Markets Data Volatility Heatmap Portfolio Calculator

EXC Deep Analytical Report

Exelon Corporation | Category: Equity Mega Cap | Ann. Div Yield: 3.45% ($1.60) | Last Updated: 2026-03-24 | Data Range: 1973-05-01 → 2026-03-01 (635 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% 1.34% 1.94% 1.64% 1.71% 46.14 47.67 45.39 48.46
Weekly 3.14% 3.29% 3.15% 4.43% 3.61% 3.75% 45.24 48.62 43.64 50.41
Monthly 6.07% 6.47% 6.23% 9.01% 7.51% 7.82% 43.51 50.56 40.36 54.50
Quarterly 11.13% 11.73% 11.24% 15.67% 13.01% 13.54% 41.18 53.41 36.16 60.83
Annual — — — — 26.01% 27.08% 36.16 60.83 27.88 78.90
Option Time Horizon — — — — 9.82% 10.22% 42.51 51.74 38.54 57.08
Calculation Notes: Computed at 2026-03-23T16:33 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $46.90  |  Strike (K): $47.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $1.7750 (Bid $1.6500 / Ask $1.9000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.45%  |  Binomial IV (Annual): 26.01% (CRR binomial tree, American, n=20 steps)  |  BS IV: 25.81% (European Black-Scholes)  |  Yahoo IV (Annual): 27.08% → 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
2026-03-02 $0.4200
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 -4.41%940.71%0.71%
-4.41% to -3.29%1331.00%1.70%
-3.29% to -2.18%4023.02%4.72%
-2.18% to -1.06%150711.31%16.02%
-1.06% to 0.05%522139.17%55.19%
0.05% to 1.16%377528.32%83.51%
1.16% to 2.28%156911.77%95.28%
2.28% to 3.39%4103.08%98.36%
3.39% to 4.50%1411.06%99.41%
Greater than 4.50%780.59%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.44%1.54% 77.98%68.27%
±2σ -2.92%3.02% 95.42%95.45%
±3σ -4.41%4.50% 98.71%99.73%
Descriptive Statistics
Mean0.050%
Standard Error0.013%
Median0.000%
Mode0.000%
Standard Deviation1.485%
Sample Variance2.205%
Kurtosis11.35
Skewness0.23
Range34.083%
Minimum-16.089%
Maximum17.994%
Count13330
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.171% 6057 45.44% 0.532%
Negative -1.165% 5511 41.34% -0.482%
Zero 0.000% 1762 13.22% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.37%
20 1 Month 1.95%
60 1 Quarter 1.99%
250 1 Year 1.85%
750 3 Years 1.84%
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 156.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.24%00.00%0.00%
-2.24% to -1.18%00.00%0.00%
-1.18% to -0.11%00.00%0.00%
-0.11% to 0.96%152211.42%11.42%
0.96% to 2.03%714353.58%65.00%
2.03% to 3.09%297522.32%87.32%
3.09% to 4.16%9547.16%94.47%
4.16% to 5.23%3612.71%97.18%
5.23% to 6.29%1561.17%98.35%
Greater than 6.29%2201.65%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.60%3.45% 89.79%68.27%
±2σ -0.82%4.87% 96.47%95.45%
±3σ -2.24%6.29% 98.35%99.73%
Descriptive Statistics
Mean2.026%
Standard Error0.012%
Median1.705%
Mode1.550%
Standard Deviation1.423%
Sample Variance2.025%
Kurtosis156.62
Skewness7.03
Range53.341%
Minimum0.382%
Maximum53.723%
Count13331
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.026% 13331 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%1170.88%1.48%
-3.05% to -2.04%4333.25%4.73%
-2.04% to -1.03%158911.92%16.65%
-1.03% to -0.03%368727.66%44.30%
-0.03% to 0.98%526739.51%83.81%
0.98% to 1.99%147711.08%94.89%
1.99% to 3.00%4293.22%98.11%
3.00% to 4.01%1471.10%99.21%
Greater than 4.01%1050.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.37%1.32% 77.63%68.27%
±2σ -2.72%2.66% 95.35%95.45%
±3σ -4.06%4.01% 98.61%99.73%
Descriptive Statistics
Mean-0.026%
Standard Error0.012%
Median0.000%
Mode0.000%
Standard Deviation1.345%
Sample Variance1.809%
Kurtosis7.82
Skewness0.03
Range24.509%
Minimum-13.398%
Maximum11.111%
Count13331
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.090% 5527 41.46% 0.452%
Negative -1.073% 5937 44.53% -0.478%
Zero 0.000% 1867 14.01% 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 7.20 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%361.30%1.92%
-6.83% to -4.47%923.33%5.26%
-4.47% to -2.12%31011.24%16.49%
-2.12% to 0.24%94834.36%50.85%
0.24% to 2.60%86731.42%82.28%
2.60% to 4.95%35212.76%95.03%
4.95% to 7.31%963.48%98.51%
7.31% 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% 94.89%95.45%
±3σ -9.18%9.66% 98.73%99.73%
Descriptive Statistics
Mean0.239%
Standard Error0.060%
Median0.145%
Mode0.000%
Standard Deviation3.141%
Sample Variance9.865%
Kurtosis7.20
Skewness0.01
Range51.384%
Minimum-27.201%
Maximum24.183%
Count2759
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.413% 1404 50.89% 1.228%
Negative -2.293% 1190 43.13% -0.989%
Zero 0.000% 165 5.98% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 5.24%
12 1 Quarter 4.94%
52 1 Year 4.24%
156 3 Years 4.19%
260 5 Years 4.43%
520 10 Years 4.41%
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 43.99 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 -2.59%00.00%0.00%
-2.59% to -0.13%00.00%0.00%
-0.13% to 2.34%34112.36%12.36%
2.34% to 4.80%142851.74%64.09%
4.80% to 7.27%61022.10%86.20%
7.27% to 9.73%2328.41%94.60%
9.73% to 12.20%722.61%97.21%
12.20% to 14.66%351.27%98.48%
Greater than 14.66%421.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.52%8.09% 88.77%68.27%
±2σ -1.77%11.37% 96.56%95.45%
±3σ -5.06%14.66% 98.48%99.73%
Descriptive Statistics
Mean4.801%
Standard Error0.063%
Median4.000%
Mode2.500%
Standard Deviation3.286%
Sample Variance10.800%
Kurtosis43.99
Skewness4.63
Range55.085%
Minimum0.943%
Maximum56.028%
Count2760
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.801% 2760 100.00% 4.801%
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 12.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.47%110.40%0.40%
-9.47% to -7.10%160.58%0.98%
-7.10% to -4.74%973.51%4.49%
-4.74% to -2.37%37813.70%18.19%
-2.37% to -0.01%86831.45%49.64%
-0.01% to 2.36%92233.41%83.04%
2.36% to 4.73%31111.27%94.31%
4.73% to 7.09%933.37%97.68%
7.09% to 9.46%401.45%99.13%
Greater than 9.46%240.87%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.16%3.15% 77.28%68.27%
±2σ -6.31%6.30% 95.43%95.45%
±3σ -9.47%9.46% 98.73%99.73%
Descriptive Statistics
Mean-0.005%
Standard Error0.060%
Median0.000%
Mode0.000%
Standard Deviation3.155%
Sample Variance9.952%
Kurtosis12.37
Skewness1.06
Range57.415%
Minimum-17.526%
Maximum39.889%
Count2760
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.529% 1206 43.70% 1.105%
Negative -2.236% 1370 49.64% -1.110%
Zero 0.000% 184 6.67% 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 2.12 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.19%40.63%0.63%
-17.19% to -12.64%111.74%2.37%
-12.64% to -8.09%193.00%5.36%
-8.09% to -3.54%8613.56%18.93%
-3.54% to 1.02%19330.44%49.37%
1.02% to 5.57%19029.97%79.34%
5.57% to 10.12%9214.51%93.85%
10.12% to 14.67%294.57%98.42%
14.67% to 19.23%50.79%99.21%
Greater than 19.23%50.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.05%7.09% 74.13%68.27%
±2σ -11.12%13.16% 94.16%95.45%
±3σ -17.19%19.23% 98.58%99.73%
Descriptive Statistics
Mean1.016%
Standard Error0.241%
Median1.100%
Mode0.000%
Standard Deviation6.070%
Sample Variance36.850%
Kurtosis2.12
Skewness0.01
Range53.963%
Minimum-24.138%
Maximum29.825%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.865% 364 57.41% 2.793%
Negative -4.367% 258 40.69% -1.777%
Zero 0.000% 12 1.89% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 9.84%
12 1 Year 8.09%
36 3 Years 8.54%
60 5 Years 9.01%
120 10 Years 9.08%
240 20 Years 9.69%
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 14.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.88%00.00%0.00%
-8.88% to -4.02%00.00%0.00%
-4.02% to 0.83%00.00%0.00%
0.83% to 5.69%8914.02%14.02%
5.69% to 10.54%32551.18%65.20%
10.54% to 15.40%13521.26%86.46%
15.40% to 20.25%457.09%93.54%
20.25% to 25.11%213.31%96.85%
25.11% to 29.96%81.26%98.11%
Greater than 29.96%121.89%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.07%17.02% 86.77%68.27%
±2σ -2.40%23.49% 95.75%95.45%
±3σ -8.88%29.96% 98.11%99.73%
Descriptive Statistics
Mean10.544%
Standard Error0.257%
Median8.654%
Mode10.000%
Standard Deviation6.473%
Sample Variance41.906%
Kurtosis14.92
Skewness3.05
Range57.543%
Minimum2.532%
Maximum60.075%
Count635
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.544% 635 100.00% 10.544%
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 0.64. Further, an Excess Kurtosis of 2.50 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.77%20.31%0.31%
-18.77% to -14.10%20.31%0.63%
-14.10% to -9.42%284.41%5.04%
-9.42% to -4.75%9414.80%19.84%
-4.75% to -0.07%20432.13%51.97%
-0.07% to 4.60%18529.13%81.10%
4.60% to 9.28%8413.23%94.33%
9.28% to 13.95%182.83%97.17%
13.95% to 18.63%121.89%99.06%
Greater than 18.63%60.94%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.30%6.16% 73.54%68.27%
±2σ -12.54%12.39% 94.96%95.45%
±3σ -18.77%18.63% 98.74%99.73%
Descriptive Statistics
Mean-0.072%
Standard Error0.247%
Median-0.478%
Mode0.000%
Standard Deviation6.233%
Sample Variance38.855%
Kurtosis2.50
Skewness0.64
Range55.332%
Minimum-23.514%
Maximum31.818%
Count635
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.127% 283 44.57% 2.285%
Negative -4.521% 331 52.13% -2.357%
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 -13.54%104.74%6.64%
-13.54% to -5.19%3014.22%20.85%
-5.19% to 3.16%5727.01%47.87%
3.16% to 11.51%7636.02%83.89%
11.51% to 19.86%209.48%93.36%
19.86% to 28.21%104.74%98.10%
28.21% to 36.55%31.42%99.53%
Greater than 36.55%10.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.97%14.29% 73.93%68.27%
±2σ -19.10%25.42% 94.31%95.45%
±3σ -30.23%36.55% 99.05%99.73%
Descriptive Statistics
Mean3.162%
Standard Error0.766%
Median3.704%
Mode-30.541%
Standard Deviation11.131%
Sample Variance123.900%
Kurtosis1.05
Skewness0.12
Range72.508%
Minimum-30.541%
Maximum41.967%
Count211
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.221% 137 64.93% 5.987%
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 13.13%
12 3 Years 14.22%
20 5 Years 15.67%
40 10 Years 15.38%
80 20 Years 16.72%
200 50 Years 17.10%
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 8.78 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.43%00.00%0.00%
-15.43% to -6.63%00.00%0.00%
-6.63% to 2.17%00.00%0.00%
2.17% to 10.97%3014.15%14.15%
10.97% to 19.77%10650.00%64.15%
19.77% to 28.57%4420.75%84.91%
28.57% to 37.37%157.08%91.98%
37.37% 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 8.03%31.50% 82.55%68.27%
±2σ -3.70%43.23% 94.81%95.45%
±3σ -15.43%54.96% 98.58%99.73%
Descriptive Statistics
Mean19.766%
Standard Error0.806%
Median16.252%
Mode10.238%
Standard Deviation11.733%
Sample Variance137.665%
Kurtosis8.78
Skewness2.42
Range86.445%
Minimum5.769%
Maximum92.214%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 19.766% 212 100.00% 19.766%
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 -33.97%00.00%0.00%
-33.97% to -25.53%10.47%0.47%
-25.53% to -17.10%94.25%4.72%
-17.10% to -8.67%2813.21%17.92%
-8.67% to -0.23%8037.74%55.66%
-0.23% to 8.20%5224.53%80.19%
8.20% 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 -11.48%11.01% 75.00%68.27%
±2σ -22.72%22.25% 95.28%95.45%
±3σ -33.97%33.50% 98.11%99.73%
Descriptive Statistics
Mean-0.234%
Standard Error0.772%
Median-1.286%
Mode-2.564%
Standard Deviation11.244%
Sample Variance126.435%
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 -7.557% 120 56.60% -4.278%
Zero 0.000% 1 0.47% 0.000%