Markets Data Volatility Heatmap Portfolio Calculator

DTE Deep Analytical Report

DTE Energy Company | Category: Equity Large Cap | Ann. Div Yield: 3.13% ($4.43) | 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 1.25% 1.08% 1.13% 1.79% 1.15% 1.26% 146.54 149.96 144.86 151.70
Weekly 2.74% 2.63% 2.72% 4.09% 2.54% 2.78% 144.53 152.05 140.91 155.95
Monthly 5.23% 5.41% 5.21% 8.43% 5.28% 5.78% 140.62 156.28 133.39 164.75
Quarterly 8.38% 9.59% 8.41% 14.05% 9.14% 10.02% 135.29 162.43 123.47 177.99
Annual — — — — 18.29% 20.04% 123.47 177.99 102.83 213.70
Option Time Horizon — — — — 6.56% 7.19% 138.82 158.29 130.01 169.03
Calculation Notes: Computed at 2026-03-01T12:13 UTC  |  Reference Contract: Call option expiring 2026-04-17 (47 days)  |  Spot Price (S): $148.24  |  Strike (K): $150.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $3.1750 (Bid $2.8500 / Ask $3.5000)  |  Risk-Free Rate (r): 3.74% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.03%  |  Binomial IV (Annual): 18.29% (CRR binomial tree, American, n=20 steps)  |  BS IV: 18.49% (European Black-Scholes)  |  Yahoo IV (Annual): 20.04% → 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
2026-03-16 $1.1650
2025-12-15 $1.1650
2025-09-15 $1.0900
2025-06-16 $1.0900
2025-03-17 $1.0900
2024-12-16 $1.0900
2024-09-16 $1.0200
2024-06-17 $1.0200
2024-03-15 $1.0200
2023-12-15 $1.0200
2023-09-15 $0.9530
2023-06-15 $0.9530
2023-03-17 $0.9530
2022-12-16 $0.9530
2022-09-16 $0.8850
2022-06-16 $0.8850
2022-03-18 $0.8850
2021-12-17 $0.8850
2021-09-17 $0.8250
2021-06-18 $0.9234
2021-03-12 $0.9234
2020-12-18 $0.9234
2020-09-18 $0.8621
2020-06-12 $0.8621
2020-03-13 $0.8621
2019-12-13 $0.8621
2019-09-13 $0.8043
2019-06-14 $0.8043
2019-03-15 $0.8043
2018-12-14 $0.8043
2018-09-14 $0.7515
2018-06-15 $0.7515
2018-03-16 $0.7515
2017-12-15 $0.7515
2017-09-15 $0.7021
2017-06-15 $0.7021
2017-03-16 $0.7021
2016-12-15 $0.7021
2016-09-15 $0.6553
2016-06-16 $0.6213
2016-03-17 $0.6213
2015-12-17 $0.6213
2015-09-17 $0.6213
2015-06-11 $0.5872
2015-03-12 $0.5872
2014-12-11 $0.5872
2014-09-11 $0.5872
2014-06-12 $0.5574
2014-03-13 $0.5574
2013-12-12 $0.5574
2013-09-12 $0.5574
2013-06-13 $0.5574
2013-03-14 $0.5277
2012-12-17 $0.5277
2012-09-13 $0.5277
2012-06-18 $0.5004
2012-03-15 $0.5004
2011-12-15 $0.5004
2011-09-15 $0.5004
2011-06-16 $0.5004
2011-03-17 $0.4766
2010-12-22 $0.4766
2010-09-16 $0.4766
2010-06-17 $0.4511
2010-03-18 $0.4511
2009-12-17 $0.4511
2009-09-17 $0.4511
2009-06-11 $0.4511
2009-03-12 $0.4511
2008-12-11 $0.4511
2008-09-11 $0.4511
2008-06-12 $0.4511
2008-03-17 $0.4511
2007-12-13 $0.4511
2007-09-17 $0.4511
2007-06-14 $0.4511
2007-03-15 $0.4511
2006-12-14 $0.4511
2006-09-14 $0.4383
2006-06-15 $0.4383
2006-03-16 $0.4383
2005-12-15 $0.4383
2005-09-15 $0.4383
2005-06-16 $0.4383
2005-03-17 $0.4383
2004-12-16 $0.4383
2004-09-17 $0.4383
2004-06-17 $0.4383
2004-03-18 $0.4383
2003-12-18 $0.4383
2003-09-18 $0.4383
2003-06-19 $0.4383
2003-03-20 $0.4383
2002-12-19 $0.4383
2002-09-24 $0.4383
2002-06-26 $0.4383
2002-03-21 $0.4383
2001-12-21 $0.4383
2001-09-20 $0.4383
2001-06-21 $0.4383
2001-03-20 $0.4383
2000-12-20 $0.4383
2000-09-21 $0.4383
2000-06-16 $0.4383
2000-03-16 $0.4383
1999-12-16 $0.4383
1999-09-16 $0.4383
1999-06-17 $0.4391
1999-03-25 $0.4383
1998-12-17 $0.4383
1998-09-17 $0.4383
1998-06-18 $0.4383
1998-03-18 $0.4383
1997-12-17 $0.4383
1997-09-18 $0.4383
1997-06-18 $0.4383
1997-03-18 $0.4383
1996-12-12 $0.4383
1996-09-18 $0.4383
1996-06-18 $0.4383
1996-03-19 $0.4383
1995-12-13 $0.4383
1995-09-19 $0.4383
1995-06-19 $0.4383
1995-03-16 $0.4383
1994-12-13 $0.4383
1994-09-15 $0.4383
1994-06-15 $0.4383
1994-03-15 $0.4383
1993-12-10 $0.4383
1993-09-15 $0.4383
1993-06-11 $0.4383
1993-03-12 $0.4383
1992-12-11 $0.4213
1992-09-15 $0.4213
1992-06-12 $0.4213
1992-03-13 $0.4213
1991-12-12 $0.4000
1991-09-13 $0.4000
1991-06-13 $0.4000
1991-03-13 $0.4000
1990-12-13 $0.3787
1990-09-14 $0.3787
1990-06-13 $0.3787
1990-03-09 $0.3787
1989-12-13 $0.3574
1989-09-14 $0.3574
1989-06-09 $0.3574
1989-03-10 $0.3574
1988-12-14 $0.3574
1988-09-14 $0.3574
1988-06-10 $0.6655
1988-03-10 $0.3574
1987-12-10 $0.3574
1987-09-17 $0.3574
1987-06-10 $0.3574
1987-03-10 $0.3574
1986-12-10 $0.3574
1986-09-17 $0.3574
1986-06-12 $0.3574
1986-03-20 $0.3574
1985-11-29 $0.3574
1985-09-18 $0.3574
1985-06-14 $0.3574
1985-03-15 $0.3574
1984-12-11 $0.3574
1984-09-14 $0.3574
1984-06-14 $0.3574
1984-03-16 $0.3574
1983-12-09 $0.3574
1983-12-01 $0.3574
1983-09-16 $0.3574
1983-06-10 $0.3574
1983-03-10 $0.3574
1982-12-10 $0.3574
1982-09-17 $0.3574
1982-06-16 $0.3574
1982-03-12 $0.3574
1981-12-14 $0.3574
1981-09-18 $0.3574
1981-06-12 $0.3404
1981-03-13 $0.3404
1980-12-12 $0.3404
1980-09-18 $0.3404
1980-06-12 $0.3404
1980-03-14 $0.3404
1979-12-12 $0.3404
1979-09-14 $0.3404
1979-06-14 $0.3404
1979-03-14 $0.3404
1978-12-13 $0.3234
1978-09-20 $0.3234
1978-06-14 $0.3234
1978-03-10 $0.3234
1977-12-12 $0.3234
1977-09-12 $0.3081
1977-06-10 $0.3081
1977-03-10 $0.3081
1976-12-10 $0.3081
1976-09-22 $0.3081
1976-06-16 $0.3081
1976-03-19 $0.3081
1975-12-10 $0.3081
1975-09-19 $0.3081
1975-06-13 $0.3089
1975-03-21 $0.3089
1974-12-02 $0.3089
1974-09-20 $0.3089
1974-06-14 $0.3089
1974-03-15 $0.3089
1973-12-13 $0.3089
1973-09-19 $0.3089
1973-06-14 $0.3089
1973-03-23 $0.3089
1972-12-21 $0.2979
1972-09-21 $0.2979
1972-06-16 $0.2979
1972-03-20 $0.2979
1971-12-15 $0.2979
1971-09-24 $0.2979
1971-06-16 $0.2979
1971-03-19 $0.2979
1970-12-14 $0.2979
1970-09-25 $0.2979
1970-06-19 $0.2979
1970-03-20 $0.2979
1969-12-15 $0.2979
1969-09-19 $0.2979
1969-06-20 $0.2979
1969-03-19 $0.2979
1968-12-16 $0.2979
1968-09-19 $0.2979
1968-06-20 $0.2979
1968-03-20 $0.2979
1967-12-18 $0.2979
1967-09-25 $0.2979
1967-06-19 $0.2979
1967-03-22 $0.2979
1966-12-19 $0.2979
1966-09-23 $0.2979
1966-06-21 $0.2979
1966-03-22 $0.2979
1965-12-17 $0.2979
1965-09-24 $0.2766
1965-06-22 $0.2766
1965-03-22 $0.2766
1964-12-18 $0.2766
1964-09-24 $0.2553
1964-06-19 $0.2553
1964-03-18 $0.2553
1963-12-23 $0.2553
1963-09-23 $0.2553
1963-06-24 $0.2553
1963-03-25 $0.2553
1962-12-17 $0.2553
1962-09-24 $0.2340
1962-06-19 $0.2340
1962-03-26 $0.2340
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.19. Further, an Excess Kurtosis of 12.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.71%1100.68%0.68%
-3.71% to -2.77%1410.87%1.56%
-2.77% to -1.83%5213.23%4.78%
-1.83% to -0.89%197512.24%17.02%
-0.89% to 0.04%630339.06%56.08%
0.04% to 0.98%440627.30%83.39%
0.98% to 1.92%192711.94%95.33%
1.92% to 2.86%5073.14%98.47%
2.86% to 3.80%1420.88%99.35%
Greater than 3.80%1050.65%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.21%1.29% 78.12%68.27%
±2σ -2.46%2.55% 95.83%95.45%
±3σ -3.71%3.80% 98.67%99.73%
Descriptive Statistics
Mean0.044%
Standard Error0.010%
Median0.000%
Mode0.000%
Standard Deviation1.251%
Sample Variance1.566%
Kurtosis12.03
Skewness0.19
Range29.530%
Minimum-13.905%
Maximum15.625%
Count16137
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.010% 7171 44.44% 0.449%
Negative -1.008% 6473 40.11% -0.404%
Zero 0.000% 2493 15.45% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 1.96%
20 1 Month 1.83%
60 1 Quarter 1.88%
250 1 Year 1.70%
750 3 Years 1.75%
1,250 5 Years 1.79%
2,500 10 Years 1.80%
5,000 20 Years 1.79%
12,500 50 Years 1.82%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.73. Further, an Excess Kurtosis of 28.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -1.56%00.00%0.00%
-1.56% to -0.75%00.00%0.00%
-0.75% to 0.06%10.01%0.01%
0.06% to 0.88%264916.41%16.42%
0.88% to 1.69%725244.94%61.36%
1.69% to 2.50%407125.23%86.58%
2.50% to 3.31%12567.78%94.37%
3.31% to 4.13%4392.72%97.09%
4.13% to 4.94%1911.18%98.27%
Greater than 4.94%2791.73%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.60%2.77% 87.16%68.27%
±2σ -0.48%3.86% 96.47%95.45%
±3σ -1.56%4.94% 98.27%99.73%
Descriptive Statistics
Mean1.688%
Standard Error0.009%
Median1.460%
Mode1.724%
Standard Deviation1.084%
Sample Variance1.176%
Kurtosis28.03
Skewness3.73
Range17.709%
Minimum0.027%
Maximum17.736%
Count16138
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.688% 16138 100.00% 1.688%
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 0.11. Further, an Excess Kurtosis of 7.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.42%990.61%0.61%
-3.42% to -2.57%1530.95%1.56%
-2.57% to -1.72%5603.47%5.03%
-1.72% to -0.87%201912.51%17.54%
-0.87% to -0.02%411525.50%43.04%
-0.02% to 0.83%622738.59%81.63%
0.83% to 1.68%209612.99%94.62%
1.68% to 2.53%5923.67%98.28%
2.53% to 3.38%1631.01%99.29%
Greater than 3.38%1140.71%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.15%1.11% 77.44%68.27%
±2σ -2.28%2.24% 95.63%95.45%
±3σ -3.42%3.38% 98.68%99.73%
Descriptive Statistics
Mean-0.021%
Standard Error0.009%
Median0.000%
Mode0.000%
Standard Deviation1.132%
Sample Variance1.280%
Kurtosis7.15
Skewness0.11
Range22.848%
Minimum-10.891%
Maximum11.957%
Count16138
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.957% 6446 39.94% 0.382%
Negative -0.932% 6972 43.20% -0.403%
Zero 0.000% 2720 16.86% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.21. Further, an Excess Kurtosis of 16.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.00%200.60%0.60%
-8.00% to -5.94%280.84%1.43%
-5.94% to -3.89%1083.22%4.66%
-3.89% to -1.84%39611.82%16.48%
-1.84% to 0.21%120235.88%52.36%
0.21% to 2.27%104731.25%83.61%
2.27% to 4.32%38611.52%95.13%
4.32% to 6.37%1073.19%98.33%
6.37% to 8.43%330.99%99.31%
Greater than 8.43%230.69%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.52%2.95% 78.57%68.27%
±2σ -5.26%5.69% 95.82%95.45%
±3σ -8.00%8.43% 98.72%99.73%
Descriptive Statistics
Mean0.214%
Standard Error0.047%
Median0.000%
Mode0.000%
Standard Deviation2.737%
Sample Variance7.493%
Kurtosis16.96
Skewness1.21
Range54.175%
Minimum-18.109%
Maximum36.066%
Count3350
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.094% 1665 49.70% 1.041%
Negative -1.918% 1444 43.10% -0.827%
Zero 0.000% 241 7.19% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.28%
12 1 Quarter 4.66%
52 1 Year 3.92%
156 3 Years 4.04%
260 5 Years 4.09%
520 10 Years 4.08%
1,040 20 Years 4.07%
2,600 50 Years 4.08%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.18. Further, an Excess Kurtosis of 35.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.91%00.00%0.00%
-3.91% to -1.94%00.00%0.00%
-1.94% to 0.03%00.00%0.00%
0.03% to 2.00%50315.01%15.01%
2.00% to 3.97%158347.24%62.25%
3.97% to 5.94%79823.81%86.06%
5.94% to 7.91%2818.39%94.45%
7.91% to 9.88%882.63%97.08%
9.88% to 11.85%441.31%98.39%
Greater than 11.85%541.61%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.35%6.60% 86.99%68.27%
±2σ -1.28%9.23% 96.69%95.45%
±3σ -3.91%11.85% 98.39%99.73%
Descriptive Statistics
Mean3.972%
Standard Error0.045%
Median3.388%
Mode2.941%
Standard Deviation2.627%
Sample Variance6.903%
Kurtosis35.77
Skewness4.18
Range37.301%
Minimum0.621%
Maximum37.922%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.972% 3351 100.00% 3.972%
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 0.14. Further, an Excess Kurtosis of 8.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.16%190.57%0.57%
-8.16% to -6.12%270.81%1.37%
-6.12% to -4.08%1083.22%4.60%
-4.08% to -2.04%42012.53%17.13%
-2.04% to -0.00%102030.44%47.57%
-0.00% to 2.03%121036.11%83.68%
2.03% to 4.07%36510.89%94.57%
4.07% to 6.11%1163.46%98.03%
6.11% to 8.15%330.98%99.02%
Greater than 8.15%330.98%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.72%2.71% 77.17%68.27%
±2σ -5.44%5.43% 95.20%95.45%
±3σ -8.16%8.15% 98.45%99.73%
Descriptive Statistics
Mean-0.004%
Standard Error0.047%
Median0.000%
Mode0.000%
Standard Deviation2.718%
Sample Variance7.385%
Kurtosis8.92
Skewness0.14
Range52.376%
Minimum-26.506%
Maximum25.870%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.100% 1506 44.94% 0.944%
Negative -1.992% 1594 47.57% -0.948%
Zero 0.000% 251 7.49% 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 9.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.77%40.52%0.52%
-14.77% to -10.85%70.91%1.43%
-10.85% to -6.93%273.51%4.94%
-6.93% to -3.01%11014.29%19.22%
-3.01% to 0.91%25332.86%52.08%
0.91% to 4.83%21928.44%80.52%
4.83% to 8.75%10914.16%94.68%
8.75% to 12.67%334.29%98.96%
12.67% to 16.59%50.65%99.61%
Greater than 16.59%30.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.31%6.14% 73.25%68.27%
±2σ -9.54%11.36% 95.97%95.45%
±3σ -14.77%16.59% 99.09%99.73%
Descriptive Statistics
Mean0.912%
Standard Error0.188%
Median0.675%
Mode0.000%
Standard Deviation5.226%
Sample Variance27.315%
Kurtosis9.26
Skewness0.79
Range70.844%
Minimum-22.406%
Maximum48.438%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.393% 420 54.55% 2.396%
Negative -3.537% 323 41.95% -1.484%
Zero 0.000% 27 3.51% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 10.72%
12 1 Year 7.89%
36 3 Years 8.32%
60 5 Years 8.43%
120 10 Years 8.55%
240 20 Years 8.44%
600 50 Years 8.47%
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 31.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -7.56%00.00%0.00%
-7.56% to -3.50%00.00%0.00%
-3.50% to 0.55%00.00%0.00%
0.55% to 4.61%10713.88%13.88%
4.61% to 8.67%37148.12%62.00%
8.67% to 12.72%19124.77%86.77%
12.72% to 16.78%607.78%94.55%
16.78% to 20.84%243.11%97.67%
20.84% to 24.89%60.78%98.44%
Greater than 24.89%121.56%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.26%14.08% 86.90%68.27%
±2σ -2.15%19.49% 97.28%95.45%
±3σ -7.56%24.89% 98.44%99.73%
Descriptive Statistics
Mean8.668%
Standard Error0.195%
Median7.500%
Mode9.375%
Standard Deviation5.409%
Sample Variance29.252%
Kurtosis31.28
Skewness4.14
Range66.627%
Minimum1.172%
Maximum67.799%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.668% 771 100.00% 8.668%
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 0.44. Further, an Excess Kurtosis of 2.99 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.71%10.13%0.13%
-15.71% to -11.81%30.39%0.52%
-11.81% to -7.90%303.89%4.41%
-7.90% to -3.99%12916.73%21.14%
-3.99% to -0.09%23129.96%51.10%
-0.09% to 3.82%22629.31%80.42%
3.82% to 7.73%10213.23%93.64%
7.73% to 11.63%314.02%97.67%
11.63% to 15.54%121.56%99.22%
Greater than 15.54%60.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.30%5.12% 73.02%68.27%
±2σ -10.50%10.33% 95.85%95.45%
±3σ -15.71%15.54% 99.09%99.73%
Descriptive Statistics
Mean-0.087%
Standard Error0.188%
Median-0.360%
Mode0.000%
Standard Deviation5.209%
Sample Variance27.136%
Kurtosis2.99
Skewness0.44
Range57.266%
Minimum-29.474%
Maximum27.792%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.197% 351 45.52% 1.911%
Negative -3.899% 395 51.23% -1.998%
Zero 0.000% 25 3.24% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.01. Further, an Excess Kurtosis of 0.86 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -22.45%10.39%0.39%
-22.45% to -16.16%20.78%1.17%
-16.16% to -9.88%166.23%7.39%
-9.88% to -3.59%3513.62%21.01%
-3.59% to 2.70%7529.18%50.19%
2.70% to 8.98%7729.96%80.16%
8.98% to 15.27%3212.45%92.61%
15.27% to 21.55%155.84%98.44%
21.55% to 27.84%31.17%99.61%
Greater than 27.84%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.68%11.08% 72.37%68.27%
±2σ -14.07%19.46% 95.33%95.45%
±3σ -22.45%27.84% 99.22%99.73%
Descriptive Statistics
Mean2.697%
Standard Error0.523%
Median2.658%
Mode-1.381%
Standard Deviation8.381%
Sample Variance70.240%
Kurtosis0.86
Skewness0.01
Range58.578%
Minimum-27.013%
Maximum31.565%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.406% 164 63.81% 4.726%
Negative -5.606% 93 36.19% -2.029%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 10.61%
12 3 Years 13.23%
20 5 Years 14.05%
40 10 Years 14.17%
80 20 Years 14.24%
200 50 Years 14.10%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.69. Further, an Excess Kurtosis of 21.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -13.50%00.00%0.00%
-13.50% to -6.31%00.00%0.00%
-6.31% to 0.88%00.00%0.00%
0.88% to 8.07%3413.18%13.18%
8.07% to 15.26%12448.06%61.24%
15.26% to 22.45%7027.13%88.37%
22.45% to 29.65%176.59%94.96%
29.65% to 36.84%62.33%97.29%
36.84% to 44.03%20.78%98.06%
Greater than 44.03%51.94%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 5.67%24.85% 87.98%68.27%
±2σ -3.92%34.44% 96.90%95.45%
±3σ -13.50%44.03% 98.06%99.73%
Descriptive Statistics
Mean15.263%
Standard Error0.597%
Median12.930%
Mode11.607%
Standard Deviation9.589%
Sample Variance91.951%
Kurtosis21.19
Skewness3.69
Range88.177%
Minimum2.344%
Maximum90.521%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.263% 258 100.00% 15.263%
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 0.84. Further, an Excess Kurtosis of 2.40 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -25.52%00.00%0.00%
-25.52% to -19.21%10.39%0.39%
-19.21% to -12.91%135.04%5.43%
-12.91% to -6.61%3814.73%20.16%
-6.61% to -0.30%8231.78%51.94%
-0.30% to 6.00%7428.68%80.62%
6.00% to 12.31%3112.02%92.64%
12.31% to 18.61%155.81%98.45%
18.61% to 24.92%10.39%98.84%
Greater than 24.92%31.16%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.71%8.11% 74.03%68.27%
±2σ -17.11%16.51% 96.12%95.45%
±3σ -25.52%24.92% 98.84%99.73%
Descriptive Statistics
Mean-0.301%
Standard Error0.523%
Median-0.697%
Mode0.000%
Standard Deviation8.406%
Sample Variance70.666%
Kurtosis2.40
Skewness0.84
Range62.079%
Minimum-21.053%
Maximum41.026%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.061% 110 42.64% 3.011%
Negative -6.281% 136 52.71% -3.311%
Zero 0.000% 12 4.65% 0.000%