ENPH - Detail Report

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	5.04%	4.05%	4.33%	5.81%	3.93%	4.01%	44.77	48.42	43.04	50.36
Weekly	11.57%	10.96%	11.73%	14.04%	8.65%	8.83%	42.70	50.76	39.17	55.35
Monthly	24.01%	25.27%	22.53%	29.57%	18.00%	18.39%	38.89	55.74	32.49	66.73
Quarterly	44.66%	37.60%	38.59%	51.89%	31.17%	31.85%	34.09	63.59	24.96	86.85
Annual	—	—	—	—	62.34%	63.70%	24.96	86.85	13.38	162.00
Option Time Horizon	—	—	—	—	23.98%	24.50%	36.63	59.18	28.82	75.21

Calculation Notes: Computed at 2026-02-22T14:23 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $46.56 | Strike (K): $50.00 (first OTM call ≥ spot) | Observed Mid-Price: $3.2250 (Bid $3.1500 / Ask $3.3000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 62.34% (CRR binomial tree, American, n=20 steps) | BS IV: 62.94% (European Black-Scholes) | Yahoo IV (Annual): 63.70% → period-scaled as σ_period = σ_annual·√h | Price bands: Upper = S·e^+σ√h, Lower = S·e^−σ√h

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.58. Further, an Excess Kurtosis of 8.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -14.96%	21	0.60%	0.60%
-14.96% to -11.17%	22	0.63%	1.23%
-11.17% to -7.39%	118	3.38%	4.61%
-7.39% to -3.60%	429	12.29%	16.90%
-3.60% to 0.18%	1216	34.82%	51.72%
0.18% to 3.96%	1109	31.76%	83.48%
3.96% to 7.75%	409	11.71%	95.19%
7.75% to 11.53%	97	2.78%	97.97%
11.53% to 15.31%	34	0.97%	98.94%
Greater than 15.31%	37	1.06%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.87%	5.22%	78.67%	68.27%
±2σ	-9.91%	10.27%	95.93%	95.45%
±3σ	-14.96%	15.31%	98.34%	99.73%

Descriptive Statistics

Mean	0.179%
Standard Error	0.085%
Median	0.000%
Mode	0.000%
Standard Deviation	5.045%
Sample Variance	25.455%
Kurtosis	8.49
Skewness	0.58
Range	79.811%
Minimum	-37.366%
Maximum	42.445%
Count	3492

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.682%	1727	49.46%	1.821%
Negative	-3.382%	1695	48.54%	-1.642%
Zero	0.000%	70	2.00%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	5.71%
20	1 Month	8.10%
60	1 Quarter	5.85%
250	1 Year	6.18%
750	3 Years	5.55%
1,250	5 Years	5.81%
2,500	10 Years	6.62%
5,000	20 Years	6.88%
12,500	50 Years	6.88%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.21. Further, an Excess Kurtosis of 21.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -5.37%	0	0.00%	0.00%
-5.37% to -2.33%	0	0.00%	0.00%
-2.33% to 0.70%	0	0.00%	0.00%
0.70% to 3.74%	606	17.35%	17.35%
3.74% to 6.78%	1577	45.15%	62.50%
6.78% to 9.81%	791	22.65%	85.14%
9.81% to 12.85%	302	8.65%	93.79%
12.85% to 15.88%	108	3.09%	96.88%
15.88% to 18.92%	53	1.52%	98.40%
Greater than 18.92%	56	1.60%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.73%	10.82%	84.83%	68.27%
±2σ	-1.32%	14.87%	96.14%	95.45%
±3σ	-5.37%	18.92%	98.40%	99.73%

Descriptive Statistics

Mean	6.777%
Standard Error	0.068%
Median	5.858%
Mode	4.000%
Standard Deviation	4.048%
Sample Variance	16.386%
Kurtosis	21.26
Skewness	3.21
Range	56.122%
Minimum	0.840%
Maximum	56.962%
Count	3493

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.777%	3493	100.00%	6.777%
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 0.65. Further, an Excess Kurtosis of 5.66 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.79%	17	0.49%	0.49%
-12.79% to -9.54%	27	0.77%	1.26%
-9.54% to -6.29%	134	3.84%	5.10%
-6.29% to -3.05%	479	13.71%	18.81%
-3.05% to 0.20%	1141	32.67%	51.47%
0.20% to 3.45%	1059	30.32%	81.79%
3.45% to 6.70%	426	12.20%	93.99%
6.70% to 9.94%	141	4.04%	98.02%
9.94% to 13.19%	50	1.43%	99.46%
Greater than 13.19%	19	0.54%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.13%	4.53%	75.09%	68.27%
±2σ	-8.46%	8.86%	95.25%	95.45%
±3σ	-12.79%	13.19%	98.97%	99.73%

Descriptive Statistics

Mean	0.201%
Standard Error	0.073%
Median	0.065%
Mode	0.000%
Standard Deviation	4.330%
Sample Variance	18.750%
Kurtosis	5.66
Skewness	0.65
Range	55.965%
Minimum	-20.420%
Maximum	35.545%
Count	3493

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.308%	1758	50.33%	1.665%
Negative	-3.086%	1657	47.44%	-1.464%
Zero	0.000%	78	2.23%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.49. Further, an Excess Kurtosis of 2.64 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -33.81%	4	0.55%	0.55%
-33.81% to -25.13%	7	0.97%	1.52%
-25.13% to -16.45%	27	3.72%	5.24%
-16.45% to -7.77%	97	13.38%	18.62%
-7.77% to 0.91%	236	32.55%	51.17%
0.91% to 9.58%	226	31.17%	82.34%
9.58% to 18.26%	90	12.41%	94.76%
18.26% to 26.94%	17	2.34%	97.10%
26.94% to 35.62%	15	2.07%	99.17%
Greater than 35.62%	6	0.83%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.67%	12.48%	76.28%	68.27%
±2σ	-22.24%	24.05%	94.48%	95.45%
±3σ	-33.81%	35.62%	98.62%	99.73%

Descriptive Statistics

Mean	0.905%
Standard Error	0.430%
Median	0.683%
Mode	0.000%
Standard Deviation	11.572%
Sample Variance	133.920%
Kurtosis	2.64
Skewness	0.49
Range	100.815%
Minimum	-39.828%
Maximum	60.987%
Count	725

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.925%	380	52.41%	4.678%
Negative	-8.045%	340	46.90%	-3.773%
Zero	0.000%	5	0.69%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	22.63%
12	1 Quarter	15.21%
52	1 Year	14.85%
156	3 Years	13.33%
260	5 Years	14.04%
520	10 Years	15.76%
1,040	20 Years	16.13%
2,600	50 Years	16.13%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.74. Further, an Excess Kurtosis of 12.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -15.24%	0	0.00%	0.00%
-15.24% to -7.02%	0	0.00%	0.00%
-7.02% to 1.21%	0	0.00%	0.00%
1.21% to 9.43%	117	16.12%	16.12%
9.43% to 17.65%	340	46.83%	62.95%
17.65% to 25.88%	161	22.18%	85.12%
25.88% to 34.10%	54	7.44%	92.56%
34.10% to 42.32%	26	3.58%	96.14%
42.32% to 50.54%	18	2.48%	98.62%
Greater than 50.54%	10	1.38%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.69%	28.62%	85.54%	68.27%
±2σ	-4.28%	39.58%	95.18%	95.45%
±3σ	-15.24%	50.54%	98.62%	99.73%

Descriptive Statistics

Mean	17.652%
Standard Error	0.407%
Median	14.450%
Mode	7.955%
Standard Deviation	10.964%
Sample Variance	120.205%
Kurtosis	12.85
Skewness	2.74
Range	99.709%
Minimum	3.911%
Maximum	103.620%
Count	726

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.652%	726	100.00%	17.652%
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 1.10. Further, an Excess Kurtosis of 4.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -34.62%	2	0.28%	0.28%
-34.62% to -25.82%	5	0.69%	0.96%
-25.82% to -17.02%	26	3.58%	4.55%
-17.02% to -8.22%	97	13.36%	17.91%
-8.22% to 0.58%	263	36.23%	54.13%
0.58% to 9.38%	204	28.10%	82.23%
9.38% to 18.19%	89	12.26%	94.49%
18.19% to 26.99%	21	2.89%	97.38%
26.99% to 35.79%	10	1.38%	98.76%
Greater than 35.79%	9	1.24%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.15%	12.32%	77.41%	68.27%
±2σ	-22.89%	24.05%	94.35%	95.45%
±3σ	-34.62%	35.79%	98.48%	99.73%

Descriptive Statistics

Mean	0.584%
Standard Error	0.436%
Median	-0.120%
Mode	0.000%
Standard Deviation	11.735%
Sample Variance	137.706%
Kurtosis	4.77
Skewness	1.10
Range	109.129%
Minimum	-37.326%
Maximum	71.803%
Count	726

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.136%	354	48.76%	4.455%
Negative	-7.698%	365	50.27%	-3.870%
Zero	0.000%	7	0.96%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.09. Further, an Excess Kurtosis of 2.40 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -68.36%	0	0.00%	0.00%
-68.36% to -50.35%	1	0.60%	0.60%
-50.35% to -32.35%	4	2.40%	2.99%
-32.35% to -14.34%	30	17.96%	20.96%
-14.34% to 3.67%	62	37.13%	58.08%
3.67% to 21.67%	39	23.35%	81.44%
21.67% to 39.68%	19	11.38%	92.81%
39.68% to 57.68%	9	5.39%	98.20%
57.68% to 75.69%	1	0.60%	98.80%
Greater than 75.69%	2	1.20%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.34%	27.67%	73.65%	68.27%
±2σ	-44.35%	51.68%	95.21%	95.45%
±3σ	-68.36%	75.69%	98.80%	99.73%

Descriptive Statistics

Mean	3.665%
Standard Error	1.858%
Median	-0.817%
Mode	-53.611%
Standard Deviation	24.008%
Sample Variance	576.387%
Kurtosis	2.40
Skewness	1.09
Range	163.791%
Minimum	-53.611%
Maximum	110.180%
Count	167

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	22.267%	81	48.50%	10.800%
Negative	-14.018%	85	50.90%	-7.135%
Zero	0.000%	1	0.60%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	33.88%
12	1 Year	29.93%
36	3 Years	28.72%
60	5 Years	29.57%
120	10 Years	36.04%
240	20 Years	36.29%
600	50 Years	36.29%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.48. Further, an Excess Kurtosis of 9.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -32.16%	0	0.00%	0.00%
-32.16% to -13.21%	0	0.00%	0.00%
-13.21% to 5.75%	0	0.00%	0.00%
5.75% to 24.70%	27	16.07%	16.07%
24.70% to 43.65%	72	42.86%	58.93%
43.65% to 62.60%	46	27.38%	86.31%
62.60% to 81.55%	12	7.14%	93.45%
81.55% to 100.50%	7	4.17%	97.62%
100.50% to 119.46%	0	0.00%	97.62%
Greater than 119.46%	4	2.38%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	18.38%	68.92%	83.33%	68.27%
±2σ	-6.89%	94.19%	96.43%	95.45%
±3σ	-32.16%	119.46%	97.62%	99.73%

Descriptive Statistics

Mean	43.650%
Standard Error	1.950%
Median	37.210%
Mode	29.188%
Standard Deviation	25.269%
Sample Variance	638.538%
Kurtosis	9.03
Skewness	2.48
Range	164.239%
Minimum	10.307%
Maximum	174.546%
Count	168

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	43.650%	168	100.00%	43.650%
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 0.86. Further, an Excess Kurtosis of 3.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -65.86%	0	0.00%	0.00%
-65.86% to -48.96%	1	0.60%	0.60%
-48.96% to -32.07%	8	4.76%	5.36%
-32.07% to -15.17%	30	17.86%	23.21%
-15.17% to 1.73%	45	26.79%	50.00%
1.73% to 18.62%	49	29.17%	79.17%
18.62% to 35.52%	25	14.88%	94.05%
35.52% to 52.41%	6	3.57%	97.62%
52.41% to 69.31%	3	1.79%	99.40%
Greater than 69.31%	1	0.60%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.80%	24.25%	72.02%	68.27%
±2σ	-43.33%	46.78%	95.83%	95.45%
±3σ	-65.86%	69.31%	99.40%	99.73%

Descriptive Statistics

Mean	1.726%
Standard Error	1.738%
Median	1.634%
Mode	-52.422%
Standard Deviation	22.528%
Sample Variance	507.529%
Kurtosis	3.28
Skewness	0.86
Range	168.590%
Minimum	-52.422%
Maximum	116.168%
Count	168

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.979%	88	52.38%	9.418%
Negative	-16.357%	79	47.02%	-7.692%
Zero	0.000%	1	0.59%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.15. Further, an Excess Kurtosis of 2.22 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -122.70%	0	0.00%	0.00%
-122.70% to -89.20%	0	0.00%	0.00%
-89.20% to -55.71%	0	0.00%	0.00%
-55.71% to -22.22%	17	30.36%	30.36%
-22.22% to 11.28%	15	26.79%	57.14%
11.28% to 44.77%	12	21.43%	78.57%
44.77% to 78.26%	8	14.29%	92.86%
78.26% to 111.76%	3	5.36%	98.21%
111.76% to 145.25%	0	0.00%	98.21%
Greater than 145.25%	1	1.79%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.38%	55.93%	73.21%	68.27%
±2σ	-78.04%	100.59%	98.21%	95.45%
±3σ	-122.70%	145.25%	98.21%	99.73%

Descriptive Statistics

Mean	11.276%
Standard Error	5.968%
Median	3.008%
Mode	-52.983%
Standard Deviation	44.658%
Sample Variance	1994.319%
Kurtosis	2.22
Skewness	1.15
Range	233.361%
Minimum	-52.983%
Maximum	180.378%
Count	56

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	41.842%	31	55.36%	23.162%
Negative	-26.627%	25	44.64%	-11.887%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	47.05%
12	3 Years	47.06%
20	5 Years	51.89%
40	10 Years	69.20%
80	20 Years	66.92%
200	50 Years	66.92%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.67. Further, an Excess Kurtosis of 0.03 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -25.51%	0	0.00%	0.00%
-25.51% to 2.69%	0	0.00%	0.00%
2.69% to 30.89%	2	3.51%	3.51%
30.89% to 59.09%	11	19.30%	22.81%
59.09% to 87.29%	18	31.58%	54.39%
87.29% to 115.50%	14	24.56%	78.95%
115.50% to 143.70%	7	12.28%	91.23%
143.70% to 171.90%	2	3.51%	94.74%
171.90% to 200.10%	3	5.26%	100.00%
Greater than 200.10%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	49.69%	124.90%	70.18%	68.27%
±2σ	12.09%	162.50%	94.74%	95.45%
±3σ	-25.51%	200.10%	100.00%	99.73%

Descriptive Statistics

Mean	87.294%
Standard Error	4.980%
Median	84.802%
Mode	24.471%
Standard Deviation	37.602%
Sample Variance	1413.904%
Kurtosis	0.03
Skewness	0.67
Range	154.529%
Minimum	24.471%
Maximum	179.000%
Count	57

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	87.294%	57	100.00%	87.294%
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 0.62. Further, an Excess Kurtosis of -0.24 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -111.79%	0	0.00%	0.00%
-111.79% to -82.84%	0	0.00%	0.00%
-82.84% to -53.90%	1	1.75%	1.75%
-53.90% to -24.96%	17	29.82%	31.58%
-24.96% to 3.98%	14	24.56%	56.14%
3.98% to 32.93%	9	15.79%	71.93%
32.93% to 61.87%	11	19.30%	91.23%
61.87% to 90.81%	4	7.02%	98.25%
90.81% to 119.75%	1	1.75%	100.00%
Greater than 119.75%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-34.61%	42.57%	70.18%	68.27%
±2σ	-73.20%	81.16%	96.49%	95.45%
±3σ	-111.79%	119.75%	100.00%	99.73%

Descriptive Statistics

Mean	3.984%
Standard Error	5.111%
Median	-1.987%
Mode	-56.306%
Standard Deviation	38.590%
Sample Variance	1489.191%
Kurtosis	-0.24
Skewness	0.62
Range	165.951%
Minimum	-56.306%
Maximum	109.645%
Count	57

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	38.964%	26	45.61%	17.773%
Negative	-25.354%	31	54.39%	-13.789%
Zero	0.000%	0	0.00%	0.000%

ENPH Deep Analytical Report