Markets Data Volatility Heatmap Portfolio Calculator

ED Deep Analytical Report

Consolidated Edison, Inc. | Category: Equity Large Cap | Ann. Div Yield: 3.04% ($3.40) | 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% 1.03% 1.11% 1.81% 1.33% 1.44% 108.36 111.28 106.93 112.77
Weekly 2.80% 2.63% 2.70% 4.11% 2.93% 3.18% 106.64 113.07 103.57 116.43
Monthly 5.77% 6.39% 6.58% 8.81% 6.09% 6.62% 103.32 116.70 97.22 124.03
Quarterly 9.28% 11.60% 10.52% 14.04% 10.55% 11.47% 98.82 122.02 88.93 135.60
Annual — — — — 21.09% 22.94% 88.93 135.60 72.02 167.44
Option Time Horizon — — — — 10.00% 10.87% 99.36 121.36 89.91 134.12
Calculation Notes: Computed at 2026-02-22T14:18 UTC  |  Reference Contract: Call option expiring 2026-05-15 (82 days)  |  Spot Price (S): $109.81  |  Strike (K): $110.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $4.3000 (Bid $3.9000 / Ask $4.7000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.04%  |  Binomial IV (Annual): 21.09% (CRR binomial tree, American, n=20 steps)  |  BS IV: 20.91% (European Black-Scholes)  |  Yahoo IV (Annual): 22.94% → 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
2026-02-18 $0.8880
2025-11-19 $0.8500
2025-08-13 $0.8500
2025-05-14 $0.8500
2025-02-19 $0.8500
2024-11-13 $0.8300
2024-08-14 $0.8300
2024-05-14 $0.8300
2024-02-13 $0.8300
2023-11-14 $0.8100
2023-08-15 $0.8100
2023-05-16 $0.8100
2023-02-14 $0.8100
2022-11-15 $0.7900
2022-08-16 $0.7900
2022-05-17 $0.7900
2022-02-15 $0.7900
2021-11-16 $0.7750
2021-08-17 $0.7750
2021-05-18 $0.7750
2021-02-16 $0.7750
2020-11-17 $0.7650
2020-08-18 $0.7650
2020-05-12 $0.7650
2020-02-18 $0.7650
2019-11-12 $0.7400
2019-08-13 $0.7400
2019-05-14 $0.7400
2019-02-12 $0.7400
2018-11-13 $0.7150
2018-08-14 $0.7150
2018-05-15 $0.7150
2018-02-13 $0.7150
2017-11-14 $0.6900
2017-08-14 $0.6900
2017-05-15 $0.6900
2017-02-13 $0.6900
2016-11-14 $0.6700
2016-08-15 $0.6700
2016-05-16 $0.6700
2016-02-12 $0.6700
2015-11-16 $0.6500
2015-08-17 $0.6500
2015-05-18 $0.6500
2015-02-13 $0.6500
2014-11-07 $0.6300
2014-08-11 $0.6300
2014-05-12 $0.6300
2014-02-10 $0.6300
2013-11-08 $0.6150
2013-08-12 $0.6150
2013-05-13 $0.6150
2013-02-11 $0.6150
2012-11-09 $0.6050
2012-08-13 $0.6050
2012-05-14 $0.6050
2012-02-13 $0.6050
2011-11-14 $0.6000
2011-08-15 $0.6000
2011-05-16 $0.6000
2011-02-14 $0.6000
2010-11-15 $0.5950
2010-08-16 $0.5950
2010-05-10 $0.5950
2010-02-12 $0.5950
2009-11-16 $0.5900
2009-08-17 $0.5900
2009-05-11 $0.5900
2009-02-13 $0.5900
2008-11-07 $0.5850
2008-08-11 $0.5850
2008-05-12 $0.5850
2008-02-11 $0.5850
2007-11-09 $0.5800
2007-08-13 $0.5800
2007-05-14 $0.5800
2007-02-12 $0.5800
2006-11-13 $0.5750
2006-08-14 $0.5750
2006-05-11 $0.5750
2006-02-13 $0.5750
2005-11-14 $0.5700
2005-08-15 $0.5700
2005-05-16 $0.5700
2005-02-14 $0.5700
2004-11-08 $0.5650
2004-08-09 $0.5650
2004-05-10 $0.5650
2004-02-09 $0.5650
2003-11-07 $0.5600
2003-08-11 $0.5600
2003-05-12 $0.5600
2003-02-10 $0.5600
2002-11-08 $0.5550
2002-08-12 $0.5550
2002-05-13 $0.5550
2002-02-11 $0.5550
2001-11-09 $0.5500
2001-08-13 $0.5500
2001-05-14 $0.5500
2001-02-12 $0.5500
2000-11-13 $0.5450
2000-08-14 $0.5450
2000-05-15 $0.5450
2000-02-14 $0.5450
1999-11-15 $0.5350
1999-08-16 $0.5350
1999-05-17 $0.5350
1999-02-12 $0.5350
1998-11-16 $0.5300
1998-08-17 $0.5300
1998-05-11 $0.5300
1998-02-13 $0.5300
1997-11-17 $0.5250
1997-08-11 $0.5250
1997-05-12 $0.5250
1997-02-14 $0.5250
1996-11-08 $0.5200
1996-08-12 $0.5200
1996-05-13 $0.5200
1996-02-12 $0.5200
1995-11-13 $0.5100
1995-08-14 $0.5100
1995-05-11 $0.5100
1995-02-09 $0.5100
1994-11-09 $0.5000
1994-08-11 $0.5000
1994-05-12 $0.5000
1994-02-10 $0.5000
1993-11-10 $0.4850
1993-08-12 $0.4850
1993-05-13 $0.4850
1993-02-10 $0.4850
1992-11-12 $0.4750
1992-08-13 $0.4750
1992-05-07 $0.4750
1992-02-12 $0.4750
1991-11-06 $0.4650
1991-08-08 $0.4650
1991-05-09 $0.4650
1991-02-07 $0.4650
1990-11-07 $0.4550
1990-08-09 $0.4550
1990-05-10 $0.4550
1990-02-08 $0.4550
1989-11-09 $0.4300
1989-08-10 $0.4300
1989-05-11 $0.4300
1989-02-09 $0.4300
1988-11-09 $0.4000
1988-08-11 $0.4000
1988-05-12 $0.4000
1987-11-12 $0.3700
1987-08-13 $0.3700
1987-05-07 $0.3700
1987-02-11 $0.3700
1986-11-13 $0.3350
1986-08-07 $0.3350
1986-05-08 $0.3350
1986-02-12 $0.3350
1985-10-31 $0.3000
1985-08-01 $0.3000
1985-05-02 $0.3000
1985-01-31 $0.3000
1984-10-31 $0.2650
1984-08-02 $0.2650
1984-05-03 $0.2650
1984-02-02 $0.2650
1983-11-02 $0.2350
1983-08-04 $0.2350
1983-05-05 $0.2350
1983-02-03 $0.2350
1982-11-03 $0.2100
1982-08-05 $0.2100
1982-05-06 $0.2100
1982-02-09 $0.2100
1981-11-04 $0.1850
1981-08-06 $0.1850
1981-05-07 $0.1850
1981-02-05 $0.0462
1980-11-05 $0.1675
1980-07-31 $0.1675
1980-05-01 $0.1675
1980-01-31 $0.1675
1979-10-31 $0.1525
1979-08-02 $0.1525
1979-05-03 $0.1525
1979-02-01 $0.1525
1978-11-01 $0.1375
1978-08-03 $0.1375
1978-05-04 $0.1375
1978-02-02 $0.1375
1977-11-03 $0.0312
1977-08-04 $0.1250
1977-05-05 $0.1250
1977-02-03 $0.1250
1976-11-04 $0.1000
1976-08-05 $0.1000
1976-05-06 $0.1000
1976-02-05 $0.1000
1975-11-05 $0.0750
1975-07-31 $0.0750
1975-05-01 $0.0750
1975-02-05 $0.0750
1974-10-30 $0.0500
1974-08-01 $0.0500
1974-01-31 $0.1125
1973-10-31 $0.1125
1973-08-02 $0.1125
1973-05-03 $0.1125
1973-02-01 $0.1125
1972-10-30 $0.1125
1972-07-31 $0.1125
1972-05-01 $0.1125
1972-01-31 $0.1125
1971-11-01 $0.0283
1971-08-02 $0.1125
1971-05-03 $0.1125
1971-02-01 $0.1125
1970-11-06 $0.1125
1970-08-03 $0.1125
1970-05-04 $0.1125
1970-02-02 $0.0283
1969-10-31 $0.1125
1969-07-28 $0.1125
1969-04-28 $0.1125
1969-02-03 $0.1125
1968-10-28 $0.1125
1968-07-29 $0.1125
1968-04-29 $0.1145
1968-01-30 $0.1125
1967-10-31 $0.1125
1967-05-02 $0.1125
1967-01-31 $0.1125
1966-11-01 $0.1125
1966-08-02 $0.1125
1966-05-03 $0.1125
1966-02-01 $0.1125
1965-11-01 $0.1125
1965-08-03 $0.1125
1965-05-04 $0.1125
1965-02-02 $0.0563
1964-11-02 $0.1031
1964-08-04 $0.1031
1964-05-05 $0.1031
1964-02-04 $0.1031
1963-10-29 $0.1031
1963-07-30 $0.1031
1963-04-30 $0.1031
1963-01-29 $0.0938
1962-10-30 $0.0938
1962-07-31 $0.0938
1962-05-01 $0.0938
1962-01-30 $0.0938
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Left Skewed (Extreme Negative Tail Risk) with a Skewness factor of -1.11. Further, an Excess Kurtosis of 44.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.69%980.61%0.61%
-3.69% to -2.76%1450.90%1.51%
-2.76% to -1.82%4792.97%4.47%
-1.82% to -0.89%183111.35%15.82%
-0.89% to 0.05%627238.86%54.68%
0.05% to 0.98%476829.55%84.23%
0.98% to 1.92%182111.28%95.51%
1.92% to 2.85%4873.02%98.53%
2.85% to 3.79%1280.79%99.32%
Greater than 3.79%1090.68%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.20%1.29% 80.28%68.27%
±2σ -2.45%2.54% 95.98%95.45%
±3σ -3.70%3.79% 98.72%99.73%
Descriptive Statistics
Mean0.046%
Standard Error0.010%
Median0.000%
Mode0.000%
Standard Deviation1.247%
Sample Variance1.554%
Kurtosis44.27
Skewness-1.11
Range49.958%
Minimum-31.944%
Maximum18.014%
Count16138
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.941% 7408 45.90% 0.432%
Negative -0.927% 6722 41.65% -0.386%
Zero 0.000% 2008 12.44% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.56%
20 1 Month 2.21%
60 1 Quarter 1.84%
250 1 Year 1.88%
750 3 Years 1.77%
1,250 5 Years 1.81%
2,500 10 Years 1.78%
5,000 20 Years 1.67%
12,500 50 Years 1.63%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.00. Further, an Excess Kurtosis of 35.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -1.54%00.00%0.00%
-1.54% to -0.77%00.00%0.00%
-0.77% to -0.00%00.00%0.00%
-0.00% to 0.77%228114.13%14.13%
0.77% to 1.54%795949.32%63.45%
1.54% to 2.31%371823.04%86.49%
2.31% to 3.08%12047.46%93.95%
3.08% to 3.85%5123.17%97.12%
3.85% to 4.62%1951.21%98.33%
Greater than 4.62%2701.67%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.51%2.57% 85.86%68.27%
±2σ -0.52%3.60% 96.24%95.45%
±3σ -1.54%4.62% 98.33%99.73%
Descriptive Statistics
Mean1.540%
Standard Error0.008%
Median1.304%
Mode1.111%
Standard Deviation1.028%
Sample Variance1.058%
Kurtosis35.34
Skewness4.00
Range19.538%
Minimum0.134%
Maximum19.672%
Count16139
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.540% 16139 100.00% 1.540%
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 0.92. Further, an Excess Kurtosis of 22.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.36%1090.68%0.68%
-3.36% to -2.53%1390.86%1.54%
-2.53% to -1.69%5143.18%4.72%
-1.69% to -0.86%190011.77%16.49%
-0.86% to -0.02%444327.53%44.02%
-0.02% to 0.82%641639.75%83.78%
0.82% to 1.65%186711.57%95.35%
1.65% to 2.49%5143.18%98.53%
2.49% to 3.32%1230.76%99.29%
Greater than 3.32%1140.71%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.13%1.09% 79.16%68.27%
±2σ -2.25%2.21% 95.74%95.45%
±3σ -3.36%3.32% 98.62%99.73%
Descriptive Statistics
Mean-0.020%
Standard Error0.009%
Median0.000%
Mode0.000%
Standard Deviation1.114%
Sample Variance1.240%
Kurtosis22.92
Skewness0.92
Range32.944%
Minimum-13.272%
Maximum19.672%
Count16139
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.866% 6753 41.84% 0.362%
Negative -0.863% 7143 44.26% -0.382%
Zero 0.000% 2243 13.90% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.43. Further, an Excess Kurtosis of 23.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.18%150.45%0.45%
-8.18% to -6.08%290.87%1.32%
-6.08% to -3.98%1183.53%4.84%
-3.98% to -1.88%35910.73%15.57%
-1.88% to 0.22%118035.27%50.84%
0.22% to 2.33%111733.38%84.22%
2.33% to 4.43%38111.39%95.61%
4.43% to 6.53%952.84%98.45%
6.53% to 8.63%250.75%99.19%
Greater than 8.63%270.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.58%3.03% 79.08%68.27%
±2σ -5.38%5.83% 95.76%95.45%
±3σ -8.18%8.63% 98.74%99.73%
Descriptive Statistics
Mean0.224%
Standard Error0.048%
Median0.147%
Mode0.000%
Standard Deviation2.802%
Sample Variance7.852%
Kurtosis23.75
Skewness-0.43
Range70.758%
Minimum-41.667%
Maximum29.091%
Count3346
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.040% 1719 51.38% 1.048%
Negative -1.935% 1425 42.59% -0.824%
Zero 0.000% 202 6.04% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 5.23%
12 1 Quarter 4.21%
52 1 Year 4.33%
156 3 Years 4.03%
260 5 Years 4.11%
520 10 Years 4.05%
1,040 20 Years 3.73%
2,600 50 Years 3.74%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.04. Further, an Excess Kurtosis of 56.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.19%00.00%0.00%
-4.19% to -2.21%00.00%0.00%
-2.21% to -0.24%00.00%0.00%
-0.24% to 1.74%44113.18%13.18%
1.74% to 3.71%165049.30%62.47%
3.71% to 5.69%80824.14%86.61%
5.69% to 7.66%2657.92%94.53%
7.66% to 9.63%912.72%97.25%
9.63% to 11.61%471.40%98.66%
Greater than 11.61%451.34%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.08%6.34% 88.50%68.27%
±2σ -1.56%8.98% 96.59%95.45%
±3σ -4.19%11.61% 98.66%99.73%
Descriptive Statistics
Mean3.711%
Standard Error0.046%
Median3.106%
Mode2.703%
Standard Deviation2.633%
Sample Variance6.931%
Kurtosis56.43
Skewness5.04
Range52.286%
Minimum0.269%
Maximum52.555%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.711% 3347 100.00% 3.711%
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 0.73. Further, an Excess Kurtosis of 10.84 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.13%210.63%0.63%
-8.13% to -6.11%220.66%1.28%
-6.11% to -4.08%982.93%4.21%
-4.08% to -2.06%43613.03%17.24%
-2.06% to -0.04%106231.73%48.97%
-0.04% to 1.99%117935.23%84.19%
1.99% to 4.01%34510.31%94.50%
4.01% to 6.04%1263.76%98.27%
6.04% to 8.06%310.93%99.19%
Greater than 8.06%270.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.74%2.67% 78.10%68.27%
±2σ -5.44%5.37% 95.37%95.45%
±3σ -8.14%8.07% 98.57%99.73%
Descriptive Statistics
Mean-0.035%
Standard Error0.047%
Median0.000%
Mode0.000%
Standard Deviation2.700%
Sample Variance7.292%
Kurtosis10.84
Skewness0.73
Range48.546%
Minimum-21.127%
Maximum27.419%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.056% 1471 43.95% 0.904%
Negative -1.911% 1645 49.15% -0.939%
Zero 0.000% 231 6.90% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.20. Further, an Excess Kurtosis of 14.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.33%30.39%0.39%
-16.33% to -12.01%50.65%1.04%
-12.01% to -7.68%263.38%4.42%
-7.68% to -3.35%10513.65%18.08%
-3.35% to 0.98%25433.03%51.11%
0.98% to 5.30%24531.86%82.96%
5.30% to 9.63%8911.57%94.54%
9.63% to 13.96%344.42%98.96%
13.96% to 18.29%40.52%99.48%
Greater than 18.29%40.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.79%6.75% 77.37%68.27%
±2σ -10.56%12.52% 96.75%95.45%
±3σ -16.33%18.29% 99.09%99.73%
Descriptive Statistics
Mean0.977%
Standard Error0.208%
Median0.888%
Mode0.000%
Standard Deviation5.770%
Sample Variance33.294%
Kurtosis14.96
Skewness-0.20
Range97.500%
Minimum-52.500%
Maximum45.000%
Count769
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.521% 433 56.31% 2.546%
Negative -3.781% 319 41.48% -1.568%
Zero 0.000% 17 2.21% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 8.46%
12 1 Year 8.77%
36 3 Years 8.43%
60 5 Years 8.81%
120 10 Years 8.60%
240 20 Years 7.86%
600 50 Years 8.03%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.79. Further, an Excess Kurtosis of 82.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.77%00.00%0.00%
-10.77% to -5.97%00.00%0.00%
-5.97% to -1.18%00.00%0.00%
-1.18% to 3.62%7710.00%10.00%
3.62% to 8.41%40852.99%62.99%
8.41% to 13.21%21027.27%90.26%
13.21% to 18.00%445.71%95.97%
18.00% to 22.80%162.08%98.05%
22.80% to 27.59%50.65%98.70%
Greater than 27.59%101.30%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.02%14.80% 92.08%68.27%
±2σ -4.38%21.20% 97.79%95.45%
±3σ -10.77%27.59% 98.70%99.73%
Descriptive Statistics
Mean8.411%
Standard Error0.230%
Median7.198%
Mode6.250%
Standard Deviation6.393%
Sample Variance40.871%
Kurtosis82.44
Skewness6.79
Range105.064%
Minimum1.515%
Maximum106.579%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.411% 770 100.00% 8.411%
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 Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.57. Further, an Excess Kurtosis of 90.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -19.87%20.26%0.26%
-19.87% to -14.94%30.39%0.65%
-14.94% to -10.01%151.95%2.60%
-10.01% to -5.08%9211.95%14.55%
-5.08% to -0.15%29438.18%52.73%
-0.15% to 4.79%24732.08%84.81%
4.79% to 9.72%9512.34%97.14%
9.72% to 14.65%131.69%98.83%
14.65% to 19.58%60.78%99.61%
Greater than 19.58%30.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.72%6.43% 81.17%68.27%
±2σ -13.30%13.01% 97.79%95.45%
±3σ -19.87%19.58% 99.35%99.73%
Descriptive Statistics
Mean-0.146%
Standard Error0.237%
Median-0.498%
Mode0.000%
Standard Deviation6.576%
Sample Variance43.244%
Kurtosis90.62
Skewness5.57
Range137.613%
Minimum-31.034%
Maximum106.579%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.449% 344 44.67% 1.988%
Negative -4.028% 408 52.99% -2.134%
Zero 0.000% 18 2.34% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.10. Further, an Excess Kurtosis of 8.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.99%10.39%0.39%
-24.99% to -18.02%00.00%0.39%
-18.02% to -11.06%93.50%3.89%
-11.06% to -4.10%4316.73%20.62%
-4.10% to 2.87%7529.18%49.81%
2.87% to 9.83%8432.68%82.49%
9.83% to 16.79%3413.23%95.72%
16.79% to 23.75%83.11%98.83%
23.75% to 30.72%10.39%99.22%
Greater than 30.72%20.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.42%12.15% 77.04%68.27%
±2σ -15.70%21.43% 97.67%95.45%
±3σ -24.99%30.72% 98.83%99.73%
Descriptive Statistics
Mean2.866%
Standard Error0.579%
Median2.888%
Mode-53.086%
Standard Deviation9.284%
Sample Variance86.192%
Kurtosis8.09
Skewness0.10
Range105.717%
Minimum-53.086%
Maximum52.631%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.859% 162 63.03% 4.954%
Negative -5.649% 95 36.97% -2.088%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 11.76%
12 3 Years 12.67%
20 5 Years 14.04%
40 10 Years 13.78%
80 20 Years 13.23%
200 50 Years 13.93%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.20. Further, an Excess Kurtosis of 39.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -19.31%00.00%0.00%
-19.31% to -10.60%00.00%0.00%
-10.60% to -1.90%00.00%0.00%
-1.90% to 6.80%166.20%6.20%
6.80% to 15.51%15560.08%66.28%
15.51% to 24.21%6324.42%90.70%
24.21% to 32.91%145.43%96.12%
32.91% to 41.62%41.55%97.67%
41.62% to 50.32%20.78%98.45%
Greater than 50.32%41.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.90%27.11% 93.41%68.27%
±2σ -7.70%38.71% 96.90%95.45%
±3σ -19.31%50.32% 98.45%99.73%
Descriptive Statistics
Mean15.506%
Standard Error0.722%
Median12.910%
Mode8.876%
Standard Deviation11.604%
Sample Variance134.651%
Kurtosis39.83
Skewness5.20
Range122.255%
Minimum4.061%
Maximum126.316%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.506% 258 100.00% 15.506%
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 Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.80. Further, an Excess Kurtosis of 52.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -32.10%10.39%0.39%
-32.10% to -24.21%10.39%0.78%
-24.21% to -16.32%41.55%2.33%
-16.32% to -8.43%2610.08%12.40%
-8.43% to -0.54%10641.09%53.49%
-0.54% to 7.35%8332.17%85.66%
7.35% to 15.24%3011.63%97.29%
15.24% to 23.13%62.33%99.61%
23.13% to 31.02%00.00%99.61%
Greater than 31.02%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.06%9.98% 84.50%68.27%
±2σ -21.58%20.50% 98.84%95.45%
±3σ -32.10%31.02% 99.22%99.73%
Descriptive Statistics
Mean-0.540%
Standard Error0.655%
Median-1.884%
Mode2.899%
Standard Deviation10.519%
Sample Variance110.645%
Kurtosis52.60
Skewness4.80
Range147.641%
Minimum-34.483%
Maximum113.158%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.931% 112 43.41% 3.009%
Negative -6.314% 145 56.20% -3.549%
Zero 0.000% 1 0.39% 0.000%