	406	3.67%	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 9.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.96%	21	0.92%	0.92%
-12.96% to -9.64%	25	1.09%	2.01%
-9.64% to -6.32%	61	2.66%	4.67%
-6.32% to -3.01%	265	11.57%	16.24%
-3.01% to 0.31%	765	33.41%	49.65%
0.31% to 3.63%	752	32.84%	82.49%
3.63% to 6.94%	294	12.84%	95.33%
6.94% to 10.26%	76	3.32%	98.65%
10.26% to 13.58%	15	0.66%	99.30%
Greater than 13.58%	16	0.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.11%	4.73%	78.73%	68.27%
±2σ	-8.54%	9.16%	95.41%	95.45%
±3σ	-12.96%	13.58%	98.38%	99.73%

Descriptive Statistics

Mean	0.310%
Standard Error	0.092%
Median	0.340%
Mode	0.000%
Standard Deviation	4.423%
Sample Variance	19.560%
Kurtosis	9.14
Skewness	-0.10
Range	76.571%
Minimum	-39.511%
Maximum	37.060%
Count	2290

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.159%	1228	53.62%	1.694%
Negative	-3.053%	1038	45.33%	-1.384%
Zero	0.000%	24	1.05%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	6.90%
12	1 Quarter	5.41%
52	1 Year	5.92%
156	3 Years	5.53%
260	5 Years	5.44%
520	10 Years	5.76%
1,040	20 Years	6.32%
2,600	50 Years	5.84%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 9.23. Further, an Excess Kurtosis of 161.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.03%	0	0.00%	0.00%
-10.03% to -6.00%	0	0.00%	0.00%
-6.00% to -1.98%	0	0.00%	0.00%
-1.98% to 2.05%	92	4.02%	4.02%
2.05% to 6.08%	1412	61.63%	65.65%
6.08% to 10.10%	553	24.14%	89.79%
10.10% to 14.13%	137	5.98%	95.77%
14.13% to 18.15%	48	2.10%	97.86%
18.15% to 22.18%	20	0.87%	98.73%
Greater than 22.18%	29	1.27%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.71%	11.44%	92.97%	68.27%
±2σ	-4.66%	16.81%	97.21%	95.45%
±3σ	-10.03%	22.18%	98.73%	99.73%

Descriptive Statistics

Mean	6.076%
Standard Error	0.112%
Median	4.893%
Mode	3.125%
Standard Deviation	5.368%
Sample Variance	28.813%
Kurtosis	161.77
Skewness	9.23
Range	127.958%
Minimum	0.963%
Maximum	128.921%
Count	2291

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.076%	2291	100.00%	6.076%
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 2.15. Further, an Excess Kurtosis of 24.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -13.57%	13	0.57%	0.57%
-13.57% to -10.19%	8	0.35%	0.92%
-10.19% to -6.80%	55	2.40%	3.32%
-6.80% to -3.42%	303	13.23%	16.54%
-3.42% to -0.04%	829	36.19%	52.73%
-0.04% to 3.35%	754	32.91%	85.64%
3.35% to 6.73%	232	10.13%	95.77%
6.73% to 10.12%	48	2.10%	97.86%
10.12% to 13.50%	21	0.92%	98.78%
Greater than 13.50%	28	1.22%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.55%	4.48%	80.01%	68.27%
±2σ	-9.06%	8.99%	95.85%	95.45%
±3σ	-13.57%	13.50%	98.21%	99.73%

Descriptive Statistics

Mean	-0.036%
Standard Error	0.094%
Median	-0.248%
Mode	0.000%
Standard Deviation	4.513%
Sample Variance	20.367%
Kurtosis	24.45
Skewness	2.15
Range	90.447%
Minimum	-25.102%
Maximum	65.345%
Count	2291

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.241%	1052	45.92%	1.488%
Negative	-2.890%	1209	52.77%	-1.525%
Zero	0.000%	30	1.31%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Left Skewed (Negative Asymmetry) with a Skewness factor of -0.63. Further, an Excess Kurtosis of 4.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -24.92%	3	0.57%	0.57%
-24.92% to -18.36%	4	0.76%	1.33%
-18.36% to -11.79%	23	4.36%	5.69%
-11.79% to -5.23%	71	13.47%	19.17%
-5.23% to 1.33%	155	29.41%	48.58%
1.33% to 7.90%	172	32.64%	81.21%
7.90% to 14.46%	73	13.85%	95.07%
14.46% to 21.03%	20	3.80%	98.86%
21.03% to 27.59%	4	0.76%	99.62%
Greater than 27.59%	2	0.38%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.42%	10.09%	73.06%	68.27%
±2σ	-16.17%	18.84%	95.83%	95.45%
±3σ	-24.92%	27.59%	99.05%	99.73%

Descriptive Statistics

Mean	1.335%
Standard Error	0.381%
Median	1.606%
Mode	-6.882%
Standard Deviation	8.753%
Sample Variance	76.620%
Kurtosis	4.74
Skewness	-0.63
Range	91.172%
Minimum	-52.031%
Maximum	39.141%
Count	527

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.804%	307	58.25%	3.964%
Negative	-6.296%	220	41.75%	-2.628%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	8.82%
12	1 Year	13.57%
36	3 Years	12.57%
60	5 Years	12.11%
120	10 Years	12.51%
240	20 Years	13.54%
600	50 Years	12.86%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 10.74. Further, an Excess Kurtosis of 156.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -30.08%	0	0.00%	0.00%
-30.08% to -18.97%	0	0.00%	0.00%
-18.97% to -7.87%	0	0.00%	0.00%
-7.87% to 3.24%	0	0.00%	0.00%
3.24% to 14.34%	354	67.05%	67.05%
14.34% to 25.45%	139	26.33%	93.37%
25.45% to 36.55%	26	4.92%	98.30%
36.55% to 47.66%	2	0.38%	98.67%
47.66% to 58.76%	3	0.57%	99.24%
Greater than 58.76%	4	0.76%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-0.46%	29.15%	96.02%	68.27%
±2σ	-15.27%	43.95%	98.67%	95.45%
±3σ	-30.08%	58.76%	99.24%	99.73%

Descriptive Statistics

Mean	14.342%
Standard Error	0.644%
Median	11.984%
Mode	12.000%
Standard Deviation	14.806%
Sample Variance	219.205%
Kurtosis	156.49
Skewness	10.74
Range	254.869%
Minimum	4.500%
Maximum	259.369%
Count	528

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.342%	528	100.00%	14.342%
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 4.18. Further, an Excess Kurtosis of 39.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -31.09%	0	0.00%	0.00%
-31.09% to -23.39%	1	0.19%	0.19%
-23.39% to -15.68%	8	1.52%	1.70%
-15.68% to -7.97%	71	13.45%	15.15%
-7.97% to -0.27%	215	40.72%	55.87%
-0.27% to 7.44%	154	29.17%	85.04%
7.44% to 15.15%	56	10.61%	95.64%
15.15% to 22.85%	16	3.03%	98.67%
22.85% to 30.56%	4	0.76%	99.43%
Greater than 30.56%	3	0.57%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.54%	10.01%	82.20%	68.27%
±2σ	-20.82%	20.28%	97.92%	95.45%
±3σ	-31.09%	30.56%	99.43%	99.73%

Descriptive Statistics

Mean	-0.266%
Standard Error	0.447%
Median	-1.342%
Mode	-6.196%
Standard Deviation	10.275%
Sample Variance	105.578%
Kurtosis	39.76
Skewness	4.18
Range	139.964%
Minimum	-30.148%
Maximum	109.816%
Count	528

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.340%	227	42.99%	3.156%
Negative	-6.022%	300	56.82%	-3.422%
Zero	0.000%	1	0.19%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Left Skewed (Negative Asymmetry) with a Skewness factor of -0.71. Further, an Excess Kurtosis of 2.05 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -41.48%	2	1.14%	1.14%
-41.48% to -30.08%	0	0.00%	1.14%
-30.08% to -18.68%	9	5.11%	6.25%
-18.68% to -7.28%	22	12.50%	18.75%
-7.28% to 4.12%	48	27.27%	46.02%
4.12% to 15.53%	56	31.82%	77.84%
15.53% to 26.93%	32	18.18%	96.02%
26.93% to 38.33%	6	3.41%	99.43%
38.33% to 49.73%	1	0.57%	100.00%
Greater than 49.73%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.08%	19.33%	72.16%	68.27%
±2σ	-26.28%	34.53%	96.59%	95.45%
±3σ	-41.48%	49.73%	98.86%	99.73%

Descriptive Statistics

Mean	4.125%
Standard Error	1.146%
Median	5.136%
Mode	-59.675%
Standard Deviation	15.203%
Sample Variance	231.142%
Kurtosis	2.05
Skewness	-0.71
Range	103.764%
Minimum	-59.675%
Maximum	44.089%
Count	176

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	13.743%	106	60.23%	8.277%
Negative	-10.441%	70	39.77%	-4.153%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	21.02%
12	3 Years	20.45%
20	5 Years	20.25%
40	10 Years	21.43%
80	20 Years	23.51%
200	50 Years	23.15%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 8.01. Further, an Excess Kurtosis of 78.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -61.77%	0	0.00%	0.00%
-61.77% to -39.33%	0	0.00%	0.00%
-39.33% to -16.89%	0	0.00%	0.00%
-16.89% to 5.55%	0	0.00%	0.00%
5.55% to 27.99%	124	70.06%	70.06%
27.99% to 50.43%	46	25.99%	96.05%
50.43% to 72.87%	2	1.13%	97.18%
72.87% to 95.31%	2	1.13%	98.31%
95.31% to 117.75%	0	0.00%	98.31%
Greater than 117.75%	3	1.69%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.93%	57.91%	97.18%	68.27%
±2σ	-31.85%	87.83%	97.74%	95.45%
±3σ	-61.77%	117.75%	98.31%	99.73%

Descriptive Statistics

Mean	27.990%
Standard Error	2.249%
Median	21.432%
Mode	10.049%
Standard Deviation	29.920%
Sample Variance	895.221%
Kurtosis	78.93
Skewness	8.01
Range	339.442%
Minimum	10.049%
Maximum	349.491%
Count	177

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	27.990%	177	100.00%	27.990%
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 4.06. Further, an Excess Kurtosis of 26.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -59.79%	0	0.00%	0.00%
-59.79% to -45.04%	0	0.00%	0.00%
-45.04% to -30.28%	1	0.56%	0.56%
-30.28% to -15.53%	25	14.12%	14.69%
-15.53% to -0.78%	79	44.63%	59.32%
-0.78% to 13.97%	51	28.81%	88.14%
13.97% to 28.72%	15	8.47%	96.61%
28.72% to 43.47%	4	2.26%	98.87%
43.47% to 58.23%	0	0.00%	98.87%
Greater than 58.23%	2	1.13%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.45%	18.89%	86.44%	68.27%
±2σ	-40.12%	38.56%	97.74%	95.45%
±3σ	-59.79%	58.23%	98.87%	99.73%

Descriptive Statistics

Mean	-0.781%
Standard Error	1.478%
Median	-4.337%
Mode	-30.458%
Standard Deviation	19.669%
Sample Variance	386.850%
Kurtosis	26.49
Skewness	4.06
Range	179.490%
Minimum	-30.458%
Maximum	149.032%
Count	177

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.433%	71	40.11%	5.790%
Negative	-10.972%	106	59.89%	-6.571%
Zero	0.000%	0	0.00%	0.000%

CI Deep Analytical Report