Markets Data Volatility Heatmap Portfolio Calculator

CVX Deep Analytical Report

Chevron Corporation | Category: Equity Mega Cap | Ann. Div Yield: 3.39% ($6.84) | Last Updated: 2026-03-24 | Data Range: 1962-01-01 → 2026-03-01 (771 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% 2.19% 1.85% 1.87% 200.01 207.56 196.34 211.44
Weekly 3.55% 3.12% 3.43% 5.08% 4.08% 4.11% 195.61 212.23 187.79 221.06
Monthly 6.69% 6.78% 6.53% 10.75% 8.49% 8.56% 187.17 221.80 171.93 241.45
Quarterly 9.75% 11.40% 9.34% 18.19% 14.70% 14.82% 175.89 236.02 151.84 273.41
Annual — — — — 29.41% 29.64% 151.84 273.41 113.15 366.88
Option Time Horizon — — — — 11.10% 11.19% 182.34 227.67 163.19 254.39
Calculation Notes: Computed at 2026-03-23T16:31 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $203.75  |  Strike (K): $210.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $6.4750 (Bid $6.3500 / Ask $6.6000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.39%  |  Binomial IV (Annual): 29.41% (CRR binomial tree, American, n=20 steps)  |  BS IV: 29.74% (European Black-Scholes)  |  Yahoo IV (Annual): 29.64% → 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%1.58%
-3.58% to -2.37%5683.51%5.10%
-2.37% to -1.16%191611.86%16.95%
-1.16% to 0.05%562634.81%51.77%
0.05% to 1.26%496430.72%82.48%
1.26% to 2.47%198412.28%94.76%
2.47% to 3.68%5523.42%98.17%
3.68% to 4.89%1931.19%99.37%
Greater than 4.89%1020.63%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.56%1.67% 76.70%68.27%
±2σ -3.17%3.28% 95.24%95.45%
±3σ -4.79%4.89% 98.89%99.73%
Descriptive Statistics
Mean0.053%
Standard Error0.013%
Median0.000%
Mode0.000%
Standard Deviation1.613%
Sample Variance2.600%
Kurtosis12.21
Skewness0.07
Range44.866%
Minimum-22.125%
Maximum22.741%
Count16161
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.210% 7901 48.89% 0.592%
Negative -1.179% 7379 45.66% -0.538%
Zero 0.000% 881 5.45% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.23%
20 1 Month 2.16%
60 1 Quarter 2.09%
250 1 Year 2.07%
750 3 Years 1.93%
1,250 5 Years 2.19%
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 105.54 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%241014.91%14.91%
1.01% to 1.97%764947.33%62.24%
1.97% to 2.93%373323.10%85.34%
2.93% to 3.89%13958.63%93.97%
3.89% to 4.85%5683.51%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% 85.59%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 Variance1.632%
Kurtosis105.54
Skewness5.55
Range45.034%
Minimum0.278%
Maximum45.312%
Count16162
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.971% 16162 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 9.62 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 -3.06%1831.13%1.71%
-3.06% to -2.04%6093.77%5.48%
-2.04% to -1.02%200512.41%17.89%
-1.02% to -0.01%474129.33%47.22%
-0.01% to 1.01%562634.81%82.03%
1.01% to 2.03%201112.44%94.47%
2.03% to 3.04%6073.76%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% 76.05%68.27%
±2σ -2.72%2.70% 95.07%95.45%
±3σ -4.07%4.06% 98.81%99.73%
Descriptive Statistics
Mean-0.006%
Standard Error0.011%
Median0.000%
Mode0.000%
Standard Deviation1.355%
Sample Variance1.835%
Kurtosis9.62
Skewness0.24
Range35.613%
Minimum-15.341%
Maximum20.272%
Count16162
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.037% 7472 46.23% 0.479%
Negative -1.027% 7632 47.22% -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 -10.38%180.54%0.54%
-10.38% to -7.72%351.04%1.58%
-7.72% to -5.06%1233.67%5.25%
-5.06% to -2.40%45513.58%18.84%
-2.40% to 0.26%104331.13%49.97%
0.26% to 2.92%106331.73%81.70%
2.92% to 5.58%43813.07%94.78%
5.58% to 8.24%1133.37%98.15%
8.24% to 10.90%371.10%99.25%
Greater than 10.90%250.75%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.29%3.80% 74.90%68.27%
±2σ -6.83%7.35% 94.99%95.45%
±3σ -10.38%10.90% 98.72%99.73%
Descriptive Statistics
Mean0.258%
Standard Error0.061%
Median0.262%
Mode0.000%
Standard Deviation3.546%
Sample Variance12.572%
Kurtosis4.71
Skewness0.22
Range54.909%
Minimum-22.209%
Maximum32.700%
Count3350
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.725% 1755 52.39% 1.428%
Negative -2.581% 1518 45.31% -1.170%
Zero 0.000% 77 2.30% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 5.24%
12 1 Quarter 5.23%
52 1 Year 4.68%
156 3 Years 4.46%
260 5 Years 5.08%
520 10 Years 5.10%
1,040 20 Years 5.08%
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 3.47. Further, an Excess Kurtosis of 27.10 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%56216.77%16.77%
2.72% to 5.05%152945.63%62.40%
5.05% to 7.39%74822.32%84.72%
7.39% to 9.73%2868.53%93.26%
9.73% to 12.06%1263.76%97.02%
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% 83.86%68.27%
±2σ -1.18%11.28% 96.00%95.45%
±3σ -4.29%14.40% 98.75%99.73%
Descriptive Statistics
Mean5.054%
Standard Error0.054%
Median4.328%
Mode4.545%
Standard Deviation3.115%
Sample Variance9.701%
Kurtosis27.10
Skewness3.47
Range46.035%
Minimum0.840%
Maximum46.875%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.054% 3351 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%351.04%1.43%
-7.77% to -5.19%1273.79%5.22%
-5.19% to -2.62%45713.64%18.86%
-2.62% to -0.05%105231.39%50.25%
-0.05% to 2.53%105531.48%81.74%
2.53% to 5.10%43112.86%94.60%
5.10% to 7.67%1193.55%98.15%
7.67% to 10.25%361.07%99.22%
Greater than 10.25%260.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.48%3.38% 75.32%68.27%
±2σ -6.91%6.82% 95.28%95.45%
±3σ -10.34%10.25% 98.84%99.73%
Descriptive Statistics
Mean-0.047%
Standard Error0.059%
Median-0.094%
Mode0.000%
Standard Deviation3.431%
Sample Variance11.771%
Kurtosis5.12
Skewness0.68
Range44.393%
Minimum-14.552%
Maximum29.841%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.586% 1589 47.42% 1.226%
Negative -2.524% 1691 50.46% -1.274%
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 2.31 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.99%10.13%0.13%
-18.99% to -13.98%101.30%1.43%
-13.98% to -8.96%354.55%5.97%
-8.96% to -3.95%9812.73%18.70%
-3.95% to 1.07%24031.17%49.87%
1.07% to 6.08%24231.43%81.30%
6.08% to 11.10%9912.86%94.16%
11.10% to 16.11%314.03%98.18%
16.11% to 21.13%50.65%98.83%
Greater than 21.13%91.17%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.62%7.76% 74.42%68.27%
±2σ -12.31%14.44% 95.06%95.45%
±3σ -18.99%21.13% 98.70%99.73%
Descriptive Statistics
Mean1.068%
Standard Error0.241%
Median1.095%
Mode0.000%
Standard Deviation6.687%
Sample Variance44.720%
Kurtosis2.31
Skewness0.42
Range58.666%
Minimum-22.370%
Maximum36.296%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.407% 435 56.49% 3.055%
Negative -4.665% 328 42.60% -1.987%
Zero 0.000% 7 0.91% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 12.30%
12 1 Year 9.90%
36 3 Years 9.11%
60 5 Years 10.75%
120 10 Years 10.95%
240 20 Years 10.70%
600 50 Years 10.70%
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 38.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.12%00.00%0.00%
-9.12% to -4.04%00.00%0.00%
-4.04% to 1.05%00.00%0.00%
1.05% to 6.13%11615.05%15.05%
6.13% to 11.22%36246.95%62.00%
11.22% to 16.31%19124.77%86.77%
16.31% to 21.39%597.65%94.42%
21.39% to 26.48%232.98%97.41%
26.48% to 31.56%111.43%98.83%
Greater than 31.56%91.17%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.44%18.00% 87.03%68.27%
±2σ -2.34%24.78% 97.02%95.45%
±3σ -9.12%31.56% 98.83%99.73%
Descriptive Statistics
Mean11.221%
Standard Error0.244%
Median9.818%
Mode12.500%
Standard Deviation6.781%
Sample Variance45.984%
Kurtosis38.00
Skewness4.39
Range89.468%
Minimum2.431%
Maximum91.899%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 11.221% 771 100.00% 11.221%
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 1.71 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -19.89%30.39%0.39%
-19.89% to -14.99%60.78%1.17%
-14.99% to -10.10%354.54%5.71%
-10.10% to -5.20%10313.36%19.07%
-5.20% to -0.30%26834.76%53.83%
-0.30% to 4.59%20426.46%80.29%
4.59% to 9.49%10113.10%93.39%
9.49% to 14.38%334.28%97.67%
14.38% 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 -6.83%6.22% 73.93%68.27%
±2σ -13.36%12.75% 94.81%95.45%
±3σ -19.89%19.28% 98.83%99.73%
Descriptive Statistics
Mean-0.305%
Standard Error0.235%
Median-0.784%
Mode0.000%
Standard Deviation6.527%
Sample Variance42.601%
Kurtosis1.71
Skewness0.31
Range56.276%
Minimum-26.522%
Maximum29.754%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.231% 338 43.84% 2.293%
Negative -4.702% 426 55.25% -2.598%
Zero 0.000% 7 0.91% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.16. Further, an Excess Kurtosis of 0.26 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -26.21%00.00%0.00%
-26.21% to -18.90%31.17%1.17%
-18.90% to -11.59%145.45%6.61%
-11.59% to -4.28%4115.95%22.57%
-4.28% to 3.02%6926.85%49.42%
3.02% to 10.33%7629.57%78.99%
10.33% to 17.64%3513.62%92.61%
17.64% to 24.95%155.84%98.44%
24.95% to 32.26%31.17%99.61%
Greater than 32.26%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.72%12.77% 69.65%68.27%
±2σ -16.47%22.52% 94.55%95.45%
±3σ -26.21%32.26% 99.61%99.73%
Descriptive Statistics
Mean3.025%
Standard Error0.608%
Median3.306%
Mode-25.936%
Standard Deviation9.746%
Sample Variance94.982%
Kurtosis0.26
Skewness0.16
Range60.864%
Minimum-25.936%
Maximum34.928%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.793% 161 62.65% 5.508%
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 16.02%
12 3 Years 15.17%
20 5 Years 18.19%
40 10 Years 18.42%
80 20 Years 18.28%
200 50 Years 18.26%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.14. Further, an Excess Kurtosis of 28.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.26%00.00%0.00%
-14.26% to -5.71%00.00%0.00%
-5.71% to 2.84%00.00%0.00%
2.84% to 11.39%3814.73%14.73%
11.39% to 19.94%12046.51%61.24%
19.94% to 28.49%6625.58%86.82%
28.49% to 37.04%228.53%95.35%
37.04% to 45.59%83.10%98.45%
45.59% to 54.14%00.00%98.45%
Greater than 54.14%41.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 8.54%31.34% 86.05%68.27%
±2σ -2.86%42.74% 97.67%95.45%
±3σ -14.26%54.14% 98.45%99.73%
Descriptive Statistics
Mean19.939%
Standard Error0.710%
Median17.723%
Mode10.575%
Standard Deviation11.400%
Sample Variance129.965%
Kurtosis28.61
Skewness4.14
Range112.503%
Minimum5.714%
Maximum118.217%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 19.939% 258 100.00% 19.939%
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 1.03 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -29.25%00.00%0.00%
-29.25% to -22.25%10.39%0.39%
-22.25% to -15.25%155.81%6.20%
-15.25% to -8.24%3613.95%20.16%
-8.24% to -1.24%8733.72%53.88%
-1.24% to 5.76%7127.52%81.40%
5.76% to 12.76%3212.40%93.80%
12.76% to 19.76%114.26%98.06%
19.76% to 26.76%41.55%99.61%
Greater than 26.76%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.58%8.09% 70.16%68.27%
±2σ -19.91%17.43% 94.96%95.45%
±3σ -29.25%26.76% 99.61%99.73%
Descriptive Statistics
Mean-1.243%
Standard Error0.581%
Median-2.391%
Mode0.000%
Standard Deviation9.335%
Sample Variance87.137%
Kurtosis1.03
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 -7.371% 151 58.53% -4.314%
Zero 0.000% 2 0.78% 0.000%