FTNT - 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	2.60%	1.86%	2.08%	3.33%	2.23%	2.44%	78.24	81.80	76.51	83.65
Weekly	5.62%	5.51%	5.72%	7.98%	4.91%	5.38%	76.17	84.03	72.52	88.25
Monthly	10.54%	9.34%	10.48%	17.05%	10.22%	11.19%	72.23	88.61	65.21	98.14
Quarterly	18.78%	13.87%	16.52%	28.79%	17.70%	19.39%	67.02	95.49	56.15	113.98
Annual	—	—	—	—	35.40%	38.77%	56.15	113.98	39.41	162.40
Option Time Horizon	—	—	—	—	13.62%	14.91%	69.82	91.67	60.93	105.04

Calculation Notes: Computed at 2026-02-22T14:22 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $80.00 | Strike (K): $80.00 (first OTM call ≥ spot) | Observed Mid-Price: $4.5000 (Bid $4.2000 / Ask $4.8000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 35.40% (CRR binomial tree, American, n=20 steps) | BS IV: 34.96% (European Black-Scholes) | Yahoo IV (Annual): 38.77% → 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 Fairly Symmetrical with a Skewness factor of -0.07. Further, an Excess Kurtosis of 14.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -7.67%	30	0.73%	0.73%
-7.67% to -5.72%	31	0.76%	1.49%
-5.72% to -3.77%	116	2.84%	4.33%
-3.77% to -1.82%	450	11.01%	15.34%
-1.82% to 0.13%	1391	34.03%	49.38%
0.13% to 2.08%	1451	35.50%	84.88%
2.08% to 4.03%	465	11.38%	96.26%
4.03% to 5.97%	94	2.30%	98.56%
5.97% to 7.92%	28	0.69%	99.24%
Greater than 7.92%	31	0.76%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.47%	2.73%	80.69%	68.27%
±2σ	-5.07%	5.32%	95.94%	95.45%
±3σ	-7.66%	7.92%	98.51%	99.73%

Descriptive Statistics

Mean	0.129%
Standard Error	0.041%
Median	0.165%
Mode	0.000%
Standard Deviation	2.598%
Sample Variance	6.750%
Kurtosis	14.55
Skewness	-0.07
Range	50.366%
Minimum	-25.066%
Maximum	25.300%
Count	4087

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	1.735%	2178	53.29%	0.925%
Negative	-1.727%	1883	46.07%	-0.796%
Zero	0.000%	26	0.64%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	3.62%
20	1 Month	4.09%
60	1 Quarter	2.89%
250	1 Year	3.22%
750	3 Years	2.94%
1,250	5 Years	3.33%
2,500	10 Years	3.13%
5,000	20 Years	3.30%
12,500	50 Years	3.30%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.79. Further, an Excess Kurtosis of 13.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -2.44%	0	0.00%	0.00%
-2.44% to -1.05%	0	0.00%	0.00%
-1.05% to 0.34%	0	0.00%	0.00%
0.34% to 1.74%	679	16.61%	16.61%
1.74% to 3.13%	1894	46.33%	62.94%
3.13% to 4.52%	900	22.02%	84.96%
4.52% to 5.92%	348	8.51%	93.47%
5.92% to 7.31%	134	3.28%	96.75%
7.31% to 8.70%	55	1.35%	98.09%
Greater than 8.70%	78	1.91%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.27%	4.99%	84.91%	68.27%
±2σ	-0.59%	6.85%	96.11%	95.45%
±3σ	-2.44%	8.70%	98.09%	99.73%

Descriptive Statistics

Mean	3.130%
Standard Error	0.029%
Median	2.651%
Mode	2.068%
Standard Deviation	1.858%
Sample Variance	3.453%
Kurtosis	13.50
Skewness	2.79
Range	21.053%
Minimum	0.604%
Maximum	21.657%
Count	4088

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.130%	4088	100.00%	3.130%
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 0.31. Further, an Excess Kurtosis of 4.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -6.26%	24	0.59%	0.59%
-6.26% to -4.70%	38	0.93%	1.52%
-4.70% to -3.14%	117	2.86%	4.38%
-3.14% to -1.58%	561	13.72%	18.10%
-1.58% to -0.03%	1402	34.30%	52.40%
-0.03% to 1.53%	1226	29.99%	82.39%
1.53% to 3.09%	479	11.72%	94.10%
3.09% to 4.65%	159	3.89%	97.99%
4.65% to 6.21%	46	1.13%	99.12%
Greater than 6.21%	36	0.88%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.10%	2.05%	76.57%	68.27%
±2σ	-4.18%	4.13%	95.28%	95.45%
±3σ	-6.26%	6.21%	98.53%	99.73%

Descriptive Statistics

Mean	-0.026%
Standard Error	0.033%
Median	-0.135%
Mode	0.000%
Standard Deviation	2.078%
Sample Variance	4.318%
Kurtosis	4.68
Skewness	0.31
Range	27.370%
Minimum	-12.188%
Maximum	15.182%
Count	4088

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	1.561%	1922	47.02%	0.734%
Negative	-1.444%	2152	52.64%	-0.760%
Zero	0.000%	14	0.34%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.04. Further, an Excess Kurtosis of 4.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.25%	8	0.94%	0.94%
-16.25% to -12.04%	8	0.94%	1.89%
-12.04% to -7.82%	35	4.13%	6.01%
-7.82% to -3.60%	86	10.14%	16.16%
-3.60% to 0.61%	279	32.90%	49.06%
0.61% to 4.83%	298	35.14%	84.20%
4.83% to 9.05%	94	11.08%	95.28%
9.05% to 13.27%	20	2.36%	97.64%
13.27% to 17.48%	15	1.77%	99.41%
Greater than 17.48%	5	0.59%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.01%	6.24%	78.54%	68.27%
±2σ	-10.63%	11.86%	94.34%	95.45%
±3σ	-16.25%	17.48%	98.47%	99.73%

Descriptive Statistics

Mean	0.615%
Standard Error	0.193%
Median	0.698%
Mode	-2.432%
Standard Deviation	5.623%
Sample Variance	31.617%
Kurtosis	4.27
Skewness	-0.04
Range	58.645%
Minimum	-25.759%
Maximum	32.886%
Count	848

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.890%	495	58.37%	2.271%
Negative	-4.001%	351	41.39%	-1.656%
Zero	0.000%	2	0.24%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	7.35%
12	1 Quarter	6.54%
52	1 Year	7.36%
156	3 Years	6.98%
260	5 Years	7.98%
520	10 Years	7.50%
1,040	20 Years	7.88%
2,600	50 Years	7.88%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.54. Further, an Excess Kurtosis of 8.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -8.27%	0	0.00%	0.00%
-8.27% to -4.14%	0	0.00%	0.00%
-4.14% to -0.00%	0	0.00%	0.00%
-0.00% to 4.13%	123	14.49%	14.49%
4.13% to 8.27%	447	52.65%	67.14%
8.27% to 12.41%	152	17.90%	85.04%
12.41% to 16.54%	65	7.66%	92.70%
16.54% to 20.68%	26	3.06%	95.76%
20.68% to 24.81%	15	1.77%	97.53%
Greater than 24.81%	21	2.47%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.76%	13.78%	86.69%	68.27%
±2σ	-2.76%	19.30%	95.41%	95.45%
±3σ	-8.27%	24.81%	97.53%	99.73%

Descriptive Statistics

Mean	8.270%
Standard Error	0.189%
Median	6.729%
Mode	3.428%
Standard Deviation	5.514%
Sample Variance	30.409%
Kurtosis	8.58
Skewness	2.54
Range	40.152%
Minimum	1.605%
Maximum	41.757%
Count	849

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.270%	849	100.00%	8.270%
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 1.20. Further, an Excess Kurtosis of 5.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -17.35%	3	0.35%	0.35%
-17.35% to -13.06%	4	0.47%	0.82%
-13.06% to -8.78%	29	3.42%	4.24%
-8.78% to -4.49%	102	12.01%	16.25%
-4.49% to -0.20%	334	39.34%	55.59%
-0.20% to 4.09%	250	29.45%	85.04%
4.09% to 8.38%	72	8.48%	93.52%
8.38% to 12.67%	34	4.00%	97.53%
12.67% to 16.95%	6	0.71%	98.23%
Greater than 16.95%	15	1.77%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.92%	5.52%	79.03%	68.27%
±2σ	-11.63%	11.24%	94.23%	95.45%
±3σ	-17.35%	16.95%	97.88%	99.73%

Descriptive Statistics

Mean	-0.199%
Standard Error	0.196%
Median	-0.675%
Mode	0.000%
Standard Deviation	5.718%
Sample Variance	32.695%
Kurtosis	5.99
Skewness	1.20
Range	59.305%
Minimum	-24.747%
Maximum	34.558%
Count	849

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.420%	355	41.81%	1.848%
Negative	-3.539%	491	57.83%	-2.047%
Zero	0.000%	3	0.35%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.08. Further, an Excess Kurtosis of 0.95 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -29.07%	0	0.00%	0.00%
-29.07% to -21.17%	4	2.05%	2.05%
-21.17% to -13.27%	9	4.62%	6.67%
-13.27% to -5.36%	28	14.36%	21.03%
-5.36% to 2.54%	56	28.72%	49.74%
2.54% to 10.44%	61	31.28%	81.03%
10.44% to 18.35%	25	12.82%	93.85%
18.35% to 26.25%	7	3.59%	97.44%
26.25% to 34.15%	4	2.05%	99.49%
Greater than 34.15%	1	0.51%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.00%	13.08%	74.36%	68.27%
±2σ	-18.53%	23.61%	93.33%	95.45%
±3σ	-29.07%	34.15%	99.49%	99.73%

Descriptive Statistics

Mean	2.540%
Standard Error	0.755%
Median	2.677%
Mode	-25.540%
Standard Deviation	10.537%
Sample Variance	111.027%
Kurtosis	0.95
Skewness	0.08
Range	62.802%
Minimum	-25.540%
Maximum	37.262%
Count	195

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.666%	122	62.56%	5.422%
Negative	-7.698%	73	37.44%	-2.882%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	13.00%
12	1 Year	14.81%
36	3 Years	15.43%
60	5 Years	17.05%
120	10 Years	16.38%
240	20 Years	17.12%
600	50 Years	17.12%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.35. Further, an Excess Kurtosis of 2.05 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -9.08%	0	0.00%	0.00%
-9.08% to -2.08%	0	0.00%	0.00%
-2.08% to 4.93%	0	0.00%	0.00%
4.93% to 11.93%	45	22.96%	22.96%
11.93% to 18.93%	75	38.27%	61.22%
18.93% to 25.94%	35	17.86%	79.08%
25.94% to 32.94%	25	12.76%	91.84%
32.94% to 39.95%	7	3.57%	95.41%
39.95% to 46.95%	6	3.06%	98.47%
Greater than 46.95%	3	1.53%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	9.60%	28.27%	73.98%	68.27%
±2σ	0.26%	37.61%	94.90%	95.45%
±3σ	-9.08%	46.95%	98.47%	99.73%

Descriptive Statistics

Mean	18.935%
Standard Error	0.667%
Median	16.816%
Mode	14.540%
Standard Deviation	9.338%
Sample Variance	87.191%
Kurtosis	2.05
Skewness	1.35
Range	50.990%
Minimum	6.389%
Maximum	57.379%
Count	196

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	18.935%	196	100.00%	18.935%
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 0.73. 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 -32.57%	0	0.00%	0.00%
-32.57% to -24.71%	1	0.51%	0.51%
-24.71% to -16.85%	6	3.06%	3.57%
-16.85% to -8.99%	36	18.37%	21.94%
-8.99% to -1.12%	70	35.71%	57.65%
-1.12% to 6.74%	44	22.45%	80.10%
6.74% to 14.60%	24	12.24%	92.35%
14.60% to 22.46%	7	3.57%	95.92%
22.46% to 30.32%	6	3.06%	98.98%
Greater than 30.32%	2	1.02%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.61%	9.36%	77.04%	68.27%
±2σ	-22.09%	19.84%	92.86%	95.45%
±3σ	-32.57%	30.33%	98.98%	99.73%

Descriptive Statistics

Mean	-1.124%
Standard Error	0.749%
Median	-2.311%
Mode	-1.479%
Standard Deviation	10.483%
Sample Variance	109.896%
Kurtosis	1.11
Skewness	0.73
Range	61.441%
Minimum	-27.927%
Maximum	33.514%
Count	196

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.015%	76	38.78%	3.496%
Negative	-7.546%	120	61.22%	-4.620%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.39. Further, an Excess Kurtosis of 0.21 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -48.66%	0	0.00%	0.00%
-48.66% to -34.58%	0	0.00%	0.00%
-34.58% to -20.49%	3	4.62%	4.62%
-20.49% to -6.41%	13	20.00%	24.62%
-6.41% to 7.68%	20	30.77%	55.38%
7.68% to 21.77%	12	18.46%	73.85%
21.77% to 35.85%	14	21.54%	95.38%
35.85% to 49.94%	2	3.08%	98.46%
49.94% to 64.02%	0	0.00%	98.46%
Greater than 64.02%	1	1.54%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.10%	26.46%	66.15%	68.27%
±2σ	-29.88%	45.24%	98.46%	95.45%
±3σ	-48.66%	64.02%	98.46%	99.73%

Descriptive Statistics

Mean	7.680%
Standard Error	2.330%
Median	5.315%
Mode	-28.027%
Standard Deviation	18.781%
Sample Variance	352.735%
Kurtosis	0.21
Skewness	0.39
Range	94.601%
Minimum	-28.027%
Maximum	66.574%
Count	65

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	19.211%	40	61.54%	11.822%
Negative	-10.770%	25	38.46%	-4.142%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	18.93%
12	3 Years	27.45%
20	5 Years	28.79%
40	10 Years	29.13%
80	20 Years	30.31%
200	50 Years	30.31%

High-to-Low 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 2.52 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -6.77%	0	0.00%	0.00%
-6.77% to 3.64%	0	0.00%	0.00%
3.64% to 14.04%	0	0.00%	0.00%
14.04% to 24.45%	14	21.21%	21.21%
24.45% to 34.85%	23	34.85%	56.06%
34.85% to 45.26%	15	22.73%	78.79%
45.26% to 55.66%	11	16.67%	95.45%
55.66% to 66.06%	1	1.52%	96.97%
66.06% to 76.47%	1	1.52%	98.48%
Greater than 76.47%	1	1.52%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	20.98%	48.72%	71.21%	68.27%
±2σ	7.10%	62.60%	96.97%	95.45%
±3σ	-6.77%	76.47%	98.48%	99.73%

Descriptive Statistics

Mean	34.850%
Standard Error	1.708%
Median	34.224%
Mode	14.447%
Standard Deviation	13.873%
Sample Variance	192.452%
Kurtosis	2.52
Skewness	1.08
Range	73.498%
Minimum	14.447%
Maximum	87.945%
Count	66

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	34.850%	66	100.00%	34.850%
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 0.50. Further, an Excess Kurtosis of 0.00 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -53.30%	0	0.00%	0.00%
-53.30% to -40.91%	0	0.00%	0.00%
-40.91% to -28.52%	1	1.52%	1.52%
-28.52% to -16.13%	17	25.76%	27.27%
-16.13% to -3.74%	19	28.79%	56.06%
-3.74% to 8.65%	16	24.24%	80.30%
8.65% to 21.05%	7	10.61%	90.91%
21.05% to 33.44%	4	6.06%	96.97%
33.44% to 45.83%	2	3.03%	100.00%
Greater than 45.83%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.26%	12.78%	68.18%	68.27%
±2σ	-36.78%	29.31%	93.94%	95.45%
±3σ	-53.30%	45.83%	100.00%	99.73%

Descriptive Statistics

Mean	-3.737%
Standard Error	2.034%
Median	-4.365%
Mode	-39.667%
Standard Deviation	16.522%
Sample Variance	272.972%
Kurtosis	0.00
Skewness	0.50
Range	78.317%
Minimum	-39.667%
Maximum	38.650%
Count	66

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	13.790%	24	36.36%	5.015%
Negative	-13.752%	42	63.64%	-8.751%
Zero	0.000%	0	0.00%	0.000%

FTNT Deep Analytical Report