Markets Data Volatility Heatmap Portfolio Calculator

CVX Deep Analytical Report

Chevron Corporation | Category: Equity Mega Cap | Ann. Div Yield: 3.70% ($6.84) | Last Updated: 2026-02-22 | Data Range: 1962-01-01 → 2026-02-01 (770 months)
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 1.61% 1.28% 1.35% 2.20% 1.72% 1.76% 180.79 187.13 177.70 190.38
Weekly 3.55% 3.12% 3.43% 5.11% 3.80% 3.87% 177.08 191.04 170.49 198.43
Monthly 6.68% 6.79% 6.53% 10.77% 7.90% 8.06% 169.96 199.05 157.05 215.41
Quarterly 9.71% 11.42% 9.30% 17.70% 13.68% 13.96% 160.41 210.90 139.90 241.83
Annual — — — — 27.37% 27.92% 139.90 241.83 106.40 317.95
Option Time Horizon — — — — 10.53% 10.74% 165.55 204.35 149.01 227.03
Calculation Notes: Computed at 2026-02-22T14:17 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $183.93  |  Strike (K): $185.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $7.1750 (Bid $6.9000 / Ask $7.4500)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.70%  |  Binomial IV (Annual): 27.37% (CRR binomial tree, American, n=20 steps)  |  BS IV: 27.34% (European Black-Scholes)  |  Yahoo IV (Annual): 27.92% → period-scaled as σperiod = σannual·√h  |  Price bands: Upper = S·e+σ√h, Lower = S·e−σ√h
Historical Dividend Payouts
Ex-Dividend Date Amount
2026-02-17 $1.7800
2025-11-18 $1.7100
2025-08-19 $1.7100
2025-05-19 $1.7100
2025-02-14 $1.7100
2024-11-18 $1.6300
2024-08-19 $1.6300
2024-05-16 $1.6300
2024-02-15 $1.6300
2023-11-16 $1.5100
2023-08-17 $1.5100
2023-05-18 $1.5100
2023-02-15 $1.5100
2022-11-17 $1.4200
2022-08-18 $1.4200
2022-05-18 $1.4200
2022-02-15 $1.4200
2021-11-17 $1.3400
2021-08-18 $1.3400
2021-05-18 $1.3400
2021-02-16 $1.2900
2020-11-17 $1.2900
2020-08-18 $1.2900
2020-05-18 $1.2900
2020-02-14 $1.2900
2019-11-15 $1.1900
2019-08-16 $1.1900
2019-05-16 $1.1900
2019-02-14 $1.1900
2018-11-15 $1.1200
2018-08-16 $1.1200
2018-05-17 $1.1200
2018-02-15 $1.1200
2017-11-16 $1.0800
2017-08-16 $1.0800
2017-05-17 $1.0800
2017-02-14 $1.0800
2016-11-16 $1.0800
2016-08-17 $1.0700
2016-05-17 $1.0700
2016-02-16 $1.0700
2015-11-16 $1.0700
2015-08-17 $1.0700
2015-05-15 $1.0700
2015-02-12 $1.0700
2014-11-14 $1.0700
2014-08-15 $1.0700
2014-05-15 $1.0700
2014-02-12 $1.0000
2013-11-14 $1.0000
2013-08-15 $1.0000
2013-05-15 $1.0000
2013-02-13 $0.9000
2012-11-14 $0.9000
2012-08-15 $0.9000
2012-05-16 $0.9000
2012-02-15 $0.8100
2011-11-16 $0.8100
2011-08-17 $0.7800
2011-05-17 $0.7800
2011-02-14 $0.7200
2010-11-16 $0.7200
2010-08-17 $0.7200
2010-05-17 $0.7200
2010-02-12 $0.6800
2009-11-16 $0.6800
2009-08-17 $0.6800
2009-05-15 $0.6500
2009-02-12 $0.6500
2008-11-14 $0.6500
2008-08-15 $0.6500
2008-05-15 $0.6500
2008-02-13 $0.5800
2007-11-14 $0.5800
2007-08-15 $0.5800
2007-05-16 $0.5800
2007-02-14 $0.5200
2006-11-15 $0.5200
2006-08-16 $0.5200
2006-05-17 $0.5200
2006-02-14 $0.4500
2005-11-16 $0.4500
2005-08-17 $0.4500
2005-05-17 $0.4500
2005-02-14 $0.4000
2004-11-16 $0.4000
2004-08-17 $0.4000
2004-05-17 $0.3650
2004-02-13 $0.3650
2003-11-14 $0.3650
2003-08-15 $0.3650
2003-05-15 $0.3500
2003-02-12 $0.3500
2002-11-14 $0.3500
2002-08-15 $0.3500
2002-05-15 $0.3500
2002-02-13 $0.3500
2001-11-14 $0.3500
2001-08-15 $0.3250
2001-05-16 $0.3250
2001-02-14 $0.3250
2000-11-15 $0.3250
2000-08-16 $0.3250
2000-05-17 $0.3250
2000-02-16 $0.3250
1999-11-17 $0.3250
1999-08-18 $0.3050
1999-05-18 $0.3050
1999-02-17 $0.3050
1998-11-18 $0.3050
1998-08-18 $0.3050
1998-05-18 $0.3050
1998-02-18 $0.3050
1997-11-18 $0.2900
1997-08-18 $0.2900
1997-05-16 $0.2900
1997-02-18 $0.2700
1996-11-12 $0.2700
1996-08-13 $0.2700
1996-05-14 $0.2500
1996-02-13 $0.2500
1995-11-15 $0.2500
1995-08-15 $0.2500
1995-05-11 $0.2310
1995-02-10 $0.2310
1994-11-04 $0.2310
1994-08-04 $0.2310
1994-05-05 $0.2313
1994-02-04 $0.2313
1993-11-04 $0.2188
1993-08-03 $0.2188
1993-05-04 $0.2188
1993-02-04 $0.2188
1992-11-03 $0.2062
1992-08-04 $0.2062
1992-05-05 $0.2062
1992-02-04 $0.2062
1991-11-05 $0.2062
1991-08-06 $0.2062
1991-04-30 $0.2062
1991-02-05 $0.1938
1990-11-06 $0.1938
1990-07-31 $0.1938
1990-05-01 $0.1750
1990-02-07 $0.1750
1989-10-31 $0.1750
1989-08-01 $0.1750
1989-05-02 $0.1750
1989-01-31 $0.1750
1988-11-01 $0.1625
1988-08-02 $0.1625
1988-05-03 $0.1625
1988-02-02 $0.1500
1987-11-03 $0.1500
1987-08-04 $0.1500
1987-05-05 $0.1500
1987-02-05 $0.1500
1986-11-03 $0.1500
1986-08-04 $0.1500
1986-05-05 $0.1500
1986-02-03 $0.1500
1985-11-05 $0.1500
1985-08-05 $0.1500
1985-05-06 $0.1500
1985-02-04 $0.1500
1984-11-05 $0.1500
1984-08-06 $0.1500
1984-05-04 $0.1500
1976-11-05 $0.0688
1976-08-09 $0.0688
1976-05-10 $0.0688
1976-02-06 $0.0625
1975-11-07 $0.0625
1975-08-11 $0.0625
1975-05-12 $0.0625
1975-02-03 $0.0625
1974-11-01 $0.0625
1974-08-05 $0.0625
1974-05-06 $0.0625
1974-02-04 $0.0625
1973-11-02 $0.0266
1973-08-06 $0.0469
1973-05-04 $0.0469
1973-02-05 $0.0469
1972-11-03 $0.0453
1972-08-04 $0.0453
1972-05-04 $0.0453
1972-02-04 $0.0453
1971-11-04 $0.0437
1971-08-04 $0.0437
1971-05-04 $0.0437
1971-02-08 $0.0437
1970-11-04 $0.0437
1970-08-04 $0.0437
1970-05-05 $0.0437
1970-02-04 $0.0437
1969-11-03 $0.0437
1969-08-05 $0.0437
1969-05-05 $0.0437
1969-02-04 $0.0437
1968-08-06 $0.0422
1968-05-06 $0.0422
1968-02-06 $0.0422
1967-11-03 $0.0391
1967-08-07 $0.0391
1967-05-05 $0.0391
1967-02-07 $0.0391
1966-11-04 $0.0391
1966-08-05 $0.0391
1966-05-05 $0.0391
1966-02-07 $0.0391
1965-11-05 $0.0391
1965-08-05 $0.0344
1965-05-05 $0.0344
1965-02-05 $0.0344
1964-11-05 $0.0344
1964-08-05 $0.0312
1964-05-05 $0.0312
1964-02-05 $0.0312
1963-11-06 $0.0312
1963-08-07 $0.0312
1963-05-07 $0.0312
1963-02-06 $0.0312
1962-11-07 $0.0298
1962-08-07 $0.0298
1962-05-07 $0.0298
1962-01-31 $0.0298
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.07. Further, an Excess Kurtosis of 12.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.79%780.48%0.48%
-4.79% to -3.58%1781.10%1.59%
-3.58% to -2.37%5683.52%5.11%
-2.37% to -1.16%191411.86%16.96%
-1.16% to 0.05%561934.81%51.78%
0.05% to 1.26%495830.72%82.50%
1.26% to 2.47%198012.27%94.76%
2.47% to 3.68%5503.41%98.17%
3.68% to 4.89%1931.20%99.37%
Greater than 4.89%1020.63%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.56%1.67% 76.69%68.27%
±2σ -3.17%3.28% 95.23%95.45%
±3σ -4.79%4.89% 98.88%99.73%
Descriptive Statistics
Mean0.053%
Standard Error0.013%
Median0.000%
Mode0.000%
Standard Deviation1.613%
Sample Variance2.602%
Kurtosis12.21
Skewness0.07
Range44.866%
Minimum-22.125%
Maximum22.741%
Count16140
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.211% 7887 48.87% 0.592%
Negative -1.180% 7372 45.67% -0.539%
Zero 0.000% 881 5.46% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 1.98%
20 1 Month 2.00%
60 1 Quarter 1.89%
250 1 Year 2.08%
750 3 Years 1.95%
1,250 5 Years 2.20%
2,500 10 Years 2.19%
5,000 20 Years 2.20%
12,500 50 Years 2.16%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.55. Further, an Excess Kurtosis of 105.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -1.86%00.00%0.00%
-1.86% to -0.91%00.00%0.00%
-0.91% to 0.05%00.00%0.00%
0.05% to 1.01%241014.93%14.93%
1.01% to 1.97%763947.33%62.26%
1.97% to 2.93%372423.07%85.33%
2.93% to 3.89%13938.63%93.96%
3.89% to 4.85%5683.52%97.48%
4.85% to 5.80%1871.16%98.64%
Greater than 5.80%2201.36%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.69%3.25% 85.58%68.27%
±2σ -0.58%4.53% 96.67%95.45%
±3σ -1.86%5.80% 98.64%99.73%
Descriptive Statistics
Mean1.971%
Standard Error0.010%
Median1.674%
Mode2.041%
Standard Deviation1.278%
Sample Variance1.634%
Kurtosis105.49
Skewness5.55
Range45.034%
Minimum0.278%
Maximum45.312%
Count16141
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.971% 16141 100.00% 1.971%
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 0.24. Further, an Excess Kurtosis of 9.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.07%940.58%0.58%
-4.07% to -3.05%1841.14%1.72%
-3.05% to -2.04%6063.75%5.48%
-2.04% to -1.02%200712.43%17.91%
-1.02% to -0.01%472829.29%47.20%
-0.01% to 1.01%562734.86%82.06%
1.01% to 2.03%200312.41%94.47%
2.03% to 3.04%6063.75%98.23%
3.04% to 4.06%1871.16%99.39%
Greater than 4.06%990.61%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.36%1.35% 76.03%68.27%
±2σ -2.71%2.71% 95.07%95.45%
±3σ -4.07%4.06% 98.80%99.73%
Descriptive Statistics
Mean-0.005%
Standard Error0.011%
Median0.000%
Mode0.000%
Standard Deviation1.355%
Sample Variance1.835%
Kurtosis9.63
Skewness0.24
Range35.613%
Minimum-15.341%
Maximum20.272%
Count16141
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.037% 7464 46.24% 0.480%
Negative -1.027% 7619 47.20% -0.485%
Zero 0.000% 1058 6.55% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.22. Further, an Excess Kurtosis of 4.71 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.39%180.54%0.54%
-10.39% to -7.73%351.05%1.58%
-7.73% to -5.07%1233.68%5.26%
-5.07% to -2.40%45413.57%18.83%
-2.40% to 0.26%104231.14%49.97%
0.26% to 2.92%106331.77%81.74%
2.92% to 5.58%43613.03%94.77%
5.58% to 8.24%1133.38%98.15%
8.24% to 10.90%371.11%99.25%
Greater than 10.90%250.75%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.29%3.80% 74.87%68.27%
±2σ -6.84%7.35% 95.01%95.45%
±3σ -10.39%10.90% 98.71%99.73%
Descriptive Statistics
Mean0.255%
Standard Error0.061%
Median0.258%
Mode0.000%
Standard Deviation3.547%
Sample Variance12.578%
Kurtosis4.71
Skewness0.22
Range54.909%
Minimum-22.209%
Maximum32.700%
Count3346
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.724% 1752 52.36% 1.426%
Negative -2.583% 1517 45.34% -1.171%
Zero 0.000% 77 2.30% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.91%
12 1 Quarter 4.32%
52 1 Year 4.72%
156 3 Years 4.50%
260 5 Years 5.11%
520 10 Years 5.11%
1,040 20 Years 5.07%
2,600 50 Years 5.09%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.46. Further, an Excess Kurtosis of 27.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.29%00.00%0.00%
-4.29% to -1.96%00.00%0.00%
-1.96% to 0.38%00.00%0.00%
0.38% to 2.72%56216.79%16.79%
2.72% to 5.05%152745.62%62.41%
5.05% to 7.39%74622.29%84.70%
7.39% to 9.73%2868.54%93.25%
9.73% to 12.06%1263.76%97.01%
12.06% to 14.40%581.73%98.75%
Greater than 14.40%421.25%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.94%8.17% 83.84%68.27%
±2σ -1.18%11.29% 96.00%95.45%
±3σ -4.29%14.40% 98.75%99.73%
Descriptive Statistics
Mean5.054%
Standard Error0.054%
Median4.327%
Mode4.545%
Standard Deviation3.116%
Sample Variance9.711%
Kurtosis27.08
Skewness3.46
Range46.035%
Minimum0.840%
Maximum46.875%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.054% 3347 100.00% 5.054%
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 Right Skewed (Positive Asymmetry) with a Skewness factor of 0.68. Further, an Excess Kurtosis of 5.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.34%130.39%0.39%
-10.34% to -7.77%351.05%1.43%
-7.77% to -5.19%1273.79%5.23%
-5.19% to -2.62%45513.59%18.82%
-2.62% to -0.04%105131.40%50.22%
-0.04% to 2.53%105631.55%81.77%
2.53% to 5.10%42912.82%94.59%
5.10% to 7.68%1193.56%98.15%
7.68% to 10.25%361.08%99.22%
Greater than 10.25%260.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.48%3.39% 75.32%68.27%
±2σ -6.91%6.82% 95.31%95.45%
±3σ -10.34%10.25% 98.86%99.73%
Descriptive Statistics
Mean-0.045%
Standard Error0.059%
Median-0.083%
Mode0.000%
Standard Deviation3.432%
Sample Variance11.776%
Kurtosis5.12
Skewness0.68
Range44.393%
Minimum-14.552%
Maximum29.841%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.587% 1588 47.45% 1.227%
Negative -2.523% 1688 50.43% -1.272%
Zero 0.000% 71 2.12% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.42. Further, an Excess Kurtosis of 2.32 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -19.00%10.13%0.13%
-19.00% to -13.98%101.30%1.43%
-13.98% to -8.97%354.55%5.98%
-8.97% to -3.96%9812.74%18.73%
-3.96% to 1.05%24031.21%49.93%
1.05% to 6.07%24131.34%81.27%
6.07% to 11.08%9912.87%94.15%
11.08% to 16.09%314.03%98.18%
16.09% to 21.11%50.65%98.83%
Greater than 21.11%91.17%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.63%7.74% 74.51%68.27%
±2σ -12.31%14.42% 95.06%95.45%
±3σ -19.00%21.11% 98.70%99.73%
Descriptive Statistics
Mean1.055%
Standard Error0.241%
Median1.091%
Mode0.000%
Standard Deviation6.684%
Sample Variance44.674%
Kurtosis2.32
Skewness0.42
Range58.666%
Minimum-22.370%
Maximum36.296%
Count769
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.395% 434 56.44% 3.045%
Negative -4.665% 328 42.65% -1.990%
Zero 0.000% 7 0.91% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 10.28%
12 1 Year 10.09%
36 3 Years 9.09%
60 5 Years 10.77%
120 10 Years 11.00%
240 20 Years 10.70%
600 50 Years 10.71%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.39. Further, an Excess Kurtosis of 37.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.14%00.00%0.00%
-9.14% to -4.05%00.00%0.00%
-4.05% to 1.04%00.00%0.00%
1.04% to 6.13%11615.06%15.06%
6.13% to 11.22%36247.01%62.08%
11.22% to 16.31%19024.68%86.75%
16.31% to 21.40%597.66%94.42%
21.40% to 26.49%232.99%97.40%
26.49% to 31.58%111.43%98.83%
Greater than 31.58%91.17%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.43%18.01% 87.01%68.27%
±2σ -2.35%24.79% 97.01%95.45%
±3σ -9.14%31.58% 98.83%99.73%
Descriptive Statistics
Mean11.220%
Standard Error0.245%
Median9.787%
Mode12.500%
Standard Deviation6.786%
Sample Variance46.043%
Kurtosis37.95
Skewness4.39
Range89.468%
Minimum2.431%
Maximum91.899%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 11.220% 770 100.00% 11.220%
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 0.31. Further, an Excess Kurtosis of 1.72 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -19.87%30.39%0.39%
-19.87% to -14.98%60.78%1.17%
-14.98% to -10.08%354.55%5.71%
-10.08% to -5.19%10413.51%19.22%
-5.19% to -0.29%26634.55%53.77%
-0.29% to 4.60%20426.49%80.26%
4.60% to 9.49%10213.25%93.51%
9.49% to 14.39%324.16%97.66%
14.39% to 19.28%121.56%99.22%
Greater than 19.28%60.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.82%6.23% 73.90%68.27%
±2σ -13.35%12.76% 94.81%95.45%
±3σ -19.87%19.28% 98.83%99.73%
Descriptive Statistics
Mean-0.295%
Standard Error0.235%
Median-0.780%
Mode0.000%
Standard Deviation6.525%
Sample Variance42.582%
Kurtosis1.72
Skewness0.31
Range56.276%
Minimum-26.522%
Maximum29.754%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.231% 338 43.90% 2.296%
Negative -4.694% 425 55.20% -2.591%
Zero 0.000% 7 0.91% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.17. Further, an Excess Kurtosis of 0.29 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -26.15%00.00%0.00%
-26.15% to -18.87%31.17%1.17%
-18.87% to -11.59%145.45%6.61%
-11.59% to -4.30%4115.95%22.57%
-4.30% to 2.98%6926.85%49.42%
2.98% to 10.26%7629.57%78.99%
10.26% to 17.55%3513.62%92.61%
17.55% to 24.83%155.84%98.44%
24.83% to 32.11%31.17%99.61%
Greater than 32.11%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.73%12.69% 70.04%68.27%
±2σ -16.44%22.40% 94.55%95.45%
±3σ -26.15%32.11% 99.61%99.73%
Descriptive Statistics
Mean2.981%
Standard Error0.606%
Median3.306%
Mode-25.936%
Standard Deviation9.711%
Sample Variance94.306%
Kurtosis0.29
Skewness0.17
Range60.864%
Minimum-25.936%
Maximum34.928%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.723% 161 62.65% 5.465%
Negative -6.649% 96 37.35% -2.484%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 13.54%
12 3 Years 14.35%
20 5 Years 17.70%
40 10 Years 18.18%
80 20 Years 18.15%
200 50 Years 18.21%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.12. Further, an Excess Kurtosis of 28.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.36%00.00%0.00%
-14.36% to -5.80%00.00%0.00%
-5.80% to 2.77%00.00%0.00%
2.77% to 11.34%3915.12%15.12%
11.34% to 19.90%11946.12%61.24%
19.90% to 28.47%6625.58%86.82%
28.47% to 37.03%228.53%95.35%
37.03% to 45.60%83.10%98.45%
45.60% to 54.16%00.00%98.45%
Greater than 54.16%41.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 8.48%31.32% 86.05%68.27%
±2σ -2.94%42.74% 98.06%95.45%
±3σ -14.36%54.16% 98.45%99.73%
Descriptive Statistics
Mean19.901%
Standard Error0.711%
Median17.704%
Mode10.575%
Standard Deviation11.421%
Sample Variance130.439%
Kurtosis28.44
Skewness4.12
Range112.503%
Minimum5.714%
Maximum118.217%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 19.901% 258 100.00% 19.901%
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 Right Skewed (Positive Asymmetry) with a Skewness factor of 0.52. Further, an Excess Kurtosis of 1.06 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -29.11%00.00%0.00%
-29.11% to -22.13%10.39%0.39%
-22.13% to -15.16%166.20%6.59%
-15.16% to -8.18%3513.57%20.16%
-8.18% to -1.21%8733.72%53.88%
-1.21% to 5.77%7127.52%81.40%
5.77% to 12.74%3212.40%93.80%
12.74% to 19.72%114.26%98.06%
19.72% to 26.69%41.55%99.61%
Greater than 26.69%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.51%8.09% 70.16%68.27%
±2σ -19.81%17.39% 94.96%95.45%
±3σ -29.11%26.69% 99.61%99.73%
Descriptive Statistics
Mean-1.208%
Standard Error0.579%
Median-2.391%
Mode0.000%
Standard Deviation9.300%
Sample Variance86.490%
Kurtosis1.06
Skewness0.52
Range63.341%
Minimum-24.749%
Maximum38.592%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.545% 105 40.70% 3.071%
Negative -7.310% 151 58.53% -4.278%
Zero 0.000% 2 0.78% 0.000%