FSLR - 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	3.76%	2.77%	3.01%	4.67%	3.93%	3.92%	181.94	196.81	174.93	204.69
Weekly	8.31%	7.42%	7.90%	11.11%	8.65%	8.63%	173.55	206.31	159.18	224.95
Monthly	16.93%	16.30%	16.65%	23.68%	18.00%	17.96%	158.06	226.54	132.02	271.22
Quarterly	30.55%	35.83%	34.34%	40.68%	31.17%	31.11%	138.54	258.45	101.44	352.99
Annual	—	—	—	—	62.35%	62.21%	101.44	352.99	54.38	658.48
Option Time Horizon	—	—	—	—	23.53%	23.48%	149.55	239.43	118.19	302.96

Calculation Notes: Computed at 2026-03-23T16:40 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $189.23 | Strike (K): $190.00 (first OTM call ≥ spot) | Observed Mid-Price: $17.6750 (Bid $16.8500 / Ask $18.5000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 62.35% (CRR binomial tree, American, n=20 steps) | BS IV: 61.80% (European Black-Scholes) | Yahoo IV (Annual): 62.21% → 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 Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.08. Further, an Excess Kurtosis of 12.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -11.16%	25	0.51%	0.51%
-11.16% to -8.34%	49	1.01%	1.52%
-8.34% to -5.53%	154	3.17%	4.69%
-5.53% to -2.71%	541	11.12%	15.81%
-2.71% to 0.11%	1729	35.55%	51.37%
0.11% to 2.93%	1629	33.50%	84.87%
2.93% to 5.75%	502	10.32%	95.19%
5.75% to 8.57%	141	2.90%	98.09%
8.57% to 11.38%	50	1.03%	99.12%
Greater than 11.38%	43	0.88%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.65%	3.87%	79.31%	68.27%
±2σ	-7.41%	7.63%	95.29%	95.45%
±3σ	-11.16%	11.39%	98.60%	99.73%

Descriptive Statistics

Mean	0.111%
Standard Error	0.054%
Median	0.030%
Mode	0.000%
Standard Deviation	3.758%
Sample Variance	14.124%
Kurtosis	12.40
Skewness	1.08
Range	70.857%
Minimum	-25.332%
Maximum	45.525%
Count	4863

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.604%	2451	50.40%	1.312%
Negative	-2.431%	2403	49.41%	-1.201%
Zero	0.000%	9	0.18%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	3.44%
20	1 Month	4.90%
60	1 Quarter	4.98%
250	1 Year	5.26%
750	3 Years	4.77%
1,250	5 Years	4.67%
2,500	10 Years	4.32%
5,000	20 Years	4.78%
12,500	50 Years	4.78%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.52. Further, an Excess Kurtosis of 31.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.77%	0	0.00%	0.00%
-3.77% to -1.69%	0	0.00%	0.00%
-1.69% to 0.39%	0	0.00%	0.00%
0.39% to 2.47%	822	16.90%	16.90%
2.47% to 4.55%	2245	46.16%	63.06%
4.55% to 6.63%	1070	22.00%	85.05%
6.63% to 8.71%	414	8.51%	93.56%
8.71% to 10.79%	159	3.27%	96.83%
10.79% to 12.87%	77	1.58%	98.42%
Greater than 12.87%	77	1.58%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.78%	7.32%	84.54%	68.27%
±2σ	-0.99%	10.09%	96.18%	95.45%
±3σ	-3.76%	12.87%	98.42%	99.73%

Descriptive Statistics

Mean	4.551%
Standard Error	0.040%
Median	3.862%
Mode	4.071%
Standard Deviation	2.772%
Sample Variance	7.685%
Kurtosis	31.10
Skewness	3.52
Range	52.400%
Minimum	0.814%
Maximum	53.214%
Count	4864

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.551%	4864	100.00%	4.551%
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 0.06. Further, an Excess Kurtosis of 8.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -8.92%	32	0.66%	0.66%
-8.92% to -6.66%	52	1.07%	1.73%
-6.66% to -4.41%	191	3.93%	5.65%
-4.41% to -2.15%	557	11.45%	17.11%
-2.15% to 0.11%	1610	33.10%	50.21%
0.11% to 2.36%	1568	32.24%	82.44%
2.36% to 4.62%	590	12.13%	94.57%
4.62% to 6.88%	181	3.72%	98.29%
6.88% to 9.13%	46	0.95%	99.24%
Greater than 9.13%	37	0.76%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.90%	3.12%	76.34%	68.27%
±2σ	-5.91%	6.12%	94.98%	95.45%
±3σ	-8.92%	9.13%	98.58%	99.73%

Descriptive Statistics

Mean	0.107%
Standard Error	0.043%
Median	0.097%
Mode	0.000%
Standard Deviation	3.008%
Sample Variance	9.045%
Kurtosis	8.10
Skewness	0.06
Range	65.325%
Minimum	-31.029%
Maximum	34.296%
Count	4864

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.185%	2513	51.66%	1.129%
Negative	-2.122%	2343	48.17%	-1.022%
Zero	0.000%	8	0.16%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.70. Further, an Excess Kurtosis of 3.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -24.38%	3	0.30%	0.30%
-24.38% to -18.15%	12	1.19%	1.49%
-18.15% to -11.92%	39	3.87%	5.35%
-11.92% to -5.69%	131	12.98%	18.33%
-5.69% to 0.54%	353	34.99%	53.32%
0.54% to 6.76%	289	28.64%	81.96%
6.76% to 12.99%	120	11.89%	93.86%
12.99% to 19.22%	38	3.77%	97.62%
19.22% to 25.45%	13	1.29%	98.91%
Greater than 25.45%	11	1.09%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.77%	8.84%	76.91%	68.27%
±2σ	-16.08%	17.15%	94.15%	95.45%
±3σ	-24.38%	25.45%	98.61%	99.73%

Descriptive Statistics

Mean	0.536%
Standard Error	0.261%
Median	0.007%
Mode	-19.016%
Standard Deviation	8.306%
Sample Variance	68.989%
Kurtosis	3.38
Skewness	0.70
Range	81.286%
Minimum	-31.244%
Maximum	50.042%
Count	1009

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.450%	506	50.15%	3.235%
Negative	-5.413%	503	49.85%	-2.698%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	11.24%
12	1 Quarter	10.92%
52	1 Year	12.14%
156	3 Years	11.28%
260	5 Years	11.11%
520	10 Years	10.20%
1,040	20 Years	11.29%
2,600	50 Years	11.29%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.24. Further, an Excess Kurtosis of 8.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.33%	0	0.00%	0.00%
-10.33% to -4.76%	0	0.00%	0.00%
-4.76% to 0.81%	0	0.00%	0.00%
0.81% to 6.37%	188	18.61%	18.61%
6.37% to 11.94%	449	44.46%	63.07%
11.94% to 17.51%	213	21.09%	84.16%
17.51% to 23.07%	81	8.02%	92.18%
23.07% to 28.64%	34	3.37%	95.54%
28.64% to 34.21%	27	2.67%	98.22%
Greater than 34.21%	18	1.78%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.52%	19.36%	83.27%	68.27%
±2σ	-2.90%	26.78%	95.05%	95.45%
±3σ	-10.33%	34.21%	98.22%	99.73%

Descriptive Statistics

Mean	11.940%
Standard Error	0.234%
Median	9.939%
Mode	5.003%
Standard Deviation	7.422%
Sample Variance	55.081%
Kurtosis	8.04
Skewness	2.24
Range	68.395%
Minimum	2.555%
Maximum	70.950%
Count	1010

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	11.940%	1010	100.00%	11.940%
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 0.46. Further, an Excess Kurtosis of 2.92 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -23.49%	6	0.59%	0.59%
-23.49% to -17.57%	10	0.99%	1.58%
-17.57% to -11.64%	38	3.76%	5.35%
-11.64% to -5.71%	133	13.17%	18.51%
-5.71% to 0.22%	340	33.66%	52.18%
0.22% to 6.15%	305	30.20%	82.38%
6.15% to 12.07%	119	11.78%	94.16%
12.07% to 18.00%	32	3.17%	97.33%
18.00% to 23.93%	17	1.68%	99.01%
Greater than 23.93%	10	0.99%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.69%	8.12%	76.44%	68.27%
±2σ	-15.59%	16.03%	94.26%	95.45%
±3σ	-23.49%	23.93%	98.42%	99.73%

Descriptive Statistics

Mean	0.218%
Standard Error	0.249%
Median	-0.031%
Mode	-3.024%
Standard Deviation	7.904%
Sample Variance	62.471%
Kurtosis	2.92
Skewness	0.46
Range	77.368%
Minimum	-30.319%
Maximum	47.049%
Count	1010

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.971%	503	49.80%	2.974%
Negative	-5.490%	507	50.20%	-2.756%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.62. Further, an Excess Kurtosis of 1.12 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -48.61%	0	0.00%	0.00%
-48.61% to -35.91%	1	0.43%	0.43%
-35.91% to -23.21%	11	4.74%	5.17%
-23.21% to -10.52%	43	18.53%	23.71%
-10.52% to 2.18%	66	28.45%	52.16%
2.18% to 14.88%	65	28.02%	80.17%
14.88% to 27.57%	30	12.93%	93.10%
27.57% to 40.27%	9	3.88%	96.98%
40.27% to 52.97%	5	2.16%	99.14%
Greater than 52.97%	2	0.86%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.75%	19.11%	71.55%	68.27%
±2σ	-31.68%	36.04%	95.26%	95.45%
±3σ	-48.61%	52.97%	99.14%	99.73%

Descriptive Statistics

Mean	2.179%
Standard Error	1.111%
Median	1.305%
Mode	-25.117%
Standard Deviation	16.929%
Sample Variance	286.588%
Kurtosis	1.12
Skewness	0.62
Range	109.477%
Minimum	-36.777%
Maximum	72.700%
Count	232

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.882%	120	51.72%	7.698%
Negative	-11.432%	112	48.28%	-5.519%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	19.91%
12	1 Year	23.96%
36	3 Years	23.75%
60	5 Years	23.68%
120	10 Years	22.39%
240	20 Years	25.14%
600	50 Years	25.14%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.15. Further, an Excess Kurtosis of 6.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -19.84%	0	0.00%	0.00%
-19.84% to -7.61%	0	0.00%	0.00%
-7.61% to 4.61%	0	0.00%	0.00%
4.61% to 16.84%	43	18.45%	18.45%
16.84% to 29.06%	102	43.78%	62.23%
29.06% to 41.29%	57	24.46%	86.70%
41.29% to 53.51%	13	5.58%	92.27%
53.51% to 65.74%	8	3.43%	95.71%
65.74% to 77.96%	4	1.72%	97.42%
Greater than 77.96%	6	2.58%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.76%	45.36%	83.69%	68.27%
±2σ	-3.54%	61.66%	94.85%	95.45%
±3σ	-19.84%	77.96%	97.42%	99.73%

Descriptive Statistics

Mean	29.062%
Standard Error	1.068%
Median	25.229%
Mode	20.275%
Standard Deviation	16.300%
Sample Variance	265.701%
Kurtosis	6.55
Skewness	2.15
Range	106.808%
Minimum	6.085%
Maximum	112.893%
Count	233

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	29.062%	233	100.00%	29.062%
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 0.54. Further, an Excess Kurtosis of 0.56 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -49.23%	0	0.00%	0.00%
-49.23% to -36.75%	1	0.43%	0.43%
-36.75% to -24.26%	8	3.43%	3.86%
-24.26% to -11.78%	41	17.60%	21.46%
-11.78% to 0.71%	77	33.05%	54.51%
0.71% to 13.19%	55	23.61%	78.11%
13.19% to 25.68%	33	14.16%	92.27%
25.68% to 38.16%	13	5.58%	97.85%
38.16% to 50.64%	3	1.29%	99.14%
Greater than 50.64%	2	0.86%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.94%	17.35%	71.67%	68.27%
±2σ	-32.59%	34.00%	94.42%	95.45%
±3σ	-49.23%	50.64%	99.14%	99.73%

Descriptive Statistics

Mean	0.706%
Standard Error	1.091%
Median	-1.048%
Mode	-41.430%
Standard Deviation	16.646%
Sample Variance	277.102%
Kurtosis	0.56
Skewness	0.54
Range	98.842%
Minimum	-41.430%
Maximum	57.412%
Count	233

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.531%	110	47.21%	6.860%
Negative	-11.658%	123	52.79%	-6.154%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.47. Further, an Excess Kurtosis of 0.11 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -84.96%	0	0.00%	0.00%
-84.96% to -62.05%	0	0.00%	0.00%
-62.05% to -39.13%	3	3.90%	3.90%
-39.13% to -16.22%	15	19.48%	23.38%
-16.22% to 6.69%	25	32.47%	55.84%
6.69% to 29.61%	17	22.08%	77.92%
29.61% to 52.52%	10	12.99%	90.91%
52.52% to 75.44%	5	6.49%	97.40%
75.44% to 98.35%	2	2.60%	100.00%
Greater than 98.35%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.86%	37.24%	71.43%	68.27%
±2σ	-54.41%	67.80%	94.81%	95.45%
±3σ	-84.96%	98.35%	100.00%	99.73%

Descriptive Statistics

Mean	6.693%
Standard Error	3.482%
Median	2.703%
Mode	-57.904%
Standard Deviation	30.552%
Sample Variance	933.402%
Kurtosis	0.11
Skewness	0.47
Range	145.552%
Minimum	-57.904%
Maximum	87.648%
Count	77

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	29.214%	41	53.25%	15.556%
Negative	-18.955%	36	46.75%	-8.862%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	41.52%
12	3 Years	40.39%
20	5 Years	40.68%
40	10 Years	39.59%
80	20 Years	44.96%
200	50 Years	44.96%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.28. Further, an Excess Kurtosis of 5.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -48.72%	0	0.00%	0.00%
-48.72% to -21.84%	0	0.00%	0.00%
-21.84% to 5.04%	0	0.00%	0.00%
5.04% to 31.91%	9	11.54%	11.54%
31.91% to 58.79%	44	56.41%	67.95%
58.79% to 85.66%	13	16.67%	84.62%
85.66% to 112.54%	7	8.97%	93.59%
112.54% to 139.41%	2	2.56%	96.15%
139.41% to 166.29%	0	0.00%	96.15%
Greater than 166.29%	3	3.85%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	22.95%	94.62%	84.62%	68.27%
±2σ	-12.88%	130.45%	96.15%	95.45%
±3σ	-48.72%	166.29%	96.15%	99.73%

Descriptive Statistics

Mean	58.786%
Standard Error	4.057%
Median	46.939%
Mode	20.000%
Standard Deviation	35.834%
Sample Variance	1284.106%
Kurtosis	5.97
Skewness	2.28
Range	184.658%
Minimum	20.000%
Maximum	204.658%
Count	78

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	58.786%	78	100.00%	58.786%
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 1.86. Further, an Excess Kurtosis of 5.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -100.48%	0	0.00%	0.00%
-100.48% to -74.73%	0	0.00%	0.00%
-74.73% to -48.97%	0	0.00%	0.00%
-48.97% to -23.22%	18	23.08%	23.08%
-23.22% to 2.54%	24	30.77%	53.85%
2.54% to 28.30%	25	32.05%	85.90%
28.30% to 54.05%	8	10.26%	96.15%
54.05% to 79.81%	0	0.00%	96.15%
79.81% to 105.56%	1	1.28%	97.44%
Greater than 105.56%	2	2.56%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.80%	36.88%	82.05%	68.27%
±2σ	-66.14%	71.22%	96.15%	95.45%
±3σ	-100.48%	105.56%	97.44%	99.73%

Descriptive Statistics

Mean	2.540%
Standard Error	3.888%
Median	-2.085%
Mode	29.797%
Standard Deviation	34.341%
Sample Variance	1179.281%
Kurtosis	5.57
Skewness	1.86
Range	191.419%
Minimum	-47.597%
Maximum	143.822%
Count	78

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	28.388%	37	47.44%	13.466%
Negative	-20.786%	41	52.56%	-10.926%
Zero	0.000%	0	0.00%	0.000%

FSLR Deep Analytical Report