Markets Data Volatility Heatmap Portfolio Calculator

FIVE Deep Analytical Report

Five Below, Inc. | Category: Equity Large Cap | Last Updated: 2026-02-22 | Data Range: 2012-07-01 → 2026-02-01 (164 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 2.79% 1.96% 2.25% 3.92% 2.71% 3.06% 214.20 226.14 208.47 232.35
Weekly 5.80% 5.95% 6.01% 9.10% 5.97% 6.75% 207.34 233.62 195.33 247.99
Monthly 11.86% 12.06% 12.05% 19.38% 12.42% 14.04% 194.38 249.20 171.67 282.17
Quarterly 20.29% 23.31% 21.60% 36.15% 21.52% 24.32% 177.48 272.93 143.12 338.45
Annual — — — — 43.03% 48.65% 143.12 338.45 93.07 520.46
Option Time Horizon — — — — 20.40% 23.06% 179.48 269.89 146.36 330.95
Calculation Notes: Computed at 2026-02-22T14:19 UTC  |  Reference Contract: Call option expiring 2026-05-15 (82 days)  |  Spot Price (S): $220.09  |  Strike (K): $230.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $14.7000 (Bid $13.2000 / Ask $16.2000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.00%  |  Binomial IV (Annual): 43.03% (CRR binomial tree, American, n=20 steps)  |  BS IV: 43.56% (European Black-Scholes)  |  Yahoo IV (Annual): 48.65% → period-scaled as σperiod = σannual·√h  |  Price bands: Upper = S·e+σ√h, Lower = S·e−σ√h
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.23. Further, an Excess Kurtosis of 14.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.26%190.56%0.56%
-8.26% to -6.17%150.44%1.00%
-6.17% to -4.08%1022.99%3.98%
-4.08% to -1.99%42812.53%16.51%
-1.99% to 0.10%114833.61%50.12%
0.10% to 2.19%115933.93%84.05%
2.19% to 4.28%39611.59%95.64%
4.28% to 6.37%942.75%98.39%
6.37% to 8.46%300.88%99.27%
Greater than 8.46%250.73%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.69%2.89% 79.27%68.27%
±2σ -5.47%5.67% 96.28%95.45%
±3σ -8.26%8.46% 98.71%99.73%
Descriptive Statistics
Mean0.101%
Standard Error0.048%
Median0.096%
Mode-0.275%
Standard Deviation2.786%
Sample Variance7.762%
Kurtosis14.53
Skewness-0.23
Range50.269%
Minimum-27.807%
Maximum22.462%
Count3416
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.928% 1766 51.70% 0.997%
Negative -1.860% 1645 48.16% -0.896%
Zero 0.000% 5 0.15% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 4.27%
20 1 Month 3.63%
60 1 Quarter 3.47%
250 1 Year 4.41%
750 3 Years 3.82%
1,250 5 Years 3.92%
2,500 10 Years 3.73%
5,000 20 Years 3.68%
12,500 50 Years 3.68%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.83. Further, an Excess Kurtosis of 29.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.36%00.00%0.00%
-2.36% to -0.89%00.00%0.00%
-0.89% to 0.58%00.00%0.00%
0.58% to 2.06%53615.69%15.69%
2.06% to 3.53%157246.01%61.69%
3.53% to 5.00%82624.17%85.86%
5.00% to 6.47%2928.55%94.41%
6.47% to 7.95%1002.93%97.34%
7.95% to 9.42%351.02%98.36%
Greater than 9.42%561.64%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.56%5.49% 85.66%68.27%
±2σ -0.40%7.46% 96.93%95.45%
±3σ -2.36%9.42% 98.36%99.73%
Descriptive Statistics
Mean3.529%
Standard Error0.034%
Median3.089%
Mode3.130%
Standard Deviation1.964%
Sample Variance3.859%
Kurtosis29.60
Skewness3.83
Range29.515%
Minimum0.741%
Maximum30.256%
Count3417
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.529% 3417 100.00% 3.529%
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 0.43. Further, an Excess Kurtosis of 6.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.72%190.56%0.56%
-6.72% to -5.03%290.85%1.40%
-5.03% to -3.34%1384.04%5.44%
-3.34% to -1.65%46513.61%19.05%
-1.65% to 0.04%106931.28%50.34%
0.04% to 1.73%104830.67%81.01%
1.73% to 3.42%45113.20%94.21%
3.42% to 5.12%1464.27%98.48%
5.12% to 6.81%320.94%99.41%
Greater than 6.81%200.59%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.21%2.30% 75.30%68.27%
±2σ -4.47%4.55% 95.43%95.45%
±3σ -6.72%6.81% 98.86%99.73%
Descriptive Statistics
Mean0.041%
Standard Error0.039%
Median0.026%
Mode0.000%
Standard Deviation2.255%
Sample Variance5.084%
Kurtosis6.21
Skewness0.43
Range34.635%
Minimum-12.193%
Maximum22.442%
Count3417
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.677% 1720 50.34% 0.844%
Negative -1.629% 1685 49.31% -0.803%
Zero 0.000% 12 0.35% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.05. Further, an Excess Kurtosis of 4.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.93%50.71%0.71%
-16.93% to -12.58%111.55%2.26%
-12.58% to -8.23%202.82%5.08%
-8.23% to -3.88%8511.99%17.07%
-3.88% to 0.46%23833.57%50.63%
0.46% to 4.81%23032.44%83.07%
4.81% to 9.16%8511.99%95.06%
9.16% to 13.50%223.10%98.17%
13.50% to 17.85%81.13%99.29%
Greater than 17.85%50.71%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.33%6.26% 77.86%68.27%
±2σ -11.13%12.05% 94.78%95.45%
±3σ -16.93%17.85% 98.59%99.73%
Descriptive Statistics
Mean0.463%
Standard Error0.218%
Median0.322%
Mode1.332%
Standard Deviation5.796%
Sample Variance33.591%
Kurtosis4.99
Skewness-0.05
Range68.137%
Minimum-37.065%
Maximum31.072%
Count709
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.459% 369 52.05% 2.321%
Negative -3.874% 340 47.95% -1.858%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 8.45%
12 1 Quarter 7.42%
52 1 Year 9.90%
156 3 Years 9.02%
260 5 Years 9.10%
520 10 Years 8.60%
1,040 20 Years 8.46%
2,600 50 Years 8.46%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.56. Further, an Excess Kurtosis of 36.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.95%00.00%0.00%
-8.95% to -4.48%00.00%0.00%
-4.48% to -0.02%00.00%0.00%
-0.02% to 4.44%628.73%8.73%
4.44% to 8.91%39255.21%63.94%
8.91% to 13.37%17224.23%88.17%
13.37% to 17.83%466.48%94.65%
17.83% to 22.30%172.39%97.04%
22.30% to 26.76%81.13%98.17%
Greater than 26.76%131.83%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.96%14.86% 89.86%68.27%
±2σ -3.00%20.81% 96.90%95.45%
±3σ -8.95%26.76% 98.17%99.73%
Descriptive Statistics
Mean8.906%
Standard Error0.223%
Median7.438%
Mode9.495%
Standard Deviation5.951%
Sample Variance35.419%
Kurtosis36.21
Skewness4.56
Range74.839%
Minimum2.868%
Maximum77.707%
Count710
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.906% 710 100.00% 8.906%
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 2.05. Further, an Excess Kurtosis of 19.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.02%30.42%0.42%
-18.02% to -13.52%40.56%0.99%
-13.52% to -9.01%192.68%3.66%
-9.01% to -4.51%10114.23%17.89%
-4.51% to -0.00%23633.24%51.13%
-0.00% to 4.50%25135.35%86.48%
4.50% to 9.01%588.17%94.65%
9.01% to 13.51%212.96%97.61%
13.51% to 18.02%101.41%99.01%
Greater than 18.02%70.99%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.01%6.00% 80.85%68.27%
±2σ -12.02%12.01% 95.49%95.45%
±3σ -18.02%18.02% 98.59%99.73%
Descriptive Statistics
Mean-0.002%
Standard Error0.225%
Median-0.146%
Mode-6.604%
Standard Deviation6.007%
Sample Variance36.081%
Kurtosis19.59
Skewness2.05
Range88.058%
Minimum-24.091%
Maximum63.967%
Count710
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.185% 347 48.87% 2.045%
Negative -4.005% 363 51.13% -2.048%
Zero 0.000% 0 0.00% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.28. Further, an Excess Kurtosis of 1.97 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.63%00.00%0.00%
-33.63% to -24.74%21.23%1.23%
-24.74% to -15.85%95.52%6.75%
-15.85% to -6.96%2213.50%20.25%
-6.96% to 1.93%4829.45%49.69%
1.93% to 10.82%4728.83%78.53%
10.82% to 19.72%2917.79%96.32%
19.72% to 28.61%42.45%98.77%
28.61% to 37.50%00.00%98.77%
Greater than 37.50%21.23%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.92%13.79% 71.17%68.27%
±2σ -21.78%25.64% 96.93%95.45%
±3σ -33.63%37.50% 98.77%99.73%
Descriptive Statistics
Mean1.933%
Standard Error0.929%
Median2.160%
Mode-33.248%
Standard Deviation11.855%
Sample Variance140.547%
Kurtosis1.97
Skewness0.28
Range86.852%
Minimum-33.248%
Maximum53.604%
Count163
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.293% 98 60.12% 5.587%
Negative -9.164% 65 39.88% -3.654%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 16.64%
12 1 Year 22.66%
36 3 Years 20.40%
60 5 Years 19.38%
120 10 Years 18.67%
240 20 Years 18.45%
600 50 Years 18.45%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.76. Further, an Excess Kurtosis of 22.39 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 -6.38%00.00%0.00%
-6.38% to 2.66%00.00%0.00%
2.66% to 11.71%169.76%9.76%
11.71% to 20.75%8954.27%64.02%
20.75% to 29.80%4024.39%88.41%
29.80% to 38.85%106.10%94.51%
38.85% to 47.89%42.44%96.95%
47.89% to 56.94%10.61%97.56%
Greater than 56.94%42.44%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 8.69%32.82% 89.02%68.27%
±2σ -3.37%44.88% 95.73%95.45%
±3σ -15.43%56.94% 97.56%99.73%
Descriptive Statistics
Mean20.755%
Standard Error0.942%
Median18.228%
Mode5.544%
Standard Deviation12.061%
Sample Variance145.458%
Kurtosis22.39
Skewness3.76
Range107.942%
Minimum5.544%
Maximum113.486%
Count164
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 20.755% 164 100.00% 20.755%
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 0.83. Further, an Excess Kurtosis of 1.96 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -36.56%00.00%0.00%
-36.56% to -27.52%21.22%1.22%
-27.52% to -18.48%21.22%2.44%
-18.48% to -9.44%3521.34%23.78%
-9.44% to -0.40%5533.54%57.32%
-0.40% to 8.65%3923.78%81.10%
8.65% to 17.69%1911.59%92.68%
17.69% to 26.73%84.88%97.56%
26.73% to 35.77%21.22%98.78%
Greater than 35.77%21.22%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -12.45%11.66% 72.56%68.27%
±2σ -24.50%23.71% 95.12%95.45%
±3σ -36.56%35.77% 98.78%99.73%
Descriptive Statistics
Mean-0.395%
Standard Error0.941%
Median-2.096%
Mode-34.786%
Standard Deviation12.055%
Sample Variance145.312%
Kurtosis1.96
Skewness0.83
Range85.350%
Minimum-34.786%
Maximum50.564%
Count164
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 11.051% 65 39.63% 4.380%
Negative -7.911% 99 60.37% -4.776%
Zero 0.000% 0 0.00% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.41. Further, an Excess Kurtosis of 2.69 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -55.17%00.00%0.00%
-55.17% to -39.95%11.82%1.82%
-39.95% to -24.73%11.82%3.64%
-24.73% to -9.52%916.36%20.00%
-9.52% to 5.70%1425.45%45.45%
5.70% to 20.92%2036.36%81.82%
20.92% to 36.14%814.55%96.36%
36.14% to 51.36%11.82%98.18%
51.36% to 66.58%00.00%98.18%
Greater than 66.58%11.82%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -14.59%25.99% 70.91%68.27%
±2σ -34.88%46.29% 96.36%95.45%
±3σ -55.17%66.58% 98.18%99.73%
Descriptive Statistics
Mean5.703%
Standard Error2.736%
Median7.974%
Mode-50.294%
Standard Deviation20.291%
Sample Variance411.710%
Kurtosis2.69
Skewness0.41
Range130.186%
Minimum-50.294%
Maximum79.892%
Count55
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 16.653% 36 65.45% 10.900%
Negative -15.044% 19 34.55% -5.197%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 44.76%
12 3 Years 41.61%
20 5 Years 36.15%
40 10 Years 35.27%
80 20 Years 33.41%
200 50 Years 33.41%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.67. Further, an Excess Kurtosis of 9.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -29.45%00.00%0.00%
-29.45% to -11.96%00.00%0.00%
-11.96% to 5.52%00.00%0.00%
5.52% to 23.00%814.29%14.29%
23.00% to 40.48%2748.21%62.50%
40.48% to 57.97%1730.36%92.86%
57.97% to 75.45%00.00%92.86%
75.45% to 92.94%11.79%94.64%
92.94% to 110.42%23.57%98.21%
Greater than 110.42%11.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 17.17%63.80% 89.29%68.27%
±2σ -6.14%87.11% 92.86%95.45%
±3σ -29.45%110.42% 98.21%99.73%
Descriptive Statistics
Mean40.485%
Standard Error3.115%
Median34.997%
Mode16.428%
Standard Deviation23.311%
Sample Variance543.395%
Kurtosis9.12
Skewness2.67
Range132.762%
Minimum16.428%
Maximum149.190%
Count56
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 40.485% 56 100.00% 40.485%
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 2.08. Further, an Excess Kurtosis of 8.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -66.60%00.00%0.00%
-66.60% to -50.40%00.00%0.00%
-50.40% to -34.20%11.79%1.79%
-34.20% to -18.00%916.07%17.86%
-18.00% to -1.79%2442.86%60.71%
-1.79% to 14.41%1119.64%80.36%
14.41% to 30.61%814.29%94.64%
30.61% to 46.81%23.57%98.21%
46.81% to 63.01%00.00%98.21%
Greater than 63.01%11.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -23.40%19.81% 76.79%68.27%
±2σ -45.00%41.41% 98.21%95.45%
±3σ -66.60%63.01% 98.21%99.73%
Descriptive Statistics
Mean-1.795%
Standard Error2.887%
Median-7.491%
Mode-44.316%
Standard Deviation21.603%
Sample Variance466.684%
Kurtosis8.16
Skewness2.08
Range145.031%
Minimum-44.316%
Maximum100.715%
Count56
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 20.410% 19 33.93% 6.925%
Negative -13.198% 37 66.07% -8.720%
Zero 0.000% 0 0.00% 0.000%