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%	3.57%	4.17%	6.25%	5.36%	5.43%	17.14	19.08	16.24	20.13
Weekly	13.64%	12.79%	12.77%	15.03%	11.81%	11.96%	16.07	20.35	14.28	22.90
Monthly	26.40%	28.80%	22.72%	32.82%	24.58%	24.89%	14.14	23.12	11.06	29.56
Quarterly	76.16%	68.80%	42.87%	58.54%	42.57%	43.12%	11.81	27.67	7.72	42.36
Annual	—	—	—	—	85.14%	86.23%	7.72	42.36	3.29	99.24
Option Time Horizon	—	—	—	—	27.83%	28.19%	13.69	23.88	10.36	31.54

Calculation Notes: Computed at 2026-02-22T14:19 UTC | Reference Contract: Call option expiring 2026-04-02 (39 days) | Spot Price (S): $18.08 | Strike (K): $19.00 (first OTM call ≥ spot) | Observed Mid-Price: $1.6750 (Bid $1.4500 / Ask $1.9000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 85.14% (CRR binomial tree, American, n=20 steps) | BS IV: 86.09% (European Black-Scholes) | Yahoo IV (Annual): 86.23% → 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 1.61. Further, an Excess Kurtosis of 24.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.34%	10	0.59%	0.59%
-16.34% to -12.22%	12	0.71%	1.29%
-12.22% to -8.11%	37	2.18%	3.47%
-8.11% to -3.99%	200	11.77%	15.24%
-3.99% to 0.13%	614	36.14%	51.38%
0.13% to 4.25%	565	33.25%	84.64%
4.25% to 8.37%	192	11.30%	95.94%
8.37% to 12.48%	40	2.35%	98.29%
12.48% to 16.60%	17	1.00%	99.29%
Greater than 16.60%	12	0.71%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.36%	5.62%	80.46%	68.27%
±2σ	-10.85%	11.11%	96.41%	95.45%
±3σ	-16.34%	16.60%	98.71%	99.73%

Descriptive Statistics

Mean	0.130%
Standard Error	0.133%
Median	0.000%
Mode	0.000%
Standard Deviation	5.490%
Sample Variance	30.137%
Kurtosis	24.80
Skewness	1.61
Range	105.921%
Minimum	-33.633%
Maximum	72.288%
Count	1699

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.804%	837	49.26%	1.874%
Negative	-3.491%	849	49.97%	-1.744%
Zero	0.000%	13	0.77%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	13.59%
20	1 Month	11.24%
60	1 Quarter	6.86%
250	1 Year	5.71%
750	3 Years	5.66%
1,250	5 Years	6.25%
2,500	10 Years	6.77%
5,000	20 Years	6.77%
12,500	50 Years	6.77%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.32. Further, an Excess Kurtosis of 9.35 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 -1.58%	0	0.00%	0.00%
-1.58% to 1.10%	0	0.00%	0.00%
1.10% to 3.78%	334	19.65%	19.65%
3.78% to 6.46%	717	42.18%	61.82%
6.46% to 9.14%	376	22.12%	83.94%
9.14% to 11.82%	155	9.12%	93.06%
11.82% to 14.50%	60	3.53%	96.59%
14.50% to 17.18%	31	1.82%	98.41%
Greater than 17.18%	27	1.59%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.89%	10.03%	81.35%	68.27%
±2σ	-0.68%	13.61%	95.65%	95.45%
±3σ	-4.26%	17.18%	98.41%	99.73%

Descriptive Statistics

Mean	6.461%
Standard Error	0.087%
Median	5.674%
Mode	2.632%
Standard Deviation	3.572%
Sample Variance	12.757%
Kurtosis	9.35
Skewness	2.32
Range	31.871%
Minimum	1.681%
Maximum	33.552%
Count	1700

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.461%	1700	100.00%	6.461%
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 1.37 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.51%	10	0.59%	0.59%
-12.51% to -9.38%	27	1.59%	2.18%
-9.38% to -6.26%	73	4.29%	6.47%
-6.26% to -3.13%	211	12.41%	18.88%
-3.13% to -0.00%	520	30.59%	49.47%
-0.00% to 3.12%	525	30.88%	80.35%
3.12% to 6.25%	228	13.41%	93.76%
6.25% to 9.38%	79	4.65%	98.41%
9.38% to 12.50%	21	1.24%	99.65%
Greater than 12.50%	6	0.35%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.17%	4.17%	73.59%	68.27%
±2σ	-8.34%	8.33%	94.29%	95.45%
±3σ	-12.51%	12.50%	99.06%	99.73%

Descriptive Statistics

Mean	-0.003%
Standard Error	0.101%
Median	0.000%
Mode	0.000%
Standard Deviation	4.169%
Sample Variance	17.379%
Kurtosis	1.37
Skewness	-0.06
Range	34.545%
Minimum	-15.898%
Maximum	18.647%
Count	1700

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.156%	839	49.35%	1.558%
Negative	-3.155%	841	49.47%	-1.561%
Zero	0.000%	20	1.18%	0.000%

Close-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 13.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -40.18%	0	0.00%	0.00%
-40.18% to -29.95%	7	1.98%	1.98%
-29.95% to -19.71%	3	0.85%	2.83%
-19.71% to -9.48%	44	12.46%	15.30%
-9.48% to 0.75%	133	37.68%	52.97%
0.75% to 10.98%	120	33.99%	86.97%
10.98% to 21.22%	30	8.50%	95.47%
21.22% to 31.45%	7	1.98%	97.45%
31.45% to 41.68%	4	1.13%	98.58%
Greater than 41.68%	5	1.42%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.89%	14.40%	83.57%	68.27%
±2σ	-26.54%	28.04%	94.90%	95.45%
±3σ	-40.18%	41.68%	98.58%	99.73%

Descriptive Statistics

Mean	0.752%
Standard Error	0.726%
Median	0.304%
Mode	-3.319%
Standard Deviation	13.644%
Sample Variance	186.147%
Kurtosis	13.83
Skewness	2.08
Range	146.179%
Minimum	-36.775%
Maximum	109.404%
Count	353

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.316%	181	51.27%	4.777%
Negative	-8.357%	170	48.16%	-4.025%
Zero	0.000%	2	0.57%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	42.10%
12	1 Quarter	21.35%
52	1 Year	15.28%
156	3 Years	14.20%
260	5 Years	15.03%
520	10 Years	16.39%
1,040	20 Years	16.39%
2,600	50 Years	16.39%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.04. Further, an Excess Kurtosis of 14.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -20.25%	0	0.00%	0.00%
-20.25% to -10.66%	0	0.00%	0.00%
-10.66% to -1.07%	0	0.00%	0.00%
-1.07% to 8.52%	45	12.71%	12.71%
8.52% to 18.11%	191	53.95%	66.67%
18.11% to 27.69%	73	20.62%	87.29%
27.69% to 37.28%	21	5.93%	93.22%
37.28% to 46.87%	11	3.11%	96.33%
46.87% to 56.46%	5	1.41%	97.74%
Greater than 56.46%	8	2.26%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.32%	30.89%	87.29%	68.27%
±2σ	-7.47%	43.68%	96.05%	95.45%
±3σ	-20.25%	56.46%	97.74%	99.73%

Descriptive Statistics

Mean	18.105%
Standard Error	0.680%
Median	14.554%
Mode	12.042%
Standard Deviation	12.786%
Sample Variance	163.488%
Kurtosis	14.41
Skewness	3.04
Range	113.788%
Minimum	4.705%
Maximum	118.493%
Count	354

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	18.105%	354	100.00%	18.105%
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 0.81. Further, an Excess Kurtosis of 4.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -37.47%	1	0.28%	0.28%
-37.47% to -27.89%	6	1.69%	1.98%
-27.89% to -18.31%	8	2.26%	4.24%
-18.31% to -8.73%	41	11.58%	15.82%
-8.73% to 0.85%	138	38.98%	54.80%
0.85% to 10.43%	103	29.10%	83.90%
10.43% to 20.01%	41	11.58%	95.48%
20.01% to 29.59%	7	1.98%	97.46%
29.59% to 39.17%	1	0.28%	97.74%
Greater than 39.17%	8	2.26%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.92%	13.62%	80.23%	68.27%
±2σ	-24.69%	26.39%	94.92%	95.45%
±3σ	-37.47%	39.17%	97.46%	99.73%

Descriptive Statistics

Mean	0.851%
Standard Error	0.679%
Median	-0.047%
Mode	-0.995%
Standard Deviation	12.772%
Sample Variance	163.114%
Kurtosis	4.70
Skewness	0.81
Range	113.919%
Minimum	-51.835%
Maximum	62.084%
Count	354

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.656%	175	49.44%	4.773%
Negative	-7.844%	177	50.00%	-3.922%
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 1.66. Further, an Excess Kurtosis of 4.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -76.50%	0	0.00%	0.00%
-76.50% to -56.70%	0	0.00%	0.00%
-56.70% to -36.91%	1	1.23%	1.23%
-36.91% to -17.11%	15	18.52%	19.75%
-17.11% to 2.69%	33	40.74%	60.49%
2.69% to 22.49%	17	20.99%	81.48%
22.49% to 42.29%	11	13.58%	95.06%
42.29% to 62.09%	1	1.23%	96.30%
62.09% to 81.89%	0	0.00%	96.30%
Greater than 81.89%	3	3.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.71%	29.09%	79.01%	68.27%
±2σ	-50.10%	55.49%	96.30%	95.45%
±3σ	-76.50%	81.89%	96.30%	99.73%

Descriptive Statistics

Mean	2.691%
Standard Error	2.933%
Median	-3.041%
Mode	-38.024%
Standard Deviation	26.398%
Sample Variance	696.880%
Kurtosis	4.28
Skewness	1.66
Range	137.285%
Minimum	-38.024%
Maximum	99.261%
Count	81

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	25.261%	34	41.98%	10.603%
Negative	-13.637%	47	58.02%	-7.913%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	59.34%
12	1 Year	35.98%
36	3 Years	32.04%
60	5 Years	32.82%
120	10 Years	36.99%
240	20 Years	36.99%
600	50 Years	36.99%

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

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -40.63%	0	0.00%	0.00%
-40.63% to -19.03%	0	0.00%	0.00%
-19.03% to 2.58%	0	0.00%	0.00%
2.58% to 24.18%	15	18.29%	18.29%
24.18% to 45.78%	41	50.00%	68.29%
45.78% to 67.39%	13	15.85%	84.15%
67.39% to 88.99%	7	8.54%	92.68%
88.99% to 110.59%	1	1.22%	93.90%
110.59% to 132.19%	3	3.66%	97.56%
Greater than 132.19%	2	2.44%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.98%	74.59%	84.15%	68.27%
±2σ	-11.82%	103.39%	92.68%	95.45%
±3σ	-40.63%	132.19%	97.56%	99.73%

Descriptive Statistics

Mean	45.783%
Standard Error	3.181%
Median	38.251%
Mode	9.104%
Standard Deviation	28.804%
Sample Variance	829.682%
Kurtosis	4.15
Skewness	1.94
Range	148.456%
Minimum	9.104%
Maximum	157.560%
Count	82

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	45.783%	82	100.00%	45.783%
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 0.20. Further, an Excess Kurtosis of 0.44 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -65.02%	0	0.00%	0.00%
-65.02% to -47.98%	3	3.66%	3.66%
-47.98% to -30.94%	1	1.22%	4.88%
-30.94% to -13.90%	12	14.63%	19.51%
-13.90% to 3.14%	26	31.71%	51.22%
3.14% to 20.17%	23	28.05%	79.27%
20.17% to 37.21%	11	13.41%	92.68%
37.21% to 54.25%	4	4.88%	97.56%
54.25% to 71.29%	2	2.44%	100.00%
Greater than 71.29%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.58%	25.85%	73.17%	68.27%
±2σ	-42.30%	48.57%	91.46%	95.45%
±3σ	-65.02%	71.29%	100.00%	99.73%

Descriptive Statistics

Mean	3.136%
Standard Error	2.509%
Median	2.681%
Mode	-51.275%
Standard Deviation	22.717%
Sample Variance	516.071%
Kurtosis	0.44
Skewness	0.20
Range	113.647%
Minimum	-51.275%
Maximum	62.372%
Count	82

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	18.008%	47	57.32%	10.322%
Negative	-16.834%	35	42.68%	-7.185%
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 3.42. Further, an Excess Kurtosis of 14.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -215.48%	0	0.00%	0.00%
-215.48% to -158.36%	0	0.00%	0.00%
-158.36% to -101.24%	0	0.00%	0.00%
-101.24% to -44.12%	2	7.41%	7.41%
-44.12% to 13.00%	15	55.56%	62.96%
13.00% to 70.12%	7	25.93%	88.89%
70.12% to 127.24%	2	7.41%	96.30%
127.24% to 184.35%	0	0.00%	96.30%
184.35% to 241.47%	0	0.00%	96.30%
Greater than 241.47%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-63.16%	89.16%	92.59%	68.27%
±2σ	-139.32%	165.31%	96.30%	95.45%
±3σ	-215.48%	241.47%	96.30%	99.73%

Descriptive Statistics

Mean	12.997%
Standard Error	14.657%
Median	-3.821%
Mode	-45.081%
Standard Deviation	76.159%
Sample Variance	5800.212%
Kurtosis	14.45
Skewness	3.42
Range	390.762%
Minimum	-45.081%
Maximum	345.681%
Count	27

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	57.982%	13	48.15%	27.917%
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	70.07%
12	3 Years	61.76%
20	5 Years	58.54%
40	10 Years	73.65%
80	20 Years	73.65%
200	50 Years	73.65%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.24. Further, an Excess Kurtosis of 13.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -106.18%	0	0.00%	0.00%
-106.18% to -54.57%	0	0.00%	0.00%
-54.57% to -2.97%	0	0.00%	0.00%
-2.97% to 48.63%	4	14.29%	14.29%
48.63% to 100.23%	14	50.00%	64.29%
100.23% to 151.84%	8	28.57%	92.86%
151.84% to 203.44%	1	3.57%	96.43%
203.44% to 255.04%	0	0.00%	96.43%
255.04% to 306.65%	0	0.00%	96.43%
Greater than 306.65%	1	3.57%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	31.43%	169.04%	96.43%	68.27%
±2σ	-37.37%	237.84%	96.43%	95.45%
±3σ	-106.18%	306.65%	96.43%	99.73%

Descriptive Statistics

Mean	100.235%
Standard Error	13.003%
Median	84.088%
Mode	45.485%
Standard Deviation	68.804%
Sample Variance	4733.975%
Kurtosis	13.59
Skewness	3.24
Range	355.001%
Minimum	45.485%
Maximum	400.486%
Count	28

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	100.235%	28	100.00%	100.235%
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 0.13. Further, an Excess Kurtosis of -0.77 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -118.33%	0	0.00%	0.00%
-118.33% to -86.18%	0	0.00%	0.00%
-86.18% to -54.03%	1	3.57%	3.57%
-54.03% to -21.88%	5	17.86%	21.43%
-21.88% to 10.27%	10	35.71%	57.14%
10.27% to 42.42%	5	17.86%	75.00%
42.42% to 74.57%	5	17.86%	92.86%
74.57% to 106.72%	2	7.14%	100.00%
106.72% to 138.87%	0	0.00%	100.00%
Greater than 138.87%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.60%	53.14%	64.29%	68.27%
±2σ	-75.47%	96.01%	96.43%	95.45%
±3σ	-118.33%	138.87%	100.00%	99.73%

Descriptive Statistics

Mean	10.270%
Standard Error	8.101%
Median	1.710%
Mode	-78.215%
Standard Deviation	42.868%
Sample Variance	1837.690%
Kurtosis	-0.77
Skewness	0.13
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	-24.873%	14	50.00%	-12.436%
Zero	0.000%	0	0.00%	0.000%

FSLY Deep Analytical Report