COIN - 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	5.42%	3.96%	4.62%	7.26%	4.43%	4.41%	190.42	208.05	182.17	217.48
Weekly	12.48%	12.63%	11.84%	17.40%	9.75%	9.70%	180.55	219.42	163.78	241.90
Monthly	25.82%	30.50%	24.73%	38.93%	20.30%	20.19%	162.48	243.83	132.63	298.70
Quarterly	43.79%	49.18%	41.49%	69.29%	35.15%	34.98%	140.04	282.89	98.54	402.06
Annual	—	—	—	—	70.31%	69.95%	98.54	402.06	48.78	812.15
Option Time Horizon	—	—	—	—	26.54%	26.40%	152.65	259.53	117.07	338.41

Calculation Notes: Computed at 2026-03-23T16:36 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $199.04 | Strike (K): $200.00 (first OTM call ≥ spot) | Observed Mid-Price: $20.8750 (Bid $20.7500 / Ask $21.0000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 70.31% (CRR binomial tree, American, n=20 steps) | BS IV: 69.70% (European Black-Scholes) | Yahoo IV (Annual): 69.95% → 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 0.51. Further, an Excess Kurtosis of 2.75 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.15%	5	0.40%	0.40%
-16.15% to -12.09%	9	0.73%	1.13%
-12.09% to -8.02%	41	3.31%	4.44%
-8.02% to -3.96%	178	14.35%	18.79%
-3.96% to 0.10%	440	35.48%	54.27%
0.10% to 4.17%	333	26.85%	81.13%
4.17% to 8.23%	155	12.50%	93.63%
8.23% to 12.29%	49	3.95%	97.58%
12.29% to 16.36%	19	1.53%	99.11%
Greater than 16.36%	11	0.89%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.31%	5.52%	74.76%	68.27%
±2σ	-10.73%	10.94%	94.68%	95.45%
±3σ	-16.15%	16.36%	98.71%	99.73%

Descriptive Statistics

Mean	0.104%
Standard Error	0.154%
Median	-0.341%
Mode	-1.520%
Standard Deviation	5.418%
Sample Variance	29.350%
Kurtosis	2.75
Skewness	0.51
Range	57.516%
Minimum	-26.401%
Maximum	31.115%
Count	1240

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.367%	580	46.77%	2.043%
Negative	-3.641%	660	53.23%	-1.938%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	5.01%
20	1 Month	6.51%
60	1 Quarter	6.02%
250	1 Year	5.83%
750	3 Years	6.64%
1,250	5 Years	7.26%
2,500	10 Years	7.26%
5,000	20 Years	7.26%
12,500	50 Years	7.26%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.88. Further, an Excess Kurtosis of 16.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -4.94%	0	0.00%	0.00%
-4.94% to -1.97%	0	0.00%	0.00%
-1.97% to 1.00%	0	0.00%	0.00%
1.00% to 3.96%	228	18.37%	18.37%
3.96% to 6.93%	533	42.95%	61.32%
6.93% to 9.90%	291	23.45%	84.77%
9.90% to 12.87%	106	8.54%	93.31%
12.87% to 15.84%	45	3.63%	96.94%
15.84% to 18.81%	18	1.45%	98.39%
Greater than 18.81%	20	1.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.97%	10.89%	81.95%	68.27%
±2σ	-0.98%	14.85%	96.54%	95.45%
±3σ	-4.94%	18.81%	98.39%	99.73%

Descriptive Statistics

Mean	6.933%
Standard Error	0.112%
Median	6.050%
Mode	5.699%
Standard Deviation	3.958%
Sample Variance	15.664%
Kurtosis	16.80
Skewness	2.88
Range	46.199%
Minimum	1.487%
Maximum	47.686%
Count	1241

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.933%	1241	100.00%	6.933%
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 0.05. Further, an Excess Kurtosis of 1.83 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -13.68%	9	0.73%	0.73%
-13.68% to -10.22%	10	0.81%	1.53%
-10.22% to -6.76%	57	4.59%	6.12%
-6.76% to -3.29%	170	13.70%	19.82%
-3.29% to 0.17%	376	30.30%	50.12%
0.17% to 3.63%	389	31.35%	81.47%
3.63% to 7.09%	151	12.17%	93.63%
7.09% to 10.55%	58	4.67%	98.31%
10.55% to 14.01%	11	0.89%	99.19%
Greater than 14.01%	10	0.81%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.45%	4.78%	74.54%	68.27%
±2σ	-9.06%	9.40%	94.76%	95.45%
±3σ	-13.68%	14.01%	98.47%	99.73%

Descriptive Statistics

Mean	0.166%
Standard Error	0.131%
Median	0.154%
Mode	-0.155%
Standard Deviation	4.615%
Sample Variance	21.295%
Kurtosis	1.83
Skewness	0.05
Range	39.582%
Minimum	-20.234%
Maximum	19.348%
Count	1241

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.450%	645	51.97%	1.793%
Negative	-3.394%	595	47.95%	-1.627%
Zero	0.000%	1	0.08%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.24. Further, an Excess Kurtosis of 5.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -36.90%	0	0.00%	0.00%
-36.90% to -27.55%	1	0.39%	0.39%
-27.55% to -18.19%	8	3.11%	3.50%
-18.19% to -8.83%	41	15.95%	19.46%
-8.83% to 0.53%	88	34.24%	53.70%
0.53% to 9.88%	70	27.24%	80.93%
9.88% to 19.24%	38	14.79%	95.72%
19.24% to 28.60%	5	1.95%	97.67%
28.60% to 37.95%	4	1.56%	99.22%
Greater than 37.95%	2	0.78%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.95%	13.00%	73.15%	68.27%
±2σ	-24.43%	25.48%	94.94%	95.45%
±3σ	-36.90%	37.95%	99.22%	99.73%

Descriptive Statistics

Mean	0.526%
Standard Error	0.778%
Median	-0.282%
Mode	-31.177%
Standard Deviation	12.476%
Sample Variance	155.654%
Kurtosis	5.45
Skewness	1.24
Range	105.247%
Minimum	-31.177%
Maximum	74.070%
Count	257

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.918%	124	48.25%	4.785%
Negative	-8.230%	133	51.75%	-4.259%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	15.72%
12	1 Quarter	14.53%
52	1 Year	14.05%
156	3 Years	15.87%
260	5 Years	17.40%
520	10 Years	17.40%
1,040	20 Years	17.40%
2,600	50 Years	17.40%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.61. Further, an Excess Kurtosis of 20.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -18.55%	0	0.00%	0.00%
-18.55% to -9.08%	0	0.00%	0.00%
-9.08% to 0.40%	0	0.00%	0.00%
0.40% to 9.87%	34	13.18%	13.18%
9.87% to 19.34%	129	50.00%	63.18%
19.34% to 28.82%	63	24.42%	87.60%
28.82% to 38.29%	18	6.98%	94.57%
38.29% to 47.77%	7	2.71%	97.29%
47.77% to 57.24%	2	0.78%	98.06%
Greater than 57.24%	5	1.94%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.71%	31.98%	88.76%	68.27%
±2σ	-5.92%	44.61%	97.29%	95.45%
±3σ	-18.55%	57.24%	98.06%	99.73%

Descriptive Statistics

Mean	19.344%
Standard Error	0.786%
Median	16.867%
Mode	8.115%
Standard Deviation	12.633%
Sample Variance	159.582%
Kurtosis	20.55
Skewness	3.61
Range	113.897%
Minimum	5.011%
Maximum	118.908%
Count	258

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	19.344%	258	100.00%	19.344%
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 0.28. Further, an Excess Kurtosis of 1.59 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -34.55%	2	0.78%	0.78%
-34.55% to -25.67%	0	0.00%	0.78%
-25.67% to -16.79%	8	3.10%	3.88%
-16.79% to -7.91%	41	15.89%	19.77%
-7.91% to 0.97%	88	34.11%	53.88%
0.97% to 9.85%	69	26.74%	80.62%
9.85% to 18.73%	32	12.40%	93.02%
18.73% to 27.61%	11	4.26%	97.29%
27.61% to 36.49%	5	1.94%	99.22%
Greater than 36.49%	2	0.78%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.87%	12.81%	73.26%	68.27%
±2σ	-22.71%	24.65%	94.96%	95.45%
±3σ	-34.55%	36.49%	98.45%	99.73%

Descriptive Statistics

Mean	0.967%
Standard Error	0.737%
Median	0.156%
Mode	-7.838%
Standard Deviation	11.840%
Sample Variance	140.184%
Kurtosis	1.59
Skewness	0.28
Range	86.733%
Minimum	-42.762%
Maximum	43.971%
Count	258

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.582%	132	51.16%	4.902%
Negative	-8.057%	126	48.84%	-3.935%
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 0.77. Further, an Excess Kurtosis of 0.19 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -75.12%	0	0.00%	0.00%
-75.12% to -55.76%	0	0.00%	0.00%
-55.76% to -36.40%	2	3.39%	3.39%
-36.40% to -17.03%	16	27.12%	30.51%
-17.03% to 2.33%	15	25.42%	55.93%
2.33% to 21.69%	16	27.12%	83.05%
21.69% to 41.05%	5	8.47%	91.53%
41.05% to 60.41%	2	3.39%	94.92%
60.41% to 79.78%	3	5.08%	100.00%
Greater than 79.78%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.49%	28.14%	71.19%	68.27%
±2σ	-49.30%	53.96%	93.22%	95.45%
±3σ	-75.12%	79.78%	100.00%	99.73%

Descriptive Statistics

Mean	2.328%
Standard Error	3.361%
Median	0.326%
Mode	65.244%
Standard Deviation	25.816%
Sample Variance	666.476%
Kurtosis	0.19
Skewness	0.77
Range	105.879%
Minimum	-40.635%
Maximum	65.244%
Count	59

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	21.722%	30	50.85%	11.045%
Negative	-17.736%	29	49.15%	-8.718%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	28.16%
12	1 Year	32.03%
36	3 Years	36.45%
60	5 Years	38.93%
120	10 Years	38.93%
240	20 Years	38.93%
600	50 Years	38.93%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.55. Further, an Excess Kurtosis of 18.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -43.04%	0	0.00%	0.00%
-43.04% to -20.16%	0	0.00%	0.00%
-20.16% to 2.71%	0	0.00%	0.00%
2.71% to 25.59%	8	13.33%	13.33%
25.59% to 48.47%	31	51.67%	65.00%
48.47% to 71.34%	11	18.33%	83.33%
71.34% to 94.22%	7	11.67%	95.00%
94.22% to 117.10%	2	3.33%	98.33%
117.10% to 139.98%	0	0.00%	98.33%
Greater than 139.98%	1	1.67%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.96%	78.97%	91.67%	68.27%
±2σ	-12.54%	109.47%	98.33%	95.45%
±3σ	-43.04%	139.98%	98.33%	99.73%

Descriptive Statistics

Mean	48.467%
Standard Error	3.938%
Median	41.451%
Mode	18.503%
Standard Deviation	30.503%
Sample Variance	930.413%
Kurtosis	18.56
Skewness	3.55
Range	206.773%
Minimum	18.503%
Maximum	225.276%
Count	60

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	48.467%	60	100.00%	48.467%
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 0.39. Further, an Excess Kurtosis of -0.05 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -70.00%	0	0.00%	0.00%
-70.00% to -51.45%	0	0.00%	0.00%
-51.45% to -32.90%	4	6.67%	6.67%
-32.90% to -14.35%	9	15.00%	21.67%
-14.35% to 4.20%	21	35.00%	56.67%
4.20% to 22.75%	11	18.33%	75.00%
22.75% to 41.30%	11	18.33%	93.33%
41.30% to 59.84%	2	3.33%	96.67%
59.84% to 78.39%	2	3.33%	100.00%
Greater than 78.39%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.54%	28.93%	70.00%	68.27%
±2σ	-45.27%	53.66%	96.67%	95.45%
±3σ	-70.00%	78.39%	100.00%	99.73%

Descriptive Statistics

Mean	4.196%
Standard Error	3.193%
Median	2.002%
Mode	-39.230%
Standard Deviation	24.733%
Sample Variance	611.707%
Kurtosis	-0.05
Skewness	0.39
Range	107.680%
Minimum	-39.230%
Maximum	68.450%
Count	60

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	21.639%	33	55.00%	11.901%
Negative	-17.123%	27	45.00%	-7.705%
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 0.69. Further, an Excess Kurtosis of -0.90 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -125.39%	0	0.00%	0.00%
-125.39% to -92.55%	0	0.00%	0.00%
-92.55% to -59.71%	0	0.00%	0.00%
-59.71% to -26.87%	5	25.00%	25.00%
-26.87% to 5.97%	8	40.00%	65.00%
5.97% to 38.81%	2	10.00%	75.00%
38.81% to 71.66%	3	15.00%	90.00%
71.66% to 104.50%	2	10.00%	100.00%
104.50% to 137.34%	0	0.00%	100.00%
Greater than 137.34%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-37.81%	49.76%	55.00%	68.27%
±2σ	-81.60%	93.55%	100.00%	95.45%
±3σ	-125.39%	137.34%	100.00%	99.73%

Descriptive Statistics

Mean	5.974%
Standard Error	9.791%
Median	-8.508%
Mode	-44.140%
Standard Deviation	43.788%
Sample Variance	1917.402%
Kurtosis	-0.90
Skewness	0.69
Range	130.330%
Minimum	-44.140%
Maximum	86.190%
Count	20

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	45.520%	9	45.00%	20.484%
Negative	-26.382%	11	55.00%	-14.510%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	59.37%
12	3 Years	75.04%
20	5 Years	69.29%
40	10 Years	69.29%
80	20 Years	69.29%
200	50 Years	69.29%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.90. Further, an Excess Kurtosis of 0.80 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -53.86%	0	0.00%	0.00%
-53.86% to -16.97%	0	0.00%	0.00%
-16.97% to 19.91%	0	0.00%	0.00%
19.91% to 56.79%	8	38.10%	38.10%
56.79% to 93.68%	2	9.52%	47.62%
93.68% to 130.56%	7	33.33%	80.95%
130.56% to 167.44%	3	14.29%	95.24%
167.44% to 204.33%	0	0.00%	95.24%
204.33% to 241.21%	1	4.76%	100.00%
Greater than 241.21%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	44.50%	142.86%	66.67%	68.27%
±2σ	-4.68%	192.03%	95.24%	95.45%
±3σ	-53.86%	241.21%	100.00%	99.73%

Descriptive Statistics

Mean	93.677%
Standard Error	10.731%
Median	93.945%
Mode	37.800%
Standard Deviation	49.178%
Sample Variance	2418.443%
Kurtosis	0.80
Skewness	0.90
Range	187.476%
Minimum	37.800%
Maximum	225.276%
Count	21

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	93.677%	21	100.00%	93.677%
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 0.30. Further, an Excess Kurtosis of -0.97 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -114.30%	0	0.00%	0.00%
-114.30% to -83.19%	0	0.00%	0.00%
-83.19% to -52.07%	0	0.00%	0.00%
-52.07% to -20.95%	6	28.57%	28.57%
-20.95% to 10.16%	5	23.81%	52.38%
10.16% to 41.28%	6	28.57%	80.95%
41.28% to 72.39%	1	4.76%	85.71%
72.39% to 103.51%	3	14.29%	100.00%
103.51% to 134.63%	0	0.00%	100.00%
Greater than 134.63%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.32%	51.65%	57.14%	68.27%
±2σ	-72.81%	93.14%	100.00%	95.45%
±3σ	-114.30%	134.63%	100.00%	99.73%

Descriptive Statistics

Mean	10.163%
Standard Error	9.053%
Median	9.835%
Mode	-46.081%
Standard Deviation	41.488%
Sample Variance	1721.258%
Kurtosis	-0.97
Skewness	0.30
Range	125.671%
Minimum	-46.081%
Maximum	79.590%
Count	21

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	42.790%	11	52.38%	22.414%
Negative	-25.727%	10	47.62%	-12.251%
Zero	0.000%	0	0.00%	0.000%

COIN Deep Analytical Report