CLOV - 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	5.46%	4.55%	4.68%	7.24%	6.35%	6.30%	1.90	2.15	1.78	2.29
Weekly	11.36%	12.11%	10.44%	16.94%	13.98%	13.87%	1.76	2.32	1.53	2.67
Monthly	26.06%	37.29%	24.77%	41.44%	29.09%	28.87%	1.51	2.70	1.13	3.61
Quarterly	58.30%	81.60%	52.37%	74.56%	50.39%	50.00%	1.22	3.34	0.74	5.53
Annual	—	—	—	—	100.78%	100.00%	0.74	5.53	0.27	15.16
Option Time Horizon	—	—	—	—	32.94%	32.69%	1.45	2.81	1.05	3.90

Calculation Notes: Computed at 2026-02-22T14:22 UTC | Reference Contract: Call option expiring 2026-04-02 (39 days) | Spot Price (S): $2.02 | Strike (K): $2.00 (first OTM call ≥ spot) | Observed Mid-Price: $0.2750 (Bid $0.0000 / Ask $0.5500) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 100.78% (CRR binomial tree, American, n=20 steps) | BS IV: 100.14% (European Black-Scholes) | Yahoo IV (Annual): 100.00% → 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 Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.25. Further, an Excess Kurtosis of 45.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.34%	4	0.28%	0.28%
-16.34% to -12.25%	12	0.84%	1.12%
-12.25% to -8.16%	36	2.52%	3.64%
-8.16% to -4.07%	175	12.25%	15.89%
-4.07% to 0.03%	560	39.19%	55.07%
0.03% to 4.12%	428	29.95%	85.02%
4.12% to 8.21%	142	9.94%	94.96%
8.21% to 12.30%	41	2.87%	97.83%
12.30% to 16.39%	18	1.26%	99.09%
Greater than 16.39%	13	0.91%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.43%	5.48%	80.69%	68.27%
±2σ	-10.89%	10.94%	95.80%	95.45%
±3σ	-16.34%	16.39%	98.81%	99.73%

Descriptive Statistics

Mean	0.025%
Standard Error	0.144%
Median	-0.231%
Mode	0.000%
Standard Deviation	5.456%
Sample Variance	29.771%
Kurtosis	45.26
Skewness	3.25
Range	109.434%
Minimum	-23.612%
Maximum	85.822%
Count	1429

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.944%	642	44.93%	1.772%
Negative	-3.375%	740	51.78%	-1.748%
Zero	0.000%	47	3.29%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	3.59%
20	1 Month	4.29%
60	1 Quarter	4.55%
250	1 Year	5.72%
750	3 Years	6.60%
1,250	5 Years	7.24%
2,500	10 Years	6.96%
5,000	20 Years	6.96%
12,500	50 Years	6.96%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.27. Further, an Excess Kurtosis of 40.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -6.72%	0	0.00%	0.00%
-6.72% to -3.30%	0	0.00%	0.00%
-3.30% to 0.11%	0	0.00%	0.00%
0.11% to 3.52%	197	13.78%	13.78%
3.52% to 6.93%	675	47.20%	60.98%
6.93% to 10.34%	357	24.97%	85.94%
10.34% to 13.75%	120	8.39%	94.34%
13.75% to 17.17%	44	3.08%	97.41%
17.17% to 20.58%	16	1.12%	98.53%
Greater than 20.58%	21	1.47%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.38%	11.48%	84.97%	68.27%
±2σ	-2.17%	16.03%	96.64%	95.45%
±3σ	-6.72%	20.58%	98.53%	99.73%

Descriptive Statistics

Mean	6.931%
Standard Error	0.120%
Median	6.000%
Mode	6.667%
Standard Deviation	4.549%
Sample Variance	20.694%
Kurtosis	40.42
Skewness	4.27
Range	71.225%
Minimum	0.501%
Maximum	71.726%
Count	1430

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.931%	1430	100.00%	6.931%
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 1.66. Further, an Excess Kurtosis of 28.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -13.65%	10	0.70%	0.70%
-13.65% to -10.15%	7	0.49%	1.19%
-10.15% to -6.64%	51	3.57%	4.76%
-6.64% to -3.13%	175	12.24%	16.99%
-3.13% to 0.38%	477	33.36%	50.35%
0.38% to 3.88%	481	33.64%	83.99%
3.88% to 7.39%	163	11.40%	95.38%
7.39% to 10.90%	45	3.15%	98.53%
10.90% to 14.41%	15	1.05%	99.58%
Greater than 14.41%	6	0.42%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.30%	5.05%	77.90%	68.27%
±2σ	-8.98%	9.73%	95.87%	95.45%
±3σ	-13.65%	14.41%	98.88%	99.73%

Descriptive Statistics

Mean	0.377%
Standard Error	0.124%
Median	0.350%
Mode	0.000%
Standard Deviation	4.677%
Sample Variance	21.870%
Kurtosis	28.33
Skewness	1.66
Range	90.383%
Minimum	-24.898%
Maximum	65.485%
Count	1430

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.392%	754	52.73%	1.788%
Negative	-3.250%	621	43.43%	-1.411%
Zero	0.000%	55	3.85%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.32. Further, an Excess Kurtosis of 6.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -34.03%	0	0.00%	0.00%
-34.03% to -25.51%	3	1.01%	1.01%
-25.51% to -16.98%	10	3.37%	4.38%
-16.98% to -8.46%	40	13.47%	17.85%
-8.46% to 0.06%	106	35.69%	53.54%
0.06% to 8.58%	91	30.64%	84.18%
8.58% to 17.10%	30	10.10%	94.28%
17.10% to 25.62%	9	3.03%	97.31%
25.62% to 34.14%	6	2.02%	99.33%
Greater than 34.14%	2	0.67%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.30%	11.42%	75.08%	68.27%
±2σ	-22.67%	22.78%	94.28%	95.45%
±3σ	-34.03%	34.14%	99.33%	99.73%

Descriptive Statistics

Mean	0.058%
Standard Error	0.659%
Median	-0.763%
Mode	0.000%
Standard Deviation	11.362%
Sample Variance	129.104%
Kurtosis	6.49
Skewness	1.32
Range	99.401%
Minimum	-29.348%
Maximum	70.053%
Count	297

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.529%	138	46.47%	3.963%
Negative	-7.434%	156	52.52%	-3.905%
Zero	0.000%	3	1.01%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	8.76%
12	1 Quarter	9.55%
52	1 Year	13.05%
156	3 Years	15.33%
260	5 Years	16.94%
520	10 Years	16.20%
1,040	20 Years	16.20%
2,600	50 Years	16.20%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.02. Further, an Excess Kurtosis of 16.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -18.72%	0	0.00%	0.00%
-18.72% to -9.64%	0	0.00%	0.00%
-9.64% to -0.56%	0	0.00%	0.00%
-0.56% to 8.53%	48	16.11%	16.11%
8.53% to 17.61%	146	48.99%	65.10%
17.61% to 26.69%	55	18.46%	83.56%
26.69% to 35.77%	31	10.40%	93.96%
35.77% to 44.86%	10	3.36%	97.32%
44.86% to 53.94%	3	1.01%	98.32%
Greater than 53.94%	5	1.68%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.50%	29.72%	82.21%	68.27%
±2σ	-6.61%	41.83%	96.98%	95.45%
±3σ	-18.72%	53.94%	98.32%	99.73%

Descriptive Statistics

Mean	17.609%
Standard Error	0.702%
Median	14.528%
Mode	8.511%
Standard Deviation	12.110%
Sample Variance	146.658%
Kurtosis	16.95
Skewness	3.02
Range	113.103%
Minimum	1.715%
Maximum	114.818%
Count	298

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.609%	298	100.00%	17.609%
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 0.08. Further, an Excess Kurtosis of 1.95 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -30.11%	2	0.67%	0.67%
-30.11% to -22.28%	3	1.01%	1.68%
-22.28% to -14.46%	12	4.03%	5.70%
-14.46% to -6.63%	37	12.42%	18.12%
-6.63% to 1.20%	101	33.89%	52.01%
1.20% to 9.02%	91	30.54%	82.55%
9.02% to 16.85%	31	10.40%	92.95%
16.85% to 24.67%	12	4.03%	96.98%
24.67% to 32.50%	7	2.35%	99.33%
Greater than 32.50%	2	0.67%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.24%	11.63%	74.16%	68.27%
±2σ	-19.68%	22.07%	93.96%	95.45%
±3σ	-30.11%	32.50%	98.66%	99.73%

Descriptive Statistics

Mean	1.195%
Standard Error	0.604%
Median	0.821%
Mode	0.000%
Standard Deviation	10.435%
Sample Variance	108.890%
Kurtosis	1.95
Skewness	0.08
Range	79.272%
Minimum	-41.195%
Maximum	38.077%
Count	298

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.923%	164	55.03%	4.360%
Negative	-7.257%	130	43.62%	-3.166%
Zero	0.000%	4	1.34%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.05. Further, an Excess Kurtosis of 0.85 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -77.66%	0	0.00%	0.00%
-77.66% to -58.12%	0	0.00%	0.00%
-58.12% to -38.57%	1	1.47%	1.47%
-38.57% to -19.03%	14	20.59%	22.06%
-19.03% to 0.52%	26	38.24%	60.29%
0.52% to 20.06%	15	22.06%	82.35%
20.06% to 39.61%	6	8.82%	91.18%
39.61% to 59.15%	3	4.41%	95.59%
59.15% to 78.69%	3	4.41%	100.00%
Greater than 78.69%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.54%	26.58%	70.59%	68.27%
±2σ	-51.60%	52.64%	94.12%	95.45%
±3σ	-77.66%	78.70%	100.00%	99.73%

Descriptive Statistics

Mean	0.518%
Standard Error	3.160%
Median	-5.628%
Mode	-39.414%
Standard Deviation	26.059%
Sample Variance	679.058%
Kurtosis	0.85
Skewness	1.05
Range	114.017%
Minimum	-39.414%
Maximum	74.603%
Count	68

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	25.278%	27	39.71%	10.037%
Negative	-15.787%	41	60.29%	-9.519%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	19.95%
12	1 Year	28.02%
36	3 Years	36.49%
60	5 Years	41.44%
120	10 Years	39.57%
240	20 Years	39.57%
600	50 Years	39.57%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.00. Further, an Excess Kurtosis of 22.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -64.16%	0	0.00%	0.00%
-64.16% to -36.20%	0	0.00%	0.00%
-36.20% to -8.23%	0	0.00%	0.00%
-8.23% to 19.73%	7	10.14%	10.14%
19.73% to 47.70%	34	49.28%	59.42%
47.70% to 75.67%	23	33.33%	92.75%
75.67% to 103.63%	3	4.35%	97.10%
103.63% to 131.60%	0	0.00%	97.10%
131.60% to 159.56%	1	1.45%	98.55%
Greater than 159.56%	1	1.45%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	10.41%	84.99%	91.30%	68.27%
±2σ	-26.87%	122.27%	97.10%	95.45%
±3σ	-64.16%	159.56%	98.55%	99.73%

Descriptive Statistics

Mean	47.700%
Standard Error	4.489%
Median	38.672%
Mode	3.865%
Standard Deviation	37.287%
Sample Variance	1390.290%
Kurtosis	22.82
Skewness	4.00
Range	277.245%
Minimum	3.865%
Maximum	281.110%
Count	69

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	47.700%	69	100.00%	47.700%
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 -0.31 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -68.70%	0	0.00%	0.00%
-68.70% to -50.12%	0	0.00%	0.00%
-50.12% to -31.55%	5	7.25%	7.25%
-31.55% to -12.97%	10	14.49%	21.74%
-12.97% to 5.61%	20	28.99%	50.72%
5.61% to 24.19%	17	24.64%	75.36%
24.19% to 42.76%	11	15.94%	91.30%
42.76% to 61.34%	5	7.25%	98.55%
61.34% to 79.92%	1	1.45%	100.00%
Greater than 79.92%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.16%	30.38%	65.22%	68.27%
±2σ	-43.93%	55.15%	98.55%	95.45%
±3σ	-68.70%	79.92%	100.00%	99.73%

Descriptive Statistics

Mean	5.608%
Standard Error	2.982%
Median	5.290%
Mode	-42.568%
Standard Deviation	24.770%
Sample Variance	613.556%
Kurtosis	-0.31
Skewness	0.17
Range	106.261%
Minimum	-42.568%
Maximum	63.693%
Count	69

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	21.268%	41	59.42%	12.637%
Negative	-17.965%	27	39.13%	-7.030%
Zero	0.000%	1	1.45%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.21. Further, an Excess Kurtosis of 5.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -170.81%	0	0.00%	0.00%
-170.81% to -127.08%	0	0.00%	0.00%
-127.08% to -83.36%	0	0.00%	0.00%
-83.36% to -39.64%	3	13.04%	13.04%
-39.64% to 4.08%	12	52.17%	65.22%
4.08% to 47.81%	5	21.74%	86.96%
47.81% to 91.53%	1	4.35%	91.30%
91.53% to 135.25%	1	4.35%	95.65%
135.25% to 178.97%	0	0.00%	95.65%
Greater than 178.97%	1	4.35%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-54.21%	62.38%	82.61%	68.27%
±2σ	-112.51%	120.68%	95.65%	95.45%
±3σ	-170.81%	178.97%	95.65%	99.73%

Descriptive Statistics

Mean	4.084%
Standard Error	12.156%
Median	-9.821%
Mode	-65.600%
Standard Deviation	58.297%
Sample Variance	3398.510%
Kurtosis	5.79
Skewness	2.21
Range	268.775%
Minimum	-65.600%
Maximum	203.175%
Count	23

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	51.647%	9	39.13%	20.209%
Negative	-26.492%	14	60.87%	-16.126%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	39.55%
12	3 Years	70.59%
20	5 Years	74.56%
40	10 Years	72.03%
80	20 Years	72.03%
200	50 Years	72.03%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.65. Further, an Excess Kurtosis of 2.39 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -139.96%	0	0.00%	0.00%
-139.96% to -78.76%	0	0.00%	0.00%
-78.76% to -17.55%	0	0.00%	0.00%
-17.55% to 43.65%	3	12.50%	12.50%
43.65% to 104.85%	15	62.50%	75.00%
104.85% to 166.05%	2	8.33%	83.33%
166.05% to 227.25%	2	8.33%	91.67%
227.25% to 288.46%	1	4.17%	95.83%
288.46% to 349.66%	1	4.17%	100.00%
Greater than 349.66%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	23.25%	186.45%	79.17%	68.27%
±2σ	-58.36%	268.06%	91.67%	95.45%
±3σ	-139.96%	349.66%	100.00%	99.73%

Descriptive Statistics

Mean	104.850%
Standard Error	16.657%
Median	76.278%
Mode	12.935%
Standard Deviation	81.603%
Sample Variance	6659.036%
Kurtosis	2.39
Skewness	1.65
Range	329.618%
Minimum	12.935%
Maximum	342.553%
Count	24

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	104.850%	24	100.00%	104.850%
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 1.47. Further, an Excess Kurtosis of 4.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -139.35%	0	0.00%	0.00%
-139.35% to -100.08%	0	0.00%	0.00%
-100.08% to -60.80%	1	4.17%	4.17%
-60.80% to -21.53%	3	12.50%	16.67%
-21.53% to 17.75%	10	41.67%	58.33%
17.75% to 57.02%	6	25.00%	83.33%
57.02% to 96.30%	3	12.50%	95.83%
96.30% to 135.57%	0	0.00%	95.83%
135.57% to 174.85%	0	0.00%	95.83%
Greater than 174.85%	1	4.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-34.62%	70.11%	75.00%	68.27%
±2σ	-86.99%	122.48%	95.83%	95.45%
±3σ	-139.35%	174.85%	95.83%	99.73%

Descriptive Statistics

Mean	17.748%
Standard Error	10.689%
Median	9.170%
Mode	-66.754%
Standard Deviation	52.367%
Sample Variance	2742.285%
Kurtosis	4.36
Skewness	1.47
Range	258.227%
Minimum	-66.754%
Maximum	191.473%
Count	24

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	46.583%	14	58.33%	27.173%
Negative	-22.621%	10	41.67%	-9.425%
Zero	0.000%	0	0.00%	0.000%

CLOV Deep Analytical Report