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%	3.98%	4.63%	7.28%	4.22%	4.29%	164.27	178.73	157.49	186.44
Weekly	12.53%	12.70%	11.87%	17.42%	9.29%	9.43%	156.15	188.03	142.30	206.32
Monthly	26.02%	30.59%	24.85%	39.19%	19.33%	19.64%	141.23	207.90	116.40	252.24
Quarterly	43.97%	49.96%	41.35%	68.79%	33.49%	34.02%	122.59	239.50	87.71	334.76
Annual	—	—	—	—	66.97%	68.03%	87.71	334.76	44.89	654.01
Option Time Horizon	—	—	—	—	25.76%	26.17%	132.44	221.69	102.36	286.83

Calculation Notes: Computed at 2026-02-22T14:20 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $171.35 | Strike (K): $175.00 (first OTM call ≥ spot) | Observed Mid-Price: $16.4250 (Bid $16.1500 / Ask $16.7000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 66.97% (CRR binomial tree, American, n=20 steps) | BS IV: 67.12% (European Black-Scholes) | Yahoo IV (Annual): 68.03% → 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 Fairly Symmetrical with a Skewness factor of 0.50. Further, an Excess Kurtosis of 2.76 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.17%	5	0.41%	0.41%
-16.17% to -12.11%	8	0.66%	1.07%
-12.11% to -8.04%	42	3.45%	4.51%
-8.04% to -3.97%	174	14.27%	18.79%
-3.97% to 0.09%	433	35.52%	54.31%
0.09% to 4.16%	326	26.74%	81.05%
4.16% to 8.22%	154	12.63%	93.68%
8.22% to 12.29%	49	4.02%	97.70%
12.29% to 16.36%	17	1.39%	99.10%
Greater than 16.36%	11	0.90%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.33%	5.51%	74.57%	68.27%
±2σ	-10.75%	10.94%	94.75%	95.45%
±3σ	-16.17%	16.36%	98.69%	99.73%

Descriptive Statistics

Mean	0.092%
Standard Error	0.155%
Median	-0.343%
Mode	-1.520%
Standard Deviation	5.422%
Sample Variance	29.396%
Kurtosis	2.76
Skewness	0.50
Range	57.516%
Minimum	-26.401%
Maximum	31.115%
Count	1219

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.369%	569	46.68%	2.039%
Negative	-3.653%	650	53.32%	-1.948%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	8.43%
20	1 Month	7.08%
60	1 Quarter	5.52%
250	1 Year	5.95%
750	3 Years	6.76%
1,250	5 Years	7.28%
2,500	10 Years	7.28%
5,000	20 Years	7.28%
12,500	50 Years	7.28%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.86. Further, an Excess Kurtosis of 16.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -4.99%	0	0.00%	0.00%
-4.99% to -2.01%	0	0.00%	0.00%
-2.01% to 0.98%	0	0.00%	0.00%
0.98% to 3.96%	224	18.36%	18.36%
3.96% to 6.95%	526	43.11%	61.48%
6.95% to 9.94%	284	23.28%	84.75%
9.94% to 12.93%	103	8.44%	93.20%
12.93% to 15.91%	45	3.69%	96.89%
15.91% to 18.90%	20	1.64%	98.52%
Greater than 18.90%	18	1.48%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.97%	10.93%	81.80%	68.27%
±2σ	-1.01%	14.92%	96.48%	95.45%
±3σ	-4.99%	18.90%	98.52%	99.73%

Descriptive Statistics

Mean	6.952%
Standard Error	0.114%
Median	6.072%
Mode	5.699%
Standard Deviation	3.982%
Sample Variance	15.860%
Kurtosis	16.59
Skewness	2.86
Range	46.199%
Minimum	1.487%
Maximum	47.686%
Count	1220

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.952%	1220	100.00%	6.952%
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 1.82 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -13.71%	9	0.74%	0.74%
-13.71% to -10.24%	10	0.82%	1.56%
-10.24% to -6.76%	56	4.59%	6.15%
-6.76% to -3.29%	165	13.52%	19.67%
-3.29% to 0.18%	371	30.41%	50.08%
0.18% to 3.66%	382	31.31%	81.39%
3.66% to 7.13%	150	12.30%	93.69%
7.13% to 10.61%	56	4.59%	98.28%
10.61% to 14.08%	11	0.90%	99.18%
Greater than 14.08%	10	0.82%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.45%	4.81%	74.34%	68.27%
±2σ	-9.08%	9.45%	94.84%	95.45%
±3σ	-13.71%	14.08%	98.44%	99.73%

Descriptive Statistics

Mean	0.183%
Standard Error	0.133%
Median	0.173%
Mode	-0.155%
Standard Deviation	4.632%
Sample Variance	21.456%
Kurtosis	1.82
Skewness	0.05
Range	39.582%
Minimum	-20.234%
Maximum	19.348%
Count	1220

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.470%	636	52.13%	1.809%
Negative	-3.401%	583	47.79%	-1.625%
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 1.25. 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 -37.12%	0	0.00%	0.00%
-37.12% to -27.72%	1	0.40%	0.40%
-27.72% to -18.32%	8	3.16%	3.56%
-18.32% to -8.93%	41	16.21%	19.76%
-8.93% to 0.47%	85	33.60%	53.36%
0.47% to 9.87%	69	27.27%	80.63%
9.87% to 19.27%	38	15.02%	95.65%
19.27% to 28.66%	5	1.98%	97.63%
28.66% to 38.06%	4	1.58%	99.21%
Greater than 38.06%	2	0.79%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.06%	13.00%	73.52%	68.27%
±2σ	-24.59%	25.53%	94.86%	95.45%
±3σ	-37.12%	38.06%	99.21%	99.73%

Descriptive Statistics

Mean	0.470%
Standard Error	0.788%
Median	-0.282%
Mode	-31.177%
Standard Deviation	12.530%
Sample Variance	156.990%
Kurtosis	5.45
Skewness	1.25
Range	105.247%
Minimum	-31.177%
Maximum	74.070%
Count	253

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.908%	122	48.22%	4.778%
Negative	-8.320%	131	51.78%	-4.308%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	16.23%
12	1 Quarter	12.41%
52	1 Year	14.08%
156	3 Years	16.13%
260	5 Years	17.42%
520	10 Years	17.42%
1,040	20 Years	17.42%
2,600	50 Years	17.42%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.60. Further, an Excess Kurtosis of 20.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -18.70%	0	0.00%	0.00%
-18.70% to -9.17%	0	0.00%	0.00%
-9.17% to 0.35%	0	0.00%	0.00%
0.35% to 9.87%	33	12.99%	12.99%
9.87% to 19.39%	128	50.39%	63.39%
19.39% to 28.91%	62	24.41%	87.80%
28.91% to 38.44%	17	6.69%	94.49%
38.44% to 47.96%	7	2.76%	97.24%
47.96% to 57.48%	2	0.79%	98.03%
Greater than 57.48%	5	1.97%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.70%	32.09%	88.58%	68.27%
±2σ	-6.00%	44.78%	97.24%	95.45%
±3σ	-18.70%	57.48%	98.03%	99.73%

Descriptive Statistics

Mean	19.393%
Standard Error	0.797%
Median	16.868%
Mode	8.115%
Standard Deviation	12.696%
Sample Variance	161.183%
Kurtosis	20.39
Skewness	3.60
Range	113.897%
Minimum	5.011%
Maximum	118.908%
Count	254

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	19.393%	254	100.00%	19.393%
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 1.60 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	0.79%	0.79%
-34.55% to -25.65%	0	0.00%	0.79%
-25.65% to -16.75%	8	3.15%	3.94%
-16.75% to -7.84%	39	15.35%	19.29%
-7.84% to 1.05%	89	35.04%	54.33%
1.05% to 9.96%	68	26.77%	81.10%
9.96% to 18.86%	30	11.81%	92.91%
18.86% to 27.76%	11	4.33%	97.24%
27.76% to 36.66%	5	1.97%	99.21%
Greater than 36.66%	2	0.79%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.81%	12.92%	74.02%	68.27%
±2σ	-22.68%	24.79%	94.88%	95.45%
±3σ	-34.55%	36.66%	98.43%	99.73%

Descriptive Statistics

Mean	1.055%
Standard Error	0.745%
Median	0.140%
Mode	-7.838%
Standard Deviation	11.867%
Sample Variance	140.821%
Kurtosis	1.60
Skewness	0.28
Range	86.733%
Minimum	-42.762%
Maximum	43.971%
Count	254

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.776%	129	50.79%	4.965%
Negative	-7.945%	125	49.21%	-3.910%
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 0.79. Further, an Excess Kurtosis of 0.18 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -75.97%	0	0.00%	0.00%
-75.97% to -56.45%	0	0.00%	0.00%
-56.45% to -36.93%	2	3.45%	3.45%
-36.93% to -17.41%	15	25.86%	29.31%
-17.41% to 2.10%	16	27.59%	56.90%
2.10% to 21.62%	15	25.86%	82.76%
21.62% to 41.14%	5	8.62%	91.38%
41.14% to 60.66%	2	3.45%	94.83%
60.66% to 80.17%	3	5.17%	100.00%
Greater than 80.17%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.92%	28.13%	70.69%	68.27%
±2σ	-49.94%	54.15%	93.10%	95.45%
±3σ	-75.97%	80.17%	100.00%	99.73%

Descriptive Statistics

Mean	2.103%
Standard Error	3.417%
Median	-0.075%
Mode	65.244%
Standard Deviation	26.023%
Sample Variance	677.173%
Kurtosis	0.18
Skewness	0.79
Range	105.879%
Minimum	-40.635%
Maximum	65.244%
Count	58

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	22.021%	29	50.00%	11.010%
Negative	-17.815%	29	50.00%	-8.908%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	27.73%
12	1 Year	32.54%
36	3 Years	37.25%
60	5 Years	39.19%
120	10 Years	39.19%
240	20 Years	39.19%
600	50 Years	39.19%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.54. Further, an Excess Kurtosis of 18.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -42.91%	0	0.00%	0.00%
-42.91% to -19.96%	0	0.00%	0.00%
-19.96% to 2.99%	0	0.00%	0.00%
2.99% to 25.93%	7	11.86%	11.86%
25.93% to 48.88%	33	55.93%	67.80%
48.88% to 71.83%	10	16.95%	84.75%
71.83% to 94.77%	6	10.17%	94.92%
94.77% to 117.72%	2	3.39%	98.31%
117.72% to 140.66%	0	0.00%	98.31%
Greater than 140.66%	1	1.69%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	18.29%	79.47%	91.53%	68.27%
±2σ	-12.31%	110.07%	98.31%	95.45%
±3σ	-42.90%	140.66%	98.31%	99.73%

Descriptive Statistics

Mean	48.880%
Standard Error	3.983%
Median	41.961%
Mode	18.503%
Standard Deviation	30.595%
Sample Variance	936.038%
Kurtosis	18.49
Skewness	3.54
Range	206.773%
Minimum	18.503%
Maximum	225.276%
Count	59

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	48.880%	59	100.00%	48.880%
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 0.36. Further, an Excess Kurtosis of -0.08 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 -51.37%	0	0.00%	0.00%
-51.37% to -32.73%	4	6.78%	6.78%
-32.73% to -14.10%	9	15.25%	22.03%
-14.10% to 4.54%	20	33.90%	55.93%
4.54% to 23.18%	11	18.64%	74.58%
23.18% to 41.81%	11	18.64%	93.22%
41.81% to 60.45%	2	3.39%	96.61%
60.45% to 79.08%	2	3.39%	100.00%
Greater than 79.08%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.31%	29.39%	69.49%	68.27%
±2σ	-45.16%	54.23%	96.61%	95.45%
±3σ	-70.00%	79.08%	100.00%	99.73%

Descriptive Statistics

Mean	4.539%
Standard Error	3.235%
Median	2.150%
Mode	-39.230%
Standard Deviation	24.848%
Sample Variance	617.408%
Kurtosis	-0.08
Skewness	0.36
Range	107.680%
Minimum	-39.230%
Maximum	68.450%
Count	59

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	21.725%	33	55.93%	12.151%
Negative	-17.273%	26	44.07%	-7.612%
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 0.73. Further, an Excess Kurtosis of -0.88 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -126.63%	0	0.00%	0.00%
-126.63% to -93.66%	0	0.00%	0.00%
-93.66% to -60.68%	0	0.00%	0.00%
-60.68% to -27.70%	5	25.00%	25.00%
-27.70% to 5.27%	8	40.00%	65.00%
5.27% to 38.24%	2	10.00%	75.00%
38.24% to 71.22%	3	15.00%	90.00%
71.22% to 104.20%	2	10.00%	100.00%
104.20% to 137.17%	0	0.00%	100.00%
Greater than 137.17%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-38.70%	49.24%	55.00%	68.27%
±2σ	-82.66%	93.20%	100.00%	95.45%
±3σ	-126.63%	137.17%	100.00%	99.73%

Descriptive Statistics

Mean	5.270%
Standard Error	9.831%
Median	-10.362%
Mode	-44.140%
Standard Deviation	43.967%
Sample Variance	1933.104%
Kurtosis	-0.88
Skewness	0.73
Range	130.330%
Minimum	-44.140%
Maximum	86.190%
Count	20

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	50.951%	8	40.00%	20.380%
Negative	-25.184%	12	60.00%	-15.110%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	56.90%
12	3 Years	74.22%
20	5 Years	68.79%
40	10 Years	68.79%
80	20 Years	68.79%
200	50 Years	68.79%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.86. Further, an Excess Kurtosis of 0.68 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -56.99%	0	0.00%	0.00%
-56.99% to -19.51%	0	0.00%	0.00%
-19.51% to 17.96%	0	0.00%	0.00%
17.96% to 55.43%	8	38.10%	38.10%
55.43% to 92.91%	2	9.52%	47.62%
92.91% to 130.38%	7	33.33%	80.95%
130.38% to 167.85%	3	14.29%	95.24%
167.85% to 205.32%	0	0.00%	95.24%
205.32% to 242.80%	1	4.76%	100.00%
Greater than 242.80%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	42.94%	142.87%	61.90%	68.27%
±2σ	-7.02%	192.83%	95.24%	95.45%
±3σ	-56.99%	242.80%	100.00%	99.73%

Descriptive Statistics

Mean	92.906%
Standard Error	10.903%
Median	93.945%
Mode	37.012%
Standard Deviation	49.964%
Sample Variance	2496.446%
Kurtosis	0.68
Skewness	0.86
Range	188.264%
Minimum	37.012%
Maximum	225.276%
Count	21

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	92.906%	21	100.00%	92.906%
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 0.25. Further, an Excess Kurtosis of -0.96 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -113.17%	0	0.00%	0.00%
-113.17% to -82.15%	0	0.00%	0.00%
-82.15% to -51.14%	0	0.00%	0.00%
-51.14% to -20.12%	6	28.57%	28.57%
-20.12% to 10.89%	5	23.81%	52.38%
10.89% to 41.91%	6	28.57%	80.95%
41.91% to 72.92%	1	4.76%	85.71%
72.92% to 103.93%	3	14.29%	100.00%
103.93% to 134.95%	0	0.00%	100.00%
Greater than 134.95%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.46%	52.24%	57.14%	68.27%
±2σ	-71.81%	93.59%	100.00%	95.45%
±3σ	-113.16%	134.95%	100.00%	99.73%

Descriptive Statistics

Mean	10.891%
Standard Error	9.024%
Median	10.773%
Mode	-46.081%
Standard Deviation	41.352%
Sample Variance	1709.951%
Kurtosis	-0.96
Skewness	0.25
Range	125.671%
Minimum	-46.081%
Maximum	79.590%
Count	21

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	40.122%	12	57.14%	22.927%
Negative	-28.084%	9	42.86%	-12.036%
Zero	0.000%	0	0.00%	0.000%

COIN Deep Analytical Report