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	5.43%	4.53%	4.65%	7.17%	5.11%	5.17%	1.78	1.97	1.69	2.08
Weekly	11.29%	12.06%	10.37%	16.76%	11.25%	11.38%	1.68	2.10	1.50	2.35
Monthly	25.88%	37.11%	24.59%	41.05%	23.41%	23.68%	1.48	2.37	1.17	2.99
Quarterly	58.38%	81.15%	52.34%	74.92%	40.56%	41.02%	1.25	2.81	0.83	4.22
Annual	—	—	—	—	81.11%	82.03%	0.83	4.22	0.37	9.50
Option Time Horizon	—	—	—	—	30.62%	30.96%	1.38	2.55	1.02	3.46

Calculation Notes: Computed at 2026-03-23T16:38 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $1.88 | Strike (K): $2.00 (first OTM call ≥ spot) | Observed Mid-Price: $0.1850 (Bid $0.1600 / Ask $0.2100) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 81.11% (CRR binomial tree, American, n=20 steps) | BS IV: 82.10% (European Black-Scholes) | Yahoo IV (Annual): 82.03% → 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 3.26. Further, an Excess Kurtosis of 45.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.26%	4	0.28%	0.28%
-16.26% to -12.19%	13	0.90%	1.17%
-12.19% to -8.12%	35	2.41%	3.59%
-8.12% to -4.05%	179	12.34%	15.93%
-4.05% to 0.02%	570	39.31%	55.24%
0.02% to 4.09%	432	29.79%	85.03%
4.09% to 8.16%	144	9.93%	94.97%
8.16% to 12.23%	42	2.90%	97.86%
12.23% to 16.30%	18	1.24%	99.10%
Greater than 16.30%	13	0.90%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.41%	5.45%	80.76%	68.27%
±2σ	-10.83%	10.87%	95.79%	95.45%
±3σ	-16.26%	16.30%	98.83%	99.73%

Descriptive Statistics

Mean	0.020%
Standard Error	0.143%
Median	-0.248%
Mode	0.000%
Standard Deviation	5.427%
Sample Variance	29.453%
Kurtosis	45.60
Skewness	3.26
Range	109.434%
Minimum	-23.612%
Maximum	85.822%
Count	1450

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.932%	649	44.76%	1.760%
Negative	-3.355%	752	51.86%	-1.740%
Zero	0.000%	49	3.38%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	4.97%
20	1 Month	5.21%
60	1 Quarter	4.98%
250	1 Year	5.53%
750	3 Years	6.54%
1,250	5 Years	7.17%
2,500	10 Years	6.94%
5,000	20 Years	6.94%
12,500	50 Years	6.94%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.28. Further, an Excess Kurtosis of 40.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -6.68%	0	0.00%	0.00%
-6.68% to -3.29%	0	0.00%	0.00%
-3.29% to 0.11%	0	0.00%	0.00%
0.11% to 3.51%	194	13.37%	13.37%
3.51% to 6.91%	694	47.83%	61.20%
6.91% to 10.30%	360	24.81%	86.01%
10.30% to 13.70%	122	8.41%	94.42%
13.70% to 17.09%	44	3.03%	97.45%
17.09% to 20.49%	16	1.10%	98.55%
Greater than 20.49%	21	1.45%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.38%	11.43%	84.84%	68.27%
±2σ	-2.15%	15.96%	96.69%	95.45%
±3σ	-6.68%	20.49%	98.55%	99.73%

Descriptive Statistics

Mean	6.905%
Standard Error	0.119%
Median	5.976%
Mode	6.667%
Standard Deviation	4.529%
Sample Variance	20.509%
Kurtosis	40.67
Skewness	4.28
Range	71.225%
Minimum	0.501%
Maximum	71.726%
Count	1451

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.905%	1451	100.00%	6.905%
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 1.67. Further, an Excess Kurtosis of 28.59 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%	10	0.69%	0.69%
-13.57% to -10.09%	9	0.62%	1.31%
-10.09% to -6.60%	50	3.45%	4.76%
-6.60% to -3.11%	176	12.13%	16.88%
-3.11% to 0.38%	483	33.29%	50.17%
0.38% to 3.87%	491	33.84%	84.01%
3.87% to 7.35%	166	11.44%	95.45%
7.35% to 10.84%	45	3.10%	98.55%
10.84% to 14.33%	15	1.03%	99.59%
Greater than 14.33%	6	0.41%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.27%	5.03%	78.02%	68.27%
±2σ	-8.92%	9.68%	95.80%	95.45%
±3σ	-13.57%	14.33%	98.90%	99.73%

Descriptive Statistics

Mean	0.377%
Standard Error	0.122%
Median	0.363%
Mode	0.000%
Standard Deviation	4.650%
Sample Variance	21.622%
Kurtosis	28.59
Skewness	1.67
Range	90.383%
Minimum	-24.898%
Maximum	65.485%
Count	1451

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.365%	767	52.86%	1.779%
Negative	-3.238%	628	43.28%	-1.401%
Zero	0.000%	56	3.86%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.33. Further, an Excess Kurtosis of 6.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -33.85%	0	0.00%	0.00%
-33.85% to -25.38%	3	1.00%	1.00%
-25.38% to -16.91%	10	3.32%	4.32%
-16.91% to -8.44%	40	13.29%	17.61%
-8.44% to 0.03%	109	36.21%	53.82%
0.03% to 8.51%	90	29.90%	83.72%
8.51% to 16.98%	31	10.30%	94.02%
16.98% to 25.45%	10	3.32%	97.34%
25.45% to 33.92%	6	1.99%	99.34%
Greater than 33.92%	2	0.66%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.26%	11.33%	75.42%	68.27%
±2σ	-22.55%	22.62%	94.35%	95.45%
±3σ	-33.85%	33.92%	99.34%	99.73%

Descriptive Statistics

Mean	0.034%
Standard Error	0.651%
Median	-0.806%
Mode	-4.412%
Standard Deviation	11.294%
Sample Variance	127.545%
Kurtosis	6.60
Skewness	1.33
Range	99.401%
Minimum	-29.348%
Maximum	70.053%
Count	301

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.493%	139	46.18%	3.922%
Negative	-7.315%	160	53.16%	-3.888%
Zero	0.000%	2	0.66%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	10.63%
12	1 Quarter	10.63%
52	1 Year	12.67%
156	3 Years	15.16%
260	5 Years	16.76%
520	10 Years	16.14%
1,040	20 Years	16.14%
2,600	50 Years	16.14%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.04. Further, an Excess Kurtosis of 17.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -18.63%	0	0.00%	0.00%
-18.63% to -9.59%	0	0.00%	0.00%
-9.59% to -0.55%	0	0.00%	0.00%
-0.55% to 8.49%	47	15.56%	15.56%
8.49% to 17.54%	149	49.34%	64.90%
17.54% to 26.58%	57	18.87%	83.77%
26.58% to 35.62%	31	10.26%	94.04%
35.62% to 44.66%	10	3.31%	97.35%
44.66% to 53.70%	3	0.99%	98.34%
Greater than 53.70%	5	1.66%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.48%	29.59%	82.12%	68.27%
±2σ	-6.58%	41.65%	97.02%	95.45%
±3σ	-18.63%	53.70%	98.34%	99.73%

Descriptive Statistics

Mean	17.536%
Standard Error	0.694%
Median	14.528%
Mode	8.511%
Standard Deviation	12.056%
Sample Variance	145.337%
Kurtosis	17.12
Skewness	3.04
Range	113.103%
Minimum	1.715%
Maximum	114.818%
Count	302

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.536%	302	100.00%	17.536%
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 2.01 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -29.90%	2	0.66%	0.66%
-29.90% to -22.12%	3	0.99%	1.66%
-22.12% to -14.34%	12	3.97%	5.63%
-14.34% to -6.56%	37	12.25%	17.88%
-6.56% to 1.21%	102	33.77%	51.66%
1.21% to 8.99%	94	31.13%	82.78%
8.99% to 16.77%	31	10.26%	93.05%
16.77% to 24.55%	12	3.97%	97.02%
24.55% to 32.32%	7	2.32%	99.34%
Greater than 32.32%	2	0.66%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.16%	11.58%	74.17%	68.27%
±2σ	-19.53%	21.95%	93.71%	95.45%
±3σ	-29.90%	32.32%	98.68%	99.73%

Descriptive Statistics

Mean	1.214%
Standard Error	0.597%
Median	0.866%
Mode	0.000%
Standard Deviation	10.370%
Sample Variance	107.533%
Kurtosis	2.01
Skewness	0.08
Range	79.272%
Minimum	-41.195%
Maximum	38.077%
Count	302

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.848%	167	55.30%	4.340%
Negative	-7.205%	131	43.38%	-3.125%
Zero	0.000%	4	1.32%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.07. Further, an Excess Kurtosis of 0.91 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -77.25%	0	0.00%	0.00%
-77.25% to -57.83%	0	0.00%	0.00%
-57.83% to -38.42%	1	1.45%	1.45%
-38.42% to -19.01%	14	20.29%	21.74%
-19.01% to 0.41%	27	39.13%	60.87%
0.41% to 19.82%	15	21.74%	82.61%
19.82% to 39.23%	4	5.80%	88.41%
39.23% to 58.65%	5	7.25%	95.65%
58.65% to 78.06%	3	4.35%	100.00%
Greater than 78.06%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.48%	26.29%	71.01%	68.27%
±2σ	-51.36%	52.17%	94.20%	95.45%
±3σ	-77.25%	78.06%	100.00%	99.73%

Descriptive Statistics

Mean	0.407%
Standard Error	3.116%
Median	-5.635%
Mode	-39.414%
Standard Deviation	25.884%
Sample Variance	669.970%
Kurtosis	0.91
Skewness	1.07
Range	114.017%
Minimum	-39.414%
Maximum	74.603%
Count	69

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	25.278%	27	39.13%	9.891%
Negative	-15.581%	42	60.87%	-9.484%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	20.52%
12	1 Year	28.11%
36	3 Years	36.04%
60	5 Years	41.05%
120	10 Years	39.31%
240	20 Years	39.31%
600	50 Years	39.31%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.02. Further, an Excess Kurtosis of 23.07 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -63.95%	0	0.00%	0.00%
-63.95% to -36.12%	0	0.00%	0.00%
-36.12% to -8.29%	0	0.00%	0.00%
-8.29% to 19.54%	7	10.00%	10.00%
19.54% to 47.37%	34	48.57%	58.57%
47.37% to 75.20%	24	34.29%	92.86%
75.20% to 103.03%	3	4.29%	97.14%
103.03% to 130.86%	0	0.00%	97.14%
130.86% to 158.69%	1	1.43%	98.57%
Greater than 158.69%	1	1.43%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	10.26%	84.48%	91.43%	68.27%
±2σ	-26.84%	121.58%	97.14%	95.45%
±3σ	-63.95%	158.69%	98.57%	99.73%

Descriptive Statistics

Mean	47.370%
Standard Error	4.435%
Median	38.404%
Mode	3.865%
Standard Deviation	37.106%
Sample Variance	1376.855%
Kurtosis	23.07
Skewness	4.02
Range	277.245%
Minimum	3.865%
Maximum	281.110%
Count	70

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	47.370%	70	100.00%	47.370%
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 -0.27 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -68.16%	0	0.00%	0.00%
-68.16% to -49.72%	0	0.00%	0.00%
-49.72% to -31.27%	5	7.14%	7.14%
-31.27% to -12.83%	10	14.29%	21.43%
-12.83% to 5.61%	20	28.57%	50.00%
5.61% to 24.05%	17	24.29%	74.29%
24.05% to 42.49%	12	17.14%	91.43%
42.49% to 60.93%	5	7.14%	98.57%
60.93% to 79.38%	1	1.43%	100.00%
Greater than 79.38%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.98%	30.20%	65.71%	68.27%
±2σ	-43.57%	54.79%	97.14%	95.45%
±3σ	-68.16%	79.38%	100.00%	99.73%

Descriptive Statistics

Mean	5.609%
Standard Error	2.939%
Median	5.518%
Mode	-42.568%
Standard Deviation	24.589%
Sample Variance	604.603%
Kurtosis	-0.27
Skewness	0.17
Range	106.261%
Minimum	-42.568%
Maximum	63.693%
Count	70

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	20.897%	42	60.00%	12.538%
Negative	-17.965%	27	38.57%	-6.929%
Zero	0.000%	1	1.43%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.22. 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 -171.35%	0	0.00%	0.00%
-171.35% to -127.56%	0	0.00%	0.00%
-127.56% to -83.77%	0	0.00%	0.00%
-83.77% to -39.98%	3	13.04%	13.04%
-39.98% to 3.80%	12	52.17%	65.22%
3.80% to 47.59%	5	21.74%	86.96%
47.59% to 91.38%	1	4.35%	91.30%
91.38% to 135.16%	1	4.35%	95.65%
135.16% to 178.95%	0	0.00%	95.65%
Greater than 178.95%	1	4.35%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-54.58%	62.19%	82.61%	68.27%
±2σ	-112.96%	120.57%	95.65%	95.45%
±3σ	-171.35%	178.95%	95.65%	99.73%

Descriptive Statistics

Mean	3.803%
Standard Error	12.174%
Median	-15.000%
Mode	-65.600%
Standard Deviation	58.383%
Sample Variance	3408.516%
Kurtosis	5.79
Skewness	2.22
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	-26.955%	14	60.87%	-16.408%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	41.35%
12	3 Years	71.20%
20	5 Years	74.92%
40	10 Years	72.34%
80	20 Years	72.34%
200	50 Years	72.34%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.68. Further, an Excess Kurtosis of 2.45 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -138.19%	0	0.00%	0.00%
-138.19% to -77.33%	0	0.00%	0.00%
-77.33% to -16.46%	0	0.00%	0.00%
-16.46% to 44.40%	4	16.67%	16.67%
44.40% to 105.26%	14	58.33%	75.00%
105.26% to 166.12%	2	8.33%	83.33%
166.12% to 226.98%	2	8.33%	91.67%
226.98% to 287.84%	1	4.17%	95.83%
287.84% to 348.70%	1	4.17%	100.00%
Greater than 348.70%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	24.11%	186.41%	79.17%	68.27%
±2σ	-57.04%	267.55%	91.67%	95.45%
±3σ	-138.19%	348.70%	100.00%	99.73%

Descriptive Statistics

Mean	105.257%
Standard Error	16.564%
Median	76.278%
Mode	22.703%
Standard Deviation	81.148%
Sample Variance	6584.940%
Kurtosis	2.45
Skewness	1.68
Range	319.850%
Minimum	22.703%
Maximum	342.553%
Count	24

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	105.257%	24	100.00%	105.257%
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 Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.45. Further, an Excess Kurtosis of 4.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -138.92%	0	0.00%	0.00%
-138.92% to -99.66%	0	0.00%	0.00%
-99.66% to -60.41%	1	4.17%	4.17%
-60.41% to -21.15%	3	12.50%	16.67%
-21.15% to 18.10%	9	37.50%	54.17%
18.10% to 57.36%	7	29.17%	83.33%
57.36% to 96.61%	3	12.50%	95.83%
96.61% to 135.87%	0	0.00%	95.83%
135.87% to 175.12%	0	0.00%	95.83%
Greater than 175.12%	1	4.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-34.24%	70.44%	75.00%	68.27%
±2σ	-86.58%	122.78%	95.83%	95.45%
±3σ	-138.92%	175.12%	95.83%	99.73%

Descriptive Statistics

Mean	18.102%
Standard Error	10.684%
Median	13.043%
Mode	-66.754%
Standard Deviation	52.340%
Sample Variance	2739.496%
Kurtosis	4.33
Skewness	1.45
Range	258.227%
Minimum	-66.754%
Maximum	191.473%
Count	24

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	47.190%	14	58.33%	27.527%
Negative	-22.621%	10	41.67%	-9.425%
Zero	0.000%	0	0.00%	0.000%

CLOV Deep Analytical Report