Markets Data Volatility Heatmap Portfolio Calculator

EXC Deep Analytical Report

Exelon Corporation | Category: Equity Mega Cap | Ann. Div Yield: 3.38% ($1.60) | Last Updated: 2026-02-22 | Data Range: 1973-05-01 → 2026-02-01 (634 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 1.49% 1.42% 1.35% 1.94% 1.13% 1.23% 47.25 48.34 46.72 48.89
Weekly 3.14% 3.29% 3.15% 4.43% 2.50% 2.72% 46.61 49.00 45.46 50.24
Monthly 6.07% 6.48% 6.23% 9.06% 5.20% 5.65% 45.37 50.34 43.07 53.02
Quarterly 11.13% 11.74% 11.25% 15.50% 9.00% 9.79% 43.68 52.29 39.92 57.22
Annual — — — — 18.00% 19.58% 39.92 57.22 33.34 68.50
Option Time Horizon — — — — 6.92% 7.53% 44.59 51.22 41.61 54.89
Calculation Notes: Computed at 2026-02-22T14:18 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $47.79  |  Strike (K): $48.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $1.2250 (Bid $1.1000 / Ask $1.3500)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.38%  |  Binomial IV (Annual): 18.00% (CRR binomial tree, American, n=20 steps)  |  BS IV: 18.00% (European Black-Scholes)  |  Yahoo IV (Annual): 19.58% → 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
2025-11-10 $0.4000
2025-08-11 $0.4000
2025-05-12 $0.4000
2025-02-24 $0.4000
2024-11-08 $0.3800
2024-08-12 $0.3800
2024-05-10 $0.3800
2024-03-01 $0.3800
2023-11-14 $0.3600
2023-08-14 $0.3600
2023-05-12 $0.3600
2023-02-24 $0.3600
2022-11-14 $0.3380
2022-08-12 $0.3380
2022-05-12 $0.3380
2022-02-24 $0.3380
2021-11-12 $0.2732
2021-08-12 $0.2732
2021-05-13 $0.2732
2021-03-05 $0.2732
2020-11-13 $0.2732
2020-08-13 $0.2732
2020-05-14 $0.2732
2020-02-19 $0.2732
2019-11-14 $0.2589
2019-08-14 $0.2589
2019-05-14 $0.2589
2019-02-19 $0.2589
2018-11-14 $0.2461
2018-08-14 $0.2461
2018-05-14 $0.2461
2018-02-14 $0.2461
2017-11-14 $0.2340
2017-08-11 $0.2340
2017-05-11 $0.2340
2017-02-13 $0.2340
2016-11-10 $0.2268
2016-08-11 $0.2268
2016-05-11 $0.2268
2016-02-10 $0.2211
2015-11-10 $0.2211
2015-08-12 $0.2211
2015-05-13 $0.2211
2015-02-11 $0.2211
2014-11-12 $0.2211
2014-08-13 $0.2211
2014-05-14 $0.2211
2014-02-12 $0.2211
2013-11-13 $0.2211
2013-08-13 $0.2211
2013-05-13 $0.2211
2013-02-14 $0.3745
2012-11-13 $0.3745
2012-08-13 $0.3745
2012-05-11 $0.2703
2012-03-13 $0.1041
2012-02-13 $0.3745
2011-11-10 $0.3745
2011-08-11 $0.3745
2011-05-12 $0.3745
2011-02-11 $0.3745
2010-11-10 $0.3745
2010-08-12 $0.3745
2010-05-12 $0.3745
2010-02-11 $0.3745
2009-11-10 $0.3745
2009-08-12 $0.3745
2009-05-13 $0.3745
2009-02-11 $0.3745
2008-11-12 $0.3745
2008-08-13 $0.3566
2008-05-13 $0.3566
2008-02-13 $0.3566
2007-11-13 $0.3138
2007-08-13 $0.3138
2007-05-11 $0.3138
2007-02-13 $0.3138
2006-11-13 $0.2853
2006-08-11 $0.2853
2006-05-11 $0.2853
2006-02-13 $0.2853
2005-11-10 $0.2853
2005-08-11 $0.2853
2005-05-11 $0.2853
2005-02-11 $0.2853
2004-11-10 $0.2853
2004-08-11 $0.2175
2004-05-12 $0.1961
2004-02-11 $0.1961
2003-11-12 $0.1783
2003-08-13 $0.1783
2003-05-13 $0.1641
2003-02-12 $0.1641
2002-11-13 $0.1569
2002-08-13 $0.1569
2002-05-13 $0.1569
2002-02-13 $0.1569
2001-11-13 $0.1509
2001-08-13 $0.1509
2001-05-11 $0.1509
2001-02-13 $0.1972
2000-10-23 $0.0563
2000-08-28 $0.0892
2000-05-25 $0.0892
2000-02-23 $0.0892
1999-11-10 $0.0892
1999-08-25 $0.0892
1999-05-26 $0.0892
1999-02-18 $0.0892
1998-11-10 $0.0892
1998-08-19 $0.0892
1998-05-20 $0.0892
1998-02-18 $0.0892
1997-11-12 $0.1605
1997-08-20 $0.1605
1997-05-21 $0.1605
1997-02-18 $0.1605
1996-11-13 $0.1605
1996-08-21 $0.1551
1996-05-22 $0.1551
1996-02-16 $0.1551
1995-11-13 $0.1551
1995-08-21 $0.1444
1995-05-18 $0.1444
1995-02-15 $0.1444
1994-11-03 $0.1444
1994-08-18 $0.1355
1994-05-19 $0.1355
1994-02-16 $0.1355
1993-11-04 $0.1248
1993-08-19 $0.1248
1993-05-20 $0.1248
1993-02-18 $0.1248
1992-11-05 $0.1248
1992-08-20 $0.1159
1992-05-20 $0.1159
1992-02-20 $0.1159
1991-11-06 $0.1159
1991-08-15 $0.1070
1991-05-16 $0.1070
1991-02-13 $0.1070
1990-11-07 $0.1070
1990-08-16 $0.1070
1990-05-17 $0.1070
1990-02-14 $0.1961
1989-11-09 $0.1961
1989-08-17 $0.1961
1989-05-18 $0.1961
1989-02-15 $0.1961
1988-11-09 $0.1961
1988-08-18 $0.1961
1988-05-19 $0.1961
1988-02-29 $0.1961
1987-11-05 $0.1961
1987-08-20 $0.1961
1987-05-14 $0.1961
1987-02-23 $0.1961
1986-11-05 $0.1961
1986-08-21 $0.1961
1986-05-15 $0.1961
1986-02-24 $0.1961
1985-11-06 $0.1961
1985-08-15 $0.1961
1985-05-16 $0.1961
1985-02-25 $0.1961
1984-11-07 $0.1961
1984-08-16 $0.1961
1984-05-17 $0.1961
1984-02-27 $0.1961
1983-11-02 $0.1890
1983-08-18 $0.1890
1983-05-19 $0.1890
1983-02-28 $0.1890
1982-11-04 $0.1890
1982-08-19 $0.1890
1982-05-20 $0.1783
1982-03-01 $0.1783
1981-11-04 $0.1783
1981-08-20 $0.1783
1981-05-20 $0.1605
1981-02-10 $0.1605
1980-11-05 $0.1605
1980-08-21 $0.1605
1980-05-21 $0.1605
1980-02-15 $0.1605
1979-11-07 $0.1605
1979-08-23 $0.1605
1979-05-22 $0.1605
1979-02-20 $0.1605
1978-11-09 $0.1605
1978-08-24 $0.1605
1978-05-23 $0.1605
1978-02-23 $0.1605
1977-11-01 $0.1605
1977-08-26 $0.1605
1977-05-26 $0.1605
1977-02-28 $0.1462
1976-11-05 $0.1462
1976-08-23 $0.1462
1976-05-24 $0.1462
1976-03-01 $0.1462
1975-11-07 $0.1462
1975-08-25 $0.1462
1975-05-23 $0.1462
1975-02-24 $0.1462
1974-11-08 $0.1462
1974-08-26 $0.1462
1974-05-24 $0.1462
1974-02-25 $0.1462
1973-11-16 $0.1462
1973-08-27 $0.1462
1973-05-25 $0.1462
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.23. Further, an Excess Kurtosis of 11.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.40%940.71%0.71%
-4.40% to -3.29%1331.00%1.71%
-3.29% to -2.18%4003.01%4.71%
-2.18% to -1.06%150911.34%16.05%
-1.06% to 0.05%521439.18%55.23%
0.05% to 1.17%376528.29%83.51%
1.17% to 2.28%156511.76%95.27%
2.28% to 3.39%4103.08%98.35%
3.39% to 4.51%1411.06%99.41%
Greater than 4.51%780.59%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.43%1.54% 77.95%68.27%
±2σ -2.92%3.02% 95.42%95.45%
±3σ -4.40%4.51% 98.71%99.73%
Descriptive Statistics
Mean0.051%
Standard Error0.013%
Median0.000%
Mode0.000%
Standard Deviation1.485%
Sample Variance2.207%
Kurtosis11.35
Skewness0.23
Range34.083%
Minimum-16.089%
Maximum17.994%
Count13309
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.172% 6045 45.42% 0.532%
Negative -1.165% 5502 41.34% -0.482%
Zero 0.000% 1762 13.24% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.23%
20 1 Month 2.44%
60 1 Quarter 1.91%
250 1 Year 1.84%
750 3 Years 1.86%
1,250 5 Years 1.94%
2,500 10 Years 1.97%
5,000 20 Years 2.12%
12,500 50 Years 2.08%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 7.03. Further, an Excess Kurtosis of 156.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.25%00.00%0.00%
-2.25% to -1.18%00.00%0.00%
-1.18% to -0.11%00.00%0.00%
-0.11% to 0.96%151711.40%11.40%
0.96% to 2.03%713553.61%65.00%
2.03% to 3.09%298322.41%87.42%
3.09% to 4.16%9397.05%94.47%
4.16% to 5.23%3602.70%97.18%
5.23% to 6.30%1561.17%98.35%
Greater than 6.30%2201.65%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.60%3.45% 89.81%68.27%
±2σ -0.82%4.87% 96.47%95.45%
±3σ -2.25%6.30% 98.35%99.73%
Descriptive Statistics
Mean2.026%
Standard Error0.012%
Median1.705%
Mode1.550%
Standard Deviation1.424%
Sample Variance2.027%
Kurtosis156.58
Skewness7.03
Range53.341%
Minimum0.382%
Maximum53.723%
Count13310
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.026% 13310 100.00% 2.026%
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 0.03. Further, an Excess Kurtosis of 7.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.06%800.60%0.60%
-4.06% to -3.05%1160.87%1.47%
-3.05% to -2.04%4333.25%4.73%
-2.04% to -1.04%158111.88%16.60%
-1.04% to -0.03%368427.68%44.28%
-0.03% to 0.98%526339.54%83.82%
0.98% to 1.99%147411.07%94.90%
1.99% to 3.00%4283.22%98.11%
3.00% to 4.01%1461.10%99.21%
Greater than 4.01%1050.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.37%1.32% 77.65%68.27%
±2σ -2.72%2.67% 95.36%95.45%
±3σ -4.06%4.01% 98.61%99.73%
Descriptive Statistics
Mean-0.026%
Standard Error0.012%
Median0.000%
Mode0.000%
Standard Deviation1.346%
Sample Variance1.810%
Kurtosis7.82
Skewness0.03
Range24.509%
Minimum-13.398%
Maximum11.111%
Count13310
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.090% 5518 41.46% 0.452%
Negative -1.074% 5925 44.52% -0.478%
Zero 0.000% 1867 14.03% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.02. Further, an Excess Kurtosis of 7.22 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.18%170.62%0.62%
-9.18% to -6.83%351.27%1.89%
-6.83% to -4.47%923.34%5.23%
-4.47% to -2.12%31011.25%16.48%
-2.12% to 0.24%94734.37%50.85%
0.24% to 2.60%86531.40%82.25%
2.60% to 4.95%35212.78%95.03%
4.95% to 7.30%963.48%98.51%
7.30% to 9.66%230.83%99.35%
Greater than 9.66%180.65%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.90%3.38% 76.55%68.27%
±2σ -6.04%6.52% 94.92%95.45%
±3σ -9.18%9.66% 98.73%99.73%
Descriptive Statistics
Mean0.240%
Standard Error0.060%
Median0.145%
Mode0.000%
Standard Deviation3.140%
Sample Variance9.859%
Kurtosis7.22
Skewness0.02
Range51.384%
Minimum-27.201%
Maximum24.183%
Count2755
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.413% 1402 50.89% 1.228%
Negative -2.291% 1188 43.12% -0.988%
Zero 0.000% 165 5.99% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 5.87%
12 1 Quarter 4.28%
52 1 Year 4.14%
156 3 Years 4.20%
260 5 Years 4.43%
520 10 Years 4.40%
1,040 20 Years 4.72%
2,600 50 Years 4.66%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.63. Further, an Excess Kurtosis of 44.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.06%00.00%0.00%
-5.06% to -2.60%00.00%0.00%
-2.60% to -0.13%00.00%0.00%
-0.13% to 2.33%34012.34%12.34%
2.33% to 4.80%142551.71%64.04%
4.80% to 7.26%61122.17%86.21%
7.26% to 9.73%2318.38%94.59%
9.73% to 12.20%732.65%97.24%
12.20% to 14.66%341.23%98.48%
Greater than 14.66%421.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.51%8.09% 88.79%68.27%
±2σ -1.77%11.37% 96.55%95.45%
±3σ -5.06%14.66% 98.48%99.73%
Descriptive Statistics
Mean4.800%
Standard Error0.063%
Median4.000%
Mode2.500%
Standard Deviation3.287%
Sample Variance10.806%
Kurtosis44.01
Skewness4.63
Range55.085%
Minimum0.943%
Maximum56.028%
Count2756
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.800% 2756 100.00% 4.800%
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 1.06. Further, an Excess Kurtosis of 12.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.46%110.40%0.40%
-9.46% to -7.10%160.58%0.98%
-7.10% to -4.74%973.52%4.50%
-4.74% to -2.37%37713.68%18.18%
-2.37% to -0.01%86731.46%49.64%
-0.01% to 2.36%92133.42%83.06%
2.36% to 4.72%31011.25%94.30%
4.72% to 7.09%933.37%97.68%
7.09% to 9.45%401.45%99.13%
Greater than 9.45%240.87%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.16%3.15% 77.29%68.27%
±2σ -6.31%6.30% 95.46%95.45%
±3σ -9.46%9.45% 98.73%99.73%
Descriptive Statistics
Mean-0.006%
Standard Error0.060%
Median0.000%
Mode0.000%
Standard Deviation3.153%
Sample Variance9.940%
Kurtosis12.41
Skewness1.06
Range57.415%
Minimum-17.526%
Maximum39.889%
Count2756
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.527% 1204 43.69% 1.104%
Negative -2.236% 1368 49.64% -1.110%
Zero 0.000% 184 6.68% 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 2.14 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.18%40.63%0.63%
-17.18% to -12.63%111.74%2.37%
-12.63% to -8.08%193.00%5.37%
-8.08% to -3.53%8513.43%18.80%
-3.53% to 1.02%19330.49%49.29%
1.02% to 5.57%19030.02%79.30%
5.57% to 10.12%9214.53%93.84%
10.12% to 14.67%294.58%98.42%
14.67% to 19.22%50.79%99.21%
Greater than 19.22%50.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.05%7.09% 74.25%68.27%
±2σ -11.11%13.15% 94.15%95.45%
±3σ -17.18%19.22% 98.58%99.73%
Descriptive Statistics
Mean1.020%
Standard Error0.241%
Median1.101%
Mode0.000%
Standard Deviation6.066%
Sample Variance36.797%
Kurtosis2.14
Skewness0.01
Range53.963%
Minimum-24.138%
Maximum29.825%
Count633
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.857% 364 57.50% 2.793%
Negative -4.367% 257 40.60% -1.773%
Zero 0.000% 12 1.90% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 9.22%
12 1 Year 7.88%
36 3 Years 8.48%
60 5 Years 9.06%
120 10 Years 9.13%
240 20 Years 9.68%
600 50 Years 9.73%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.05. Further, an Excess Kurtosis of 14.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.89%00.00%0.00%
-8.89% to -4.03%00.00%0.00%
-4.03% to 0.83%00.00%0.00%
0.83% to 5.68%8813.88%13.88%
5.68% to 10.54%32551.26%65.14%
10.54% to 15.40%13521.29%86.44%
15.40% to 20.26%457.10%93.53%
20.26% to 25.12%213.31%96.85%
25.12% to 29.97%81.26%98.11%
Greater than 29.97%121.89%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.07%17.02% 86.75%68.27%
±2σ -2.41%23.50% 95.74%95.45%
±3σ -8.89%29.97% 98.11%99.73%
Descriptive Statistics
Mean10.543%
Standard Error0.257%
Median8.654%
Mode10.000%
Standard Deviation6.477%
Sample Variance41.949%
Kurtosis14.91
Skewness3.05
Range57.543%
Minimum2.532%
Maximum60.075%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.543% 634 100.00% 10.543%
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 2.52 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.76%20.32%0.32%
-18.76% to -14.09%20.32%0.63%
-14.09% to -9.42%294.57%5.21%
-9.42% to -4.75%9314.67%19.87%
-4.75% to -0.07%20432.18%52.05%
-0.07% to 4.60%18529.18%81.23%
4.60% to 9.27%8313.09%94.32%
9.27% to 13.94%182.84%97.16%
13.94% to 18.61%121.89%99.05%
Greater than 18.61%60.95%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.30%6.16% 73.66%68.27%
±2σ -12.53%12.38% 94.79%95.45%
±3σ -18.76%18.61% 98.74%99.73%
Descriptive Statistics
Mean-0.074%
Standard Error0.247%
Median-0.486%
Mode0.000%
Standard Deviation6.229%
Sample Variance38.806%
Kurtosis2.52
Skewness0.65
Range55.332%
Minimum-23.514%
Maximum31.818%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.129% 282 44.48% 2.281%
Negative -4.512% 331 52.21% -2.356%
Zero 0.000% 21 3.31% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.12. Further, an Excess Kurtosis of 1.05 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.23%10.47%0.47%
-30.23% to -21.88%31.42%1.90%
-21.88% to -13.53%104.74%6.64%
-13.53% to -5.18%3014.22%20.85%
-5.18% to 3.17%5727.01%47.87%
3.17% to 11.52%7636.02%83.89%
11.52% to 19.87%209.48%93.36%
19.87% to 28.22%104.74%98.10%
28.22% to 36.57%31.42%99.53%
Greater than 36.57%10.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.96%14.30% 73.93%68.27%
±2σ -19.09%25.44% 94.31%95.45%
±3σ -30.23%36.57% 99.05%99.73%
Descriptive Statistics
Mean3.172%
Standard Error0.766%
Median3.704%
Mode-30.541%
Standard Deviation11.133%
Sample Variance123.950%
Kurtosis1.05
Skewness0.12
Range72.508%
Minimum-30.541%
Maximum41.967%
Count211
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.236% 137 64.93% 5.997%
Negative -8.055% 74 35.07% -2.825%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 12.28%
12 3 Years 13.94%
20 5 Years 15.50%
40 10 Years 15.30%
80 20 Years 16.68%
200 50 Years 17.09%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.42. Further, an Excess Kurtosis of 8.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.47%00.00%0.00%
-15.47% to -6.66%00.00%0.00%
-6.66% to 2.14%00.00%0.00%
2.14% to 10.95%3014.15%14.15%
10.95% to 19.75%10650.00%64.15%
19.75% to 28.55%4420.75%84.91%
28.55% to 37.36%157.08%91.98%
37.36% to 46.16%73.30%95.28%
46.16% to 54.97%73.30%98.58%
Greater than 54.97%31.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 8.01%31.49% 82.55%68.27%
±2σ -3.73%43.23% 94.81%95.45%
±3σ -15.47%54.97% 98.58%99.73%
Descriptive Statistics
Mean19.749%
Standard Error0.806%
Median16.088%
Mode10.238%
Standard Deviation11.739%
Sample Variance137.815%
Kurtosis8.77
Skewness2.42
Range86.445%
Minimum5.769%
Maximum92.214%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 19.749% 212 100.00% 19.749%
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 0.90. Further, an Excess Kurtosis of 2.15 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.99%00.00%0.00%
-33.99% to -25.55%10.47%0.47%
-25.55% to -17.11%83.77%4.25%
-17.11% to -8.68%2913.68%17.92%
-8.68% to -0.24%8037.74%55.66%
-0.24% to 8.19%5224.53%80.19%
8.19% to 16.63%2712.74%92.92%
16.63% to 25.07%104.72%97.64%
25.07% to 33.50%10.47%98.11%
Greater than 33.50%41.89%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.49%11.00% 75.00%68.27%
±2σ -22.74%22.25% 95.28%95.45%
±3σ -33.99%33.50% 98.11%99.73%
Descriptive Statistics
Mean-0.243%
Standard Error0.773%
Median-1.286%
Mode-2.564%
Standard Deviation11.248%
Sample Variance126.519%
Kurtosis2.15
Skewness0.90
Range74.621%
Minimum-28.898%
Maximum45.723%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.422% 91 42.92% 4.044%
Negative -7.573% 120 56.60% -4.287%
Zero 0.000% 1 0.47% 0.000%