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%	2.78%	3.01%	4.69%	3.72%	3.81%	233.05	251.04	224.55	260.55
Weekly	8.30%	7.41%	7.89%	11.17%	8.18%	8.39%	222.87	262.51	205.36	284.89
Monthly	16.93%	16.30%	16.66%	23.77%	17.04%	17.46%	203.99	286.80	172.04	340.07
Quarterly	30.43%	36.06%	34.30%	40.02%	29.51%	30.24%	180.08	324.90	134.06	436.40
Annual	—	—	—	—	59.01%	60.48%	134.06	436.40	74.31	787.36
Option Time Horizon	—	—	—	—	22.70%	23.26%	192.76	303.51	153.62	380.85

Calculation Notes: Computed at 2026-02-22T14:23 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $241.88 | Strike (K): $250.00 (first OTM call ≥ spot) | Observed Mid-Price: $19.1500 (Bid $18.2500 / Ask $20.0500) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 59.01% (CRR binomial tree, American, n=20 steps) | BS IV: 59.55% (European Black-Scholes) | Yahoo IV (Annual): 60.48% → 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 1.09. Further, an Excess Kurtosis of 12.41 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%	24	0.50%	0.50%
-11.16% to -8.34%	49	1.01%	1.51%
-8.34% to -5.52%	154	3.18%	4.69%
-5.52% to -2.70%	542	11.19%	15.88%
-2.70% to 0.12%	1719	35.50%	51.38%
0.12% to 2.94%	1620	33.46%	84.84%
2.94% to 5.75%	500	10.33%	95.17%
5.75% to 8.57%	141	2.91%	98.08%
8.57% to 11.39%	50	1.03%	99.11%
Greater than 11.39%	43	0.89%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.64%	3.88%	79.26%	68.27%
±2σ	-7.40%	7.63%	95.29%	95.45%
±3σ	-11.16%	11.39%	98.62%	99.73%

Descriptive Statistics

Mean	0.116%
Standard Error	0.054%
Median	0.034%
Mode	0.000%
Standard Deviation	3.759%
Sample Variance	14.130%
Kurtosis	12.41
Skewness	1.09
Range	70.857%
Minimum	-25.332%
Maximum	45.525%
Count	4842

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.609%	2442	50.43%	1.316%
Negative	-2.429%	2391	49.38%	-1.199%
Zero	0.000%	9	0.19%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	5.64%
20	1 Month	5.81%
60	1 Quarter	4.87%
250	1 Year	5.32%
750	3 Years	4.76%
1,250	5 Years	4.69%
2,500	10 Years	4.30%
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 31.05 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%	817	16.87%	16.87%
2.47% to 4.55%	2238	46.21%	63.08%
4.55% to 6.63%	1064	21.97%	85.05%
6.63% to 8.72%	413	8.53%	93.58%
8.72% to 10.80%	157	3.24%	96.82%
10.80% to 12.88%	77	1.59%	98.41%
Greater than 12.88%	77	1.59%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.78%	7.33%	84.62%	68.27%
±2σ	-1.00%	10.11%	96.18%	95.45%
±3σ	-3.77%	12.88%	98.41%	99.73%

Descriptive Statistics

Mean	4.553%
Standard Error	0.040%
Median	3.861%
Mode	4.071%
Standard Deviation	2.776%
Sample Variance	7.705%
Kurtosis	31.05
Skewness	3.52
Range	52.400%
Minimum	0.814%
Maximum	53.214%
Count	4843

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.553%	4843	100.00%	4.553%
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 8.11 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%	190	3.92%	5.66%
-4.41% to -2.15%	554	11.44%	17.10%
-2.15% to 0.11%	1604	33.12%	50.22%
0.11% to 2.37%	1562	32.25%	82.47%
2.37% to 4.62%	586	12.10%	94.57%
4.62% to 6.88%	180	3.72%	98.29%
6.88% to 9.14%	46	0.95%	99.24%
Greater than 9.14%	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%	6.13%	94.98%	95.45%
±3σ	-8.92%	9.14%	98.58%	99.73%

Descriptive Statistics

Mean	0.109%
Standard Error	0.043%
Median	0.098%
Mode	0.000%
Standard Deviation	3.010%
Sample Variance	9.061%
Kurtosis	8.11
Skewness	0.06
Range	65.325%
Minimum	-31.029%
Maximum	34.296%
Count	4843

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.188%	2504	51.70%	1.131%
Negative	-2.123%	2331	48.13%	-1.022%
Zero	0.000%	8	0.17%	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 3.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -24.34%	3	0.30%	0.30%
-24.34% to -18.11%	12	1.19%	1.49%
-18.11% to -11.89%	40	3.98%	5.47%
-11.89% to -5.66%	130	12.94%	18.41%
-5.66% to 0.56%	352	35.02%	53.43%
0.56% to 6.79%	286	28.46%	81.89%
6.79% to 13.01%	120	11.94%	93.83%
13.01% to 19.24%	38	3.78%	97.61%
19.24% to 25.46%	13	1.29%	98.91%
Greater than 25.46%	11	1.09%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.74%	8.86%	76.82%	68.27%
±2σ	-16.04%	17.16%	94.13%	95.45%
±3σ	-24.34%	25.46%	98.61%	99.73%

Descriptive Statistics

Mean	0.561%
Standard Error	0.262%
Median	0.019%
Mode	-19.016%
Standard Deviation	8.300%
Sample Variance	68.892%
Kurtosis	3.39
Skewness	0.70
Range	81.286%
Minimum	-31.244%
Maximum	50.042%
Count	1005

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.458%	505	50.25%	3.245%
Negative	-5.395%	500	49.75%	-2.684%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	12.14%
12	1 Quarter	10.23%
52	1 Year	12.30%
156	3 Years	11.33%
260	5 Years	11.17%
520	10 Years	10.16%
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 2.25. Further, an Excess Kurtosis of 8.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.29%	0	0.00%	0.00%
-10.29% to -4.73%	0	0.00%	0.00%
-4.73% to 0.82%	0	0.00%	0.00%
0.82% to 6.38%	187	18.59%	18.59%
6.38% to 11.94%	447	44.43%	63.02%
11.94% to 17.49%	213	21.17%	84.19%
17.49% to 23.05%	80	7.95%	92.15%
23.05% to 28.60%	34	3.38%	95.53%
28.60% to 34.16%	27	2.68%	98.21%
Greater than 34.16%	18	1.79%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.53%	19.34%	83.10%	68.27%
±2σ	-2.88%	26.75%	95.13%	95.45%
±3σ	-10.29%	34.16%	98.21%	99.73%

Descriptive Statistics

Mean	11.936%
Standard Error	0.234%
Median	9.983%
Mode	5.003%
Standard Deviation	7.407%
Sample Variance	54.866%
Kurtosis	8.13
Skewness	2.25
Range	68.395%
Minimum	2.555%
Maximum	70.950%
Count	1006

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	11.936%	1006	100.00%	11.936%
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 0.45. Further, an Excess Kurtosis of 2.94 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -23.47%	6	0.60%	0.60%
-23.47% to -17.55%	11	1.09%	1.69%
-17.55% to -11.64%	37	3.68%	5.37%
-11.64% to -5.72%	132	13.12%	18.49%
-5.72% to 0.20%	339	33.70%	52.19%
0.20% to 6.11%	301	29.92%	82.11%
6.11% to 12.03%	122	12.13%	94.23%
12.03% to 17.95%	32	3.18%	97.42%
17.95% to 23.86%	16	1.59%	99.01%
Greater than 23.86%	10	0.99%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.69%	8.08%	76.34%	68.27%
±2σ	-15.58%	15.97%	94.33%	95.45%
±3σ	-23.47%	23.86%	98.41%	99.73%

Descriptive Statistics

Mean	0.195%
Standard Error	0.249%
Median	-0.031%
Mode	-3.024%
Standard Deviation	7.889%
Sample Variance	62.234%
Kurtosis	2.94
Skewness	0.45
Range	77.368%
Minimum	-30.319%
Maximum	47.049%
Count	1006

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.941%	501	49.80%	2.959%
Negative	-5.505%	505	50.20%	-2.763%
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 0.60. Further, an Excess Kurtosis of 1.11 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -48.51%	0	0.00%	0.00%
-48.51% to -35.81%	1	0.43%	0.43%
-35.81% to -23.11%	11	4.76%	5.19%
-23.11% to -10.41%	43	18.61%	23.81%
-10.41% to 2.29%	65	28.14%	51.95%
2.29% to 14.99%	65	28.14%	80.09%
14.99% to 27.70%	30	12.99%	93.07%
27.70% to 40.40%	9	3.90%	96.97%
40.40% to 53.10%	5	2.16%	99.13%
Greater than 53.10%	2	0.87%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.64%	19.23%	71.86%	68.27%
±2σ	-31.58%	36.16%	95.24%	95.45%
±3σ	-48.51%	53.10%	99.13%	99.73%

Descriptive Statistics

Mean	2.294%
Standard Error	1.114%
Median	1.553%
Mode	-25.117%
Standard Deviation	16.935%
Sample Variance	286.797%
Kurtosis	1.11
Skewness	0.60
Range	109.477%
Minimum	-36.777%
Maximum	72.700%
Count	231

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.819%	121	52.38%	7.762%
Negative	-11.485%	110	47.62%	-5.469%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	17.96%
12	1 Year	23.58%
36	3 Years	23.98%
60	5 Years	23.77%
120	10 Years	22.32%
240	20 Years	25.16%
600	50 Years	25.16%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.16. Further, an Excess Kurtosis of 6.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -19.82%	0	0.00%	0.00%
-19.82% to -7.60%	0	0.00%	0.00%
-7.60% to 4.63%	0	0.00%	0.00%
4.63% to 16.86%	43	18.53%	18.53%
16.86% to 29.09%	102	43.97%	62.50%
29.09% to 41.31%	56	24.14%	86.64%
41.31% to 53.54%	13	5.60%	92.24%
53.54% to 65.77%	8	3.45%	95.69%
65.77% to 77.99%	4	1.72%	97.41%
Greater than 77.99%	6	2.59%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.78%	45.39%	84.05%	68.27%
±2σ	-3.52%	61.69%	94.83%	95.45%
±3σ	-19.82%	77.99%	97.41%	99.73%

Descriptive Statistics

Mean	29.085%
Standard Error	1.070%
Median	25.204%
Mode	20.275%
Standard Deviation	16.303%
Sample Variance	265.803%
Kurtosis	6.57
Skewness	2.16
Range	106.808%
Minimum	6.085%
Maximum	112.893%
Count	232

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	29.085%	232	100.00%	29.085%
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 0.56. Further, an Excess Kurtosis of 0.57 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -49.39%	0	0.00%	0.00%
-49.39% to -36.89%	1	0.43%	0.43%
-36.89% to -24.39%	8	3.45%	3.88%
-24.39% to -11.89%	41	17.67%	21.55%
-11.89% to 0.61%	78	33.62%	55.17%
0.61% to 13.11%	54	23.28%	78.45%
13.11% to 25.61%	32	13.79%	92.24%
25.61% to 38.10%	13	5.60%	97.84%
38.10% to 50.60%	3	1.29%	99.14%
Greater than 50.60%	2	0.86%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.06%	17.27%	71.55%	68.27%
±2σ	-32.72%	33.94%	94.40%	95.45%
±3σ	-49.39%	50.60%	99.14%	99.73%

Descriptive Statistics

Mean	0.608%
Standard Error	1.094%
Median	-1.213%
Mode	-41.430%
Standard Deviation	16.665%
Sample Variance	277.735%
Kurtosis	0.57
Skewness	0.56
Range	98.842%
Minimum	-41.430%
Maximum	57.412%
Count	232

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.646%	108	46.55%	6.818%
Negative	-11.619%	124	53.45%	-6.210%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.45. Further, an Excess Kurtosis of 0.13 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -84.30%	0	0.00%	0.00%
-84.30% to -61.48%	0	0.00%	0.00%
-61.48% to -38.65%	3	3.90%	3.90%
-38.65% to -15.82%	14	18.18%	22.08%
-15.82% to 7.00%	25	32.47%	54.55%
7.00% to 29.83%	18	23.38%	77.92%
29.83% to 52.65%	10	12.99%	90.91%
52.65% to 75.48%	5	6.49%	97.40%
75.48% to 98.30%	2	2.60%	100.00%
Greater than 98.30%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.43%	37.44%	71.43%	68.27%
±2σ	-53.87%	67.87%	94.81%	95.45%
±3σ	-84.30%	98.30%	100.00%	99.73%

Descriptive Statistics

Mean	7.001%
Standard Error	3.468%
Median	2.804%
Mode	-57.904%
Standard Deviation	30.434%
Sample Variance	926.253%
Kurtosis	0.13
Skewness	0.45
Range	145.552%
Minimum	-57.904%
Maximum	87.648%
Count	77

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	28.691%	42	54.55%	15.650%
Negative	-19.026%	35	45.45%	-8.648%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	38.22%
12	3 Years	39.29%
20	5 Years	40.02%
40	10 Years	39.25%
80	20 Years	44.78%
200	50 Years	44.78%

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 5.84 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -49.62%	0	0.00%	0.00%
-49.62% to -22.58%	0	0.00%	0.00%
-22.58% to 4.47%	0	0.00%	0.00%
4.47% to 31.51%	10	12.82%	12.82%
31.51% to 58.55%	43	55.13%	67.95%
58.55% to 85.59%	13	16.67%	84.62%
85.59% to 112.64%	7	8.97%	93.59%
112.64% to 139.68%	2	2.56%	96.15%
139.68% to 166.72%	0	0.00%	96.15%
Greater than 166.72%	3	3.85%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	22.49%	94.61%	83.33%	68.27%
±2σ	-13.56%	130.67%	96.15%	95.45%
±3σ	-49.62%	166.72%	96.15%	99.73%

Descriptive Statistics

Mean	58.552%
Standard Error	4.083%
Median	46.939%
Mode	15.875%
Standard Deviation	36.057%
Sample Variance	1300.080%
Kurtosis	5.84
Skewness	2.24
Range	188.783%
Minimum	15.875%
Maximum	204.658%
Count	78

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	58.552%	78	100.00%	58.552%
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 1.89. Further, an Excess Kurtosis of 5.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -100.70%	0	0.00%	0.00%
-100.70% to -74.98%	0	0.00%	0.00%
-74.98% to -49.25%	0	0.00%	0.00%
-49.25% to -23.52%	18	23.08%	23.08%
-23.52% to 2.20%	25	32.05%	55.13%
2.20% to 27.93%	23	29.49%	84.62%
27.93% to 53.65%	9	11.54%	96.15%
53.65% to 79.38%	0	0.00%	96.15%
79.38% to 105.10%	1	1.28%	97.44%
Greater than 105.10%	2	2.56%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.10%	36.50%	83.33%	68.27%
±2σ	-66.40%	70.80%	96.15%	95.45%
±3σ	-100.70%	105.10%	97.44%	99.73%

Descriptive Statistics

Mean	2.201%
Standard Error	3.884%
Median	-3.280%
Mode	29.797%
Standard Deviation	34.301%
Sample Variance	1176.550%
Kurtosis	5.69
Skewness	1.89
Range	191.419%
Minimum	-47.597%
Maximum	143.822%
Count	78

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	28.633%	36	46.15%	13.215%
Negative	-20.455%	42	53.85%	-11.014%
Zero	0.000%	0	0.00%	0.000%

FSLR Deep Analytical Report