Markets Data Volatility Heatmap Portfolio Calculator

DTE Deep Analytical Report

DTE Energy Company | Category: Equity Large Cap | Ann. Div Yield: 3.06% ($4.43) | 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 1.25% 1.08% 1.13% 1.79% 1.16% 1.37% 143.33 146.69 141.67 148.41
Weekly 2.74% 2.63% 2.72% 4.11% 2.56% 3.03% 141.34 148.75 137.77 152.61
Monthly 5.22% 5.41% 5.21% 8.60% 5.32% 6.30% 137.49 152.92 130.36 161.28
Quarterly 8.38% 9.59% 8.41% 14.05% 9.22% 10.91% 132.23 159.00 120.59 174.35
Annual — — — — 18.43% 21.83% 120.59 174.35 100.29 209.63
Option Time Horizon — — — — 7.09% 8.40% 135.08 155.65 125.83 167.09
Calculation Notes: Computed at 2026-02-22T14:18 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $145.00  |  Strike (K): $145.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $4.1000 (Bid $3.3000 / Ask $4.9000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.06%  |  Binomial IV (Annual): 18.43% (CRR binomial tree, American, n=20 steps)  |  BS IV: 18.20% (European Black-Scholes)  |  Yahoo IV (Annual): 21.83% → 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
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 12.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.71%1090.68%0.68%
-3.71% to -2.77%1410.87%1.55%
-2.77% to -1.83%5213.23%4.78%
-1.83% to -0.89%197612.26%17.05%
-0.89% to 0.04%630039.09%56.14%
0.04% to 0.98%439527.27%83.41%
0.98% to 1.92%192011.91%95.32%
1.92% to 2.86%5073.15%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%1.30% 78.11%68.27%
±2σ -2.46%2.55% 95.83%95.45%
±3σ -3.71%3.80% 98.67%99.73%
Descriptive Statistics
Mean0.045%
Standard Error0.010%
Median0.000%
Mode0.000%
Standard Deviation1.251%
Sample Variance1.566%
Kurtosis12.04
Skewness0.19
Range29.530%
Minimum-13.905%
Maximum15.625%
Count16116
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.010% 7158 44.41% 0.449%
Negative -1.008% 6465 40.12% -0.404%
Zero 0.000% 2493 15.47% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 3.34%
20 1 Month 2.35%
60 1 Quarter 1.77%
250 1 Year 1.69%
750 3 Years 1.77%
1,250 5 Years 1.79%
2,500 10 Years 1.79%
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 3.74. Further, an Excess Kurtosis of 28.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -1.57%00.00%0.00%
-1.57% to -0.75%00.00%0.00%
-0.75% to 0.06%10.01%0.01%
0.06% to 0.87%264416.41%16.41%
0.87% to 1.69%724444.95%61.36%
1.69% to 2.50%406725.23%86.59%
2.50% to 3.32%12567.79%94.38%
3.32% to 4.13%4362.71%97.09%
4.13% to 4.94%1901.18%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 -1.57%4.94% 98.27%99.73%
Descriptive Statistics
Mean1.688%
Standard Error0.009%
Median1.460%
Mode1.724%
Standard Deviation1.085%
Sample Variance1.177%
Kurtosis28.04
Skewness3.74
Range17.709%
Minimum0.027%
Maximum17.736%
Count16117
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.688% 16117 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 -3.41%1000.62%0.62%
-3.41% to -2.57%1520.94%1.56%
-2.57% to -1.72%5633.49%5.06%
-1.72% to -0.87%203012.60%17.65%
-0.87% to -0.02%409025.38%43.03%
-0.02% to 0.83%621538.56%81.59%
0.83% to 1.68%209913.02%94.61%
1.68% to 2.52%5913.67%98.28%
2.52% to 3.37%1641.02%99.30%
Greater than 3.37%1130.70%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.15%1.11% 77.22%68.27%
±2σ -2.28%2.24% 95.63%95.45%
±3σ -3.41%3.37% 98.68%99.73%
Descriptive Statistics
Mean-0.021%
Standard Error0.009%
Median0.000%
Mode0.000%
Standard Deviation1.131%
Sample Variance1.280%
Kurtosis7.15
Skewness0.11
Range22.848%
Minimum-10.891%
Maximum11.957%
Count16117
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.957% 6436 39.93% 0.382%
Negative -0.933% 6961 43.19% -0.403%
Zero 0.000% 2720 16.88% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.22. Further, an Excess Kurtosis of 16.97 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 -5.95%280.84%1.43%
-5.95% to -3.89%1073.20%4.63%
-3.89% to -1.84%39611.84%16.47%
-1.84% to 0.21%120335.95%52.42%
0.21% to 2.27%104331.17%83.59%
2.27% to 4.32%38611.54%95.13%
4.32% to 6.38%1073.20%98.33%
6.38% 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% 98.71%99.73%
Descriptive Statistics
Mean0.215%
Standard Error0.047%
Median0.000%
Mode0.000%
Standard Deviation2.738%
Sample Variance7.495%
Kurtosis16.97
Skewness1.22
Range54.175%
Minimum-18.109%
Maximum36.066%
Count3346
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.096% 1662 49.67% 1.041%
Negative -1.916% 1443 43.13% -0.826%
Zero 0.000% 241 7.20% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 6.07%
12 1 Quarter 4.21%
52 1 Year 3.88%
156 3 Years 4.06%
260 5 Years 4.11%
520 10 Years 4.07%
1,040 20 Years 4.06%
2,600 50 Years 4.07%
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 35.75 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%50315.03%15.03%
2.00% to 3.97%158147.24%62.26%
3.97% to 5.94%79723.81%86.08%
5.94% to 7.91%2808.37%94.44%
7.91% to 9.88%882.63%97.07%
9.88% to 11.86%441.31%98.39%
Greater than 11.86%541.61%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.34%6.60% 86.97%68.27%
±2σ -1.28%9.23% 96.68%95.45%
±3σ -3.91%11.86% 98.39%99.73%
Descriptive Statistics
Mean3.972%
Standard Error0.045%
Median3.388%
Mode2.941%
Standard Deviation2.628%
Sample Variance6.908%
Kurtosis35.75
Skewness4.18
Range37.301%
Minimum0.621%
Maximum37.922%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.972% 3347 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 8.93 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%1083.23%4.60%
-4.08% to -2.04%41912.52%17.12%
-2.04% to -0.00%101830.42%47.54%
-0.00% to 2.03%121036.15%83.69%
2.03% to 4.07%36510.91%94.59%
4.07% to 6.11%1153.44%98.03%
6.11% to 8.15%330.99%99.01%
Greater than 8.15%330.99%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% 95.19%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%
Kurtosis8.93
Skewness0.14
Range52.376%
Minimum-26.506%
Maximum25.870%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.099% 1505 44.97% 0.944%
Negative -1.993% 1591 47.53% -0.947%
Zero 0.000% 251 7.50% 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 9.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.76%40.52%0.52%
-14.76% to -10.84%70.91%1.43%
-10.84% to -6.92%273.51%4.94%
-6.92% to -3.00%10914.17%19.12%
-3.00% to 0.92%25332.90%52.02%
0.92% to 4.83%21928.48%80.49%
4.83% to 8.75%11014.30%94.80%
8.75% to 12.67%324.16%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% 73.21%68.27%
±2σ -9.53%11.37% 95.97%95.45%
±3σ -14.76%16.59% 99.09%99.73%
Descriptive Statistics
Mean0.916%
Standard Error0.188%
Median0.678%
Mode0.000%
Standard Deviation5.225%
Sample Variance27.298%
Kurtosis9.28
Skewness0.79
Range70.844%
Minimum-22.406%
Maximum48.438%
Count769
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.389% 420 54.62% 2.397%
Negative -3.538% 322 41.87% -1.481%
Zero 0.000% 27 3.51% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 11.27%
12 1 Year 7.95%
36 3 Years 8.35%
60 5 Years 8.60%
120 10 Years 8.59%
240 20 Years 8.45%
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 31.24 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 0.56%00.00%0.00%
0.56% to 4.61%10713.90%13.90%
4.61% to 8.67%37048.05%61.95%
8.67% to 12.73%19124.81%86.75%
12.73% to 16.79%607.79%94.55%
16.79% to 20.85%243.12%97.66%
20.85% to 24.90%60.78%98.44%
Greater than 24.90%121.56%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.26%14.08% 86.88%68.27%
±2σ -2.15%19.49% 97.27%95.45%
±3σ -7.56%24.90% 98.44%99.73%
Descriptive Statistics
Mean8.671%
Standard Error0.195%
Median7.503%
Mode9.375%
Standard Deviation5.411%
Sample Variance29.284%
Kurtosis31.24
Skewness4.14
Range66.627%
Minimum1.172%
Maximum67.799%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.671% 770 100.00% 8.671%
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 3.00 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 -11.80%30.39%0.52%
-11.80% to -7.90%293.77%4.29%
-7.90% to -3.99%13016.88%21.17%
-3.99% to -0.09%23130.00%51.17%
-0.09% to 3.82%22529.22%80.39%
3.82% to 7.72%10213.25%93.64%
7.72% to 11.63%314.03%97.66%
11.63% to 15.53%121.56%99.22%
Greater than 15.53%60.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.30%5.12% 72.99%68.27%
±2σ -10.50%10.32% 95.84%95.45%
±3σ -15.71%15.53% 99.09%99.73%
Descriptive Statistics
Mean-0.089%
Standard Error0.188%
Median-0.368%
Mode0.000%
Standard Deviation5.207%
Sample Variance27.109%
Kurtosis3.00
Skewness0.44
Range57.266%
Minimum-29.474%
Maximum27.792%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.198% 350 45.45% 1.908%
Negative -3.894% 395 51.30% -1.998%
Zero 0.000% 25 3.25% 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 0.85 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 -9.87%166.23%7.39%
-9.87% to -3.58%3513.62%21.01%
-3.58% to 2.70%7529.18%50.19%
2.70% to 8.99%7729.96%80.16%
8.99% to 15.28%3212.45%92.61%
15.28% to 21.57%155.84%98.44%
21.57% to 27.86%31.17%99.61%
Greater than 27.86%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.68%11.09% 72.37%68.27%
±2σ -14.07%19.47% 95.33%95.45%
±3σ -22.45%27.86% 99.22%99.73%
Descriptive Statistics
Mean2.704%
Standard Error0.523%
Median2.658%
Mode-1.381%
Standard Deviation8.385%
Sample Variance70.302%
Kurtosis0.85
Skewness0.01
Range58.578%
Minimum-27.013%
Maximum31.565%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.417% 164 63.81% 4.733%
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 2.39 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -25.54%00.00%0.00%
-25.54% to -19.23%10.39%0.39%
-19.23% to -12.92%135.04%5.43%
-12.92% to -6.62%3915.12%20.54%
-6.62% to -0.31%8131.40%51.94%
-0.31% to 6.00%7428.68%80.62%
6.00% to 12.31%3112.02%92.64%
12.31% to 18.62%155.81%98.45%
18.62% to 24.93%10.39%98.84%
Greater than 24.93%31.16%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.72%8.10% 74.03%68.27%
±2σ -17.13%16.52% 96.12%95.45%
±3σ -25.54%24.93% 98.84%99.73%
Descriptive Statistics
Mean-0.307%
Standard Error0.524%
Median-0.696%
Mode0.000%
Standard Deviation8.411%
Sample Variance70.745%
Kurtosis2.39
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 -6.293% 136 52.71% -3.317%
Zero 0.000% 12 4.65% 0.000%