FSLY - 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	5.49%	3.59%	4.20%	6.30%	7.17%	7.20%	25.60	29.54	23.83	31.74
Weekly	13.68%	12.75%	12.81%	15.11%	15.79%	15.86%	23.48	32.20	20.05	37.71
Monthly	27.16%	28.64%	22.99%	33.27%	32.87%	33.01%	19.80	38.20	14.25	53.07
Quarterly	82.92%	74.77%	43.90%	63.10%	56.93%	57.18%	15.56	48.59	8.81	85.87
Annual	—	—	—	—	113.86%	114.36%	8.81	85.87	2.82	268.10
Option Time Horizon	—	—	—	—	42.98%	43.16%	17.89	42.26	11.64	64.96

Calculation Notes: Computed at 2026-03-23T16:35 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $27.50 | Strike (K): $30.00 (first OTM call ≥ spot) | Observed Mid-Price: $3.8500 (Bid $3.7000 / Ask $4.0000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 113.86% (CRR binomial tree, American, n=20 steps) | BS IV: 115.21% (European Black-Scholes) | Yahoo IV (Annual): 114.36% → 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 1.59. Further, an Excess Kurtosis of 24.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.33%	10	0.58%	0.58%
-16.33% to -12.21%	12	0.70%	1.28%
-12.21% to -8.09%	39	2.27%	3.55%
-8.09% to -3.97%	203	11.80%	15.35%
-3.97% to 0.15%	624	36.28%	51.63%
0.15% to 4.28%	567	32.97%	84.59%
4.28% to 8.40%	193	11.22%	95.81%
8.40% to 12.52%	43	2.50%	98.31%
12.52% to 16.64%	17	0.99%	99.30%
Greater than 16.64%	12	0.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.34%	5.65%	80.29%	68.27%
±2σ	-10.83%	11.14%	96.51%	95.45%
±3σ	-16.33%	16.64%	98.72%	99.73%

Descriptive Statistics

Mean	0.155%
Standard Error	0.132%
Median	0.000%
Mode	0.000%
Standard Deviation	5.494%
Sample Variance	30.180%
Kurtosis	24.39
Skewness	1.59
Range	105.921%
Minimum	-33.633%
Maximum	72.288%
Count	1720

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.833%	850	49.42%	1.894%
Negative	-3.491%	857	49.83%	-1.739%
Zero	0.000%	13	0.76%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	10.83%
20	1 Month	9.92%
60	1 Quarter	8.36%
250	1 Year	6.08%
750	3 Years	5.76%
1,250	5 Years	6.30%
2,500	10 Years	6.80%
5,000	20 Years	6.80%
12,500	50 Years	6.80%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.27. Further, an Excess Kurtosis of 8.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -4.25%	0	0.00%	0.00%
-4.25% to -1.56%	0	0.00%	0.00%
-1.56% to 1.12%	0	0.00%	0.00%
1.12% to 3.81%	343	19.93%	19.93%
3.81% to 6.50%	717	41.66%	61.59%
6.50% to 9.19%	379	22.02%	83.61%
9.19% to 11.88%	160	9.30%	92.91%
11.88% to 14.57%	66	3.83%	96.75%
14.57% to 17.26%	29	1.69%	98.43%
Greater than 17.26%	27	1.57%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.92%	10.09%	81.06%	68.27%
±2σ	-0.67%	13.68%	95.53%	95.45%
±3σ	-4.25%	17.26%	98.43%	99.73%

Descriptive Statistics

Mean	6.504%
Standard Error	0.086%
Median	5.716%
Mode	2.632%
Standard Deviation	3.586%
Sample Variance	12.860%
Kurtosis	8.97
Skewness	2.27
Range	31.871%
Minimum	1.681%
Maximum	33.552%
Count	1721

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.504%	1721	100.00%	6.504%
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 -0.07. Further, an Excess Kurtosis of 1.32 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.63%	10	0.58%	0.58%
-12.63% to -9.48%	29	1.69%	2.27%
-9.48% to -6.34%	75	4.36%	6.62%
-6.34% to -3.19%	205	11.91%	18.54%
-3.19% to -0.04%	536	31.14%	49.68%
-0.04% to 3.11%	527	30.62%	80.30%
3.11% to 6.26%	235	13.65%	93.96%
6.26% to 9.41%	76	4.42%	98.37%
9.41% to 12.56%	22	1.28%	99.65%
Greater than 12.56%	6	0.35%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.24%	4.16%	73.79%	68.27%
±2σ	-8.44%	8.36%	94.13%	95.45%
±3σ	-12.63%	12.56%	99.07%	99.73%

Descriptive Statistics

Mean	-0.037%
Standard Error	0.101%
Median	0.000%
Mode	0.000%
Standard Deviation	4.199%
Sample Variance	17.634%
Kurtosis	1.32
Skewness	-0.07
Range	34.545%
Minimum	-15.898%
Maximum	18.647%
Count	1721

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.163%	845	49.10%	1.553%
Negative	-3.196%	856	49.74%	-1.590%
Zero	0.000%	20	1.16%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.03. Further, an Excess Kurtosis of 13.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -40.16%	0	0.00%	0.00%
-40.16% to -29.90%	7	1.96%	1.96%
-29.90% to -19.64%	4	1.12%	3.08%
-19.64% to -9.38%	44	12.32%	15.41%
-9.38% to 0.88%	138	38.66%	54.06%
0.88% to 11.14%	117	32.77%	86.83%
11.14% to 21.40%	30	8.40%	95.24%
21.40% to 31.66%	8	2.24%	97.48%
31.66% to 41.92%	4	1.12%	98.60%
Greater than 41.92%	5	1.40%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.80%	14.56%	82.91%	68.27%
±2σ	-26.48%	28.24%	94.96%	95.45%
±3σ	-40.16%	41.92%	98.60%	99.73%

Descriptive Statistics

Mean	0.879%
Standard Error	0.724%
Median	0.417%
Mode	-3.319%
Standard Deviation	13.679%
Sample Variance	187.102%
Kurtosis	13.43
Skewness	2.03
Range	146.179%
Minimum	-36.775%
Maximum	109.404%
Count	357

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.406%	185	51.82%	4.874%
Negative	-8.391%	170	47.62%	-3.996%
Zero	0.000%	2	0.56%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	23.74%
12	1 Quarter	25.49%
52	1 Year	16.26%
156	3 Years	14.39%
260	5 Years	15.11%
520	10 Years	16.48%
1,040	20 Years	16.48%
2,600	50 Years	16.48%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.02. Further, an Excess Kurtosis of 14.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -20.06%	0	0.00%	0.00%
-20.06% to -10.50%	0	0.00%	0.00%
-10.50% to -0.94%	0	0.00%	0.00%
-0.94% to 8.62%	48	13.41%	13.41%
8.62% to 18.18%	189	52.79%	66.20%
18.18% to 27.74%	74	20.67%	86.87%
27.74% to 37.30%	23	6.42%	93.30%
37.30% to 46.86%	11	3.07%	96.37%
46.86% to 56.42%	5	1.40%	97.77%
Greater than 56.42%	8	2.23%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.43%	30.92%	87.43%	68.27%
±2σ	-7.31%	43.67%	96.09%	95.45%
±3σ	-20.06%	56.42%	97.77%	99.73%

Descriptive Statistics

Mean	18.179%
Standard Error	0.674%
Median	14.628%
Mode	12.042%
Standard Deviation	12.746%
Sample Variance	162.471%
Kurtosis	14.36
Skewness	3.02
Range	113.788%
Minimum	4.705%
Maximum	118.493%
Count	358

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	18.179%	358	100.00%	18.179%
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 0.80. Further, an Excess Kurtosis of 4.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -37.70%	1	0.28%	0.28%
-37.70% to -28.09%	6	1.68%	1.96%
-28.09% to -18.49%	8	2.23%	4.19%
-18.49% to -8.88%	40	11.17%	15.36%
-8.88% to 0.72%	141	39.39%	54.75%
0.72% to 10.33%	105	29.33%	84.08%
10.33% to 19.93%	41	11.45%	95.53%
19.93% to 29.53%	7	1.96%	97.49%
29.53% to 39.14%	1	0.28%	97.77%
Greater than 39.14%	8	2.23%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.08%	13.53%	79.89%	68.27%
±2σ	-24.89%	26.33%	94.97%	95.45%
±3σ	-37.70%	39.14%	97.49%	99.73%

Descriptive Statistics

Mean	0.721%
Standard Error	0.677%
Median	-0.122%
Mode	-0.995%
Standard Deviation	12.806%
Sample Variance	163.994%
Kurtosis	4.61
Skewness	0.80
Range	113.919%
Minimum	-51.835%
Maximum	62.084%
Count	358

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.692%	175	48.88%	4.738%
Negative	-7.945%	181	50.56%	-4.017%
Zero	0.000%	2	0.56%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.68. Further, an Excess Kurtosis of 4.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -78.13%	0	0.00%	0.00%
-78.13% to -57.76%	0	0.00%	0.00%
-57.76% to -37.39%	1	1.22%	1.22%
-37.39% to -17.02%	15	18.29%	19.51%
-17.02% to 3.35%	34	41.46%	60.98%
3.35% to 23.72%	16	19.51%	80.49%
23.72% to 44.09%	11	13.41%	93.90%
44.09% to 64.46%	2	2.44%	96.34%
64.46% to 84.83%	0	0.00%	96.34%
Greater than 84.83%	3	3.66%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.81%	30.51%	79.27%	68.27%
±2σ	-50.97%	57.67%	96.34%	95.45%
±3σ	-78.13%	84.83%	96.34%	99.73%

Descriptive Statistics

Mean	3.349%
Standard Error	2.999%
Median	-3.031%
Mode	-38.024%
Standard Deviation	27.160%
Sample Variance	737.671%
Kurtosis	4.36
Skewness	1.68
Range	144.727%
Minimum	-38.024%
Maximum	106.703%
Count	82

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	26.158%	35	42.68%	11.165%
Negative	-13.637%	47	57.32%	-7.816%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	69.19%
12	1 Year	38.94%
36	3 Years	32.47%
60	5 Years	33.27%
120	10 Years	37.19%
240	20 Years	37.19%
600	50 Years	37.19%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.94. Further, an Excess Kurtosis of 4.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -40.04%	0	0.00%	0.00%
-40.04% to -18.56%	0	0.00%	0.00%
-18.56% to 2.92%	0	0.00%	0.00%
2.92% to 24.40%	15	18.07%	18.07%
24.40% to 45.88%	41	49.40%	67.47%
45.88% to 67.36%	14	16.87%	84.34%
67.36% to 88.84%	7	8.43%	92.77%
88.84% to 110.33%	1	1.20%	93.98%
110.33% to 131.81%	3	3.61%	97.59%
Greater than 131.81%	2	2.41%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.24%	74.52%	84.34%	68.27%
±2σ	-11.40%	103.17%	92.77%	95.45%
±3σ	-40.04%	131.81%	97.59%	99.73%

Descriptive Statistics

Mean	45.882%
Standard Error	3.144%
Median	38.633%
Mode	9.104%
Standard Deviation	28.642%
Sample Variance	820.367%
Kurtosis	4.19
Skewness	1.94
Range	148.456%
Minimum	9.104%
Maximum	157.560%
Count	83

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	45.882%	83	100.00%	45.882%
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 0.18. Further, an Excess Kurtosis of 0.39 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -66.30%	0	0.00%	0.00%
-66.30% to -49.06%	2	2.41%	2.41%
-49.06% to -31.81%	2	2.41%	4.82%
-31.81% to -14.57%	13	15.66%	20.48%
-14.57% to 2.67%	25	30.12%	50.60%
2.67% to 19.92%	24	28.92%	79.52%
19.92% to 37.16%	11	13.25%	92.77%
37.16% to 54.41%	4	4.82%	97.59%
54.41% to 71.65%	2	2.41%	100.00%
Greater than 71.65%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.32%	25.67%	73.49%	68.27%
±2σ	-43.31%	48.66%	91.57%	95.45%
±3σ	-66.30%	71.65%	100.00%	99.73%

Descriptive Statistics

Mean	2.674%
Standard Error	2.524%
Median	2.564%
Mode	-51.935%
Standard Deviation	22.992%
Sample Variance	528.654%
Kurtosis	0.39
Skewness	0.18
Range	114.307%
Minimum	-51.935%
Maximum	62.372%
Count	83

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	18.008%	47	56.63%	10.197%
Negative	-17.346%	36	43.37%	-7.523%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.94. Further, an Excess Kurtosis of 9.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -231.87%	0	0.00%	0.00%
-231.87% to -169.68%	0	0.00%	0.00%
-169.68% to -107.49%	0	0.00%	0.00%
-107.49% to -45.30%	0	0.00%	0.00%
-45.30% to 16.89%	17	62.96%	62.96%
16.89% to 79.08%	8	29.63%	92.59%
79.08% to 141.27%	0	0.00%	92.59%
141.27% to 203.46%	1	3.70%	96.30%
203.46% to 265.65%	0	0.00%	96.30%
Greater than 265.65%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-66.03%	99.81%	92.59%	68.27%
±2σ	-148.95%	182.73%	92.59%	95.45%
±3σ	-231.87%	265.65%	96.30%	99.73%

Descriptive Statistics

Mean	16.889%
Standard Error	15.958%
Median	-3.821%
Mode	-45.081%
Standard Deviation	82.920%
Sample Variance	6875.743%
Kurtosis	9.87
Skewness	2.94
Range	390.762%
Minimum	-45.081%
Maximum	345.681%
Count	27

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	66.065%	13	48.15%	31.809%
Negative	-28.775%	14	51.85%	-14.920%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	92.86%
12	3 Years	69.36%
20	5 Years	63.10%
40	10 Years	77.03%
80	20 Years	77.03%
200	50 Years	77.03%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.76. Further, an Excess Kurtosis of 9.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -120.28%	0	0.00%	0.00%
-120.28% to -64.20%	0	0.00%	0.00%
-64.20% to -8.12%	0	0.00%	0.00%
-8.12% to 47.96%	3	10.71%	10.71%
47.96% to 104.04%	15	53.57%	64.29%
104.04% to 160.12%	8	28.57%	92.86%
160.12% to 216.20%	0	0.00%	92.86%
216.20% to 272.28%	1	3.57%	96.43%
272.28% to 328.36%	0	0.00%	96.43%
Greater than 328.36%	1	3.57%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	29.27%	178.81%	92.86%	68.27%
±2σ	-45.51%	253.58%	92.86%	95.45%
±3σ	-120.28%	328.36%	96.43%	99.73%

Descriptive Statistics

Mean	104.038%
Standard Error	14.131%
Median	84.088%
Mode	45.485%
Standard Deviation	74.773%
Sample Variance	5591.062%
Kurtosis	9.17
Skewness	2.76
Range	355.001%
Minimum	45.485%
Maximum	400.486%
Count	28

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	104.038%	28	100.00%	104.038%
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 0.05. Further, an Excess Kurtosis of -0.71 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -122.06%	0	0.00%	0.00%
-122.06% to -89.14%	0	0.00%	0.00%
-89.14% to -56.22%	2	7.14%	7.14%
-56.22% to -23.29%	4	14.29%	21.43%
-23.29% to 9.63%	10	35.71%	57.14%
9.63% to 42.56%	5	17.86%	75.00%
42.56% to 75.48%	5	17.86%	92.86%
75.48% to 108.41%	2	7.14%	100.00%
108.41% to 141.34%	0	0.00%	100.00%
Greater than 141.34%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-34.27%	53.53%	64.29%	68.27%
±2σ	-78.16%	97.44%	96.43%	95.45%
±3σ	-122.06%	141.33%	100.00%	99.73%

Descriptive Statistics

Mean	9.635%
Standard Error	8.296%
Median	1.710%
Mode	-78.215%
Standard Deviation	43.900%
Sample Variance	1927.219%
Kurtosis	-0.71
Skewness	0.05
Range	163.184%
Minimum	-78.215%
Maximum	84.969%
Count	28

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	45.412%	14	50.00%	22.706%
Negative	-26.143%	14	50.00%	-13.072%
Zero	0.000%	0	0.00%	0.000%

FSLY Deep Analytical Report