Markets Data Volatility Heatmap Portfolio Calculator

GL Deep Analytical Report

Globe Life Inc. | Category: Equity Large Cap | Ann. Div Yield: 0.75% ($1.08) | Last Updated: 2026-02-22 | Data Range: 1980-10-01 → 2026-02-01 (545 months)
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 1.98% 2.15% 1.82% 2.28% 1.67% 1.95% 142.00 146.82 139.65 149.29
Weekly 4.32% 5.80% 4.71% 5.27% 3.68% 4.29% 139.18 149.80 134.15 155.41
Monthly 8.36% 14.55% 10.97% 10.94% 7.65% 8.92% 133.75 155.87 123.90 168.27
Quarterly 12.46% 25.44% 15.02% 20.20% 13.25% 15.45% 126.47 164.85 110.77 188.22
Annual — — — — 26.51% 30.91% 110.77 188.22 84.97 245.36
Option Time Horizon — — — — 12.57% 14.65% 127.34 163.72 112.30 185.64
Calculation Notes: Computed at 2026-02-22T14:19 UTC  |  Reference Contract: Call option expiring 2026-05-15 (82 days)  |  Spot Price (S): $144.39  |  Strike (K): $145.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $7.3500 (Bid $6.5000 / Ask $8.2000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.75%  |  Binomial IV (Annual): 26.51% (CRR binomial tree, American, n=20 steps)  |  BS IV: 26.36% (European Black-Scholes)  |  Yahoo IV (Annual): 30.91% → period-scaled as σperiod = σannual·√h  |  Price bands: Upper = S·e+σ√h, Lower = S·e−σ√h
Historical Dividend Payouts
Ex-Dividend Date Amount
2026-01-05 $0.2700
2025-10-03 $0.2700
2025-07-03 $0.2700
2025-04-03 $0.2700
2025-01-06 $0.2400
2024-10-04 $0.2400
2024-07-05 $0.2400
2024-04-04 $0.2400
2024-01-04 $0.2250
2023-10-05 $0.2250
2023-07-03 $0.2250
2023-03-31 $0.2250
2023-01-05 $0.2080
2022-10-06 $0.2080
2022-07-01 $0.2080
2022-04-01 $0.2080
2022-01-06 $0.1980
2021-10-01 $0.1980
2021-07-01 $0.1980
2021-04-01 $0.1980
2021-01-07 $0.1880
2020-10-02 $0.1880
2020-07-02 $0.1880
2020-04-02 $0.1880
2020-01-02 $0.1730
2019-10-03 $0.1730
2019-07-03 $0.1730
2019-04-04 $0.1730
2019-01-03 $0.1600
2018-10-04 $0.1600
2018-07-03 $0.1600
2018-04-02 $0.1600
2018-01-04 $0.1500
2017-10-05 $0.1500
2017-06-30 $0.1500
2017-03-30 $0.1500
2017-01-04 $0.1400
2016-10-05 $0.1400
2016-06-29 $0.1400
2016-03-31 $0.1400
2016-01-04 $0.1350
2015-09-30 $0.1350
2015-06-30 $0.1350
2015-03-31 $0.1350
2014-12-31 $0.1270
2014-10-01 $0.1270
2014-05-29 $0.1267
2014-04-01 $0.1267
2013-12-31 $0.1133
2013-10-02 $0.1133
2013-07-02 $0.1133
2013-04-03 $0.1133
2013-01-02 $0.1000
2012-10-03 $0.1000
2012-07-03 $0.1000
2012-04-03 $0.1000
2012-01-04 $0.0800
2011-10-05 $0.0800
2011-05-27 $0.0733
2011-03-30 $0.0711
2011-01-04 $0.0711
2010-09-29 $0.0711
2010-06-30 $0.0667
2010-03-30 $0.0667
2010-01-04 $0.0667
2009-09-30 $0.0622
2009-07-01 $0.0622
2009-04-01 $0.0622
2008-12-30 $0.0622
2008-10-01 $0.0622
2008-07-02 $0.0622
2008-04-02 $0.0622
2008-01-02 $0.0578
2007-10-03 $0.0578
2007-07-03 $0.0578
2007-04-03 $0.0578
2007-01-03 $0.0578
2006-10-04 $0.0578
2006-07-05 $0.0578
2006-04-05 $0.0489
2006-01-03 $0.0489
2005-10-03 $0.0489
2005-07-01 $0.0489
2005-03-30 $0.0489
2005-01-03 $0.0489
2004-10-04 $0.0489
2004-06-30 $0.0489
2004-03-31 $0.0489
2004-01-05 $0.0489
2003-10-01 $0.0489
2003-07-01 $0.0400
2003-04-01 $0.0400
2003-01-06 $0.0400
2002-10-02 $0.0400
2002-07-02 $0.0400
2002-04-03 $0.0400
2002-01-08 $0.0400
2001-10-03 $0.0178
2001-07-03 $0.0400
2001-04-04 $0.0400
2001-01-05 $0.0400
2000-10-06 $0.0400
2000-07-05 $0.0400
2000-04-05 $0.0400
2000-01-05 $0.0400
1999-10-06 $0.0400
1999-07-07 $0.0400
1999-04-07 $0.0400
1999-01-06 $0.0400
1998-11-09 $2.7609
1998-10-21 $0.0578
1998-07-08 $0.0667
1998-04-07 $0.0667
1997-12-30 $0.0667
1997-10-01 $0.0667
1997-06-27 $0.0644
1997-04-02 $0.0644
1996-12-31 $0.0644
1996-10-02 $0.0644
1996-07-02 $0.0644
1996-04-02 $0.0644
1996-01-03 $0.0644
1995-10-04 $0.0644
1995-07-05 $0.0622
1995-04-03 $0.0622
1994-12-30 $0.0622
1994-10-03 $0.0622
1994-07-01 $0.0622
1994-04-04 $0.0622
1994-01-03 $0.0622
1993-10-04 $0.0622
1993-07-02 $0.0593
1993-04-02 $0.0593
1993-01-04 $0.0593
1992-10-09 $0.0593
1992-07-06 $0.0593
1992-04-06 $0.0593
1992-01-06 $0.0593
1991-10-03 $0.0593
1991-07-03 $0.0593
1991-04-04 $0.0519
1991-01-04 $0.0519
1990-10-03 $0.0519
1990-07-03 $0.0519
1990-04-04 $0.0519
1990-01-04 $0.0519
1989-10-04 $0.0519
1989-07-05 $0.0444
1989-04-05 $0.0444
1989-01-05 $0.0444
1988-10-07 $0.0444
1988-07-11 $0.0444
1988-04-04 $0.0370
1988-01-07 $0.0370
1987-10-08 $0.0370
1987-07-09 $0.0370
1987-04-06 $0.0370
1987-01-08 $0.0370
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Left Skewed (Extreme Negative Tail Risk) with a Skewness factor of -4.38. Further, an Excess Kurtosis of 129.24 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.87%650.57%0.57%
-5.87% to -4.39%830.73%1.30%
-4.39% to -2.91%2622.30%3.60%
-2.91% to -1.42%10519.22%12.82%
-1.42% to 0.06%445039.04%51.86%
0.06% to 1.55%404535.49%87.35%
1.55% to 3.03%10279.01%96.36%
3.03% to 4.52%2482.18%98.53%
4.52% to 6.00%850.75%99.28%
Greater than 6.00%820.72%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.92%2.04% 83.49%68.27%
±2σ -3.90%4.02% 96.47%95.45%
±3σ -5.87%6.00% 98.71%99.73%
Descriptive Statistics
Mean0.063%
Standard Error0.019%
Median0.000%
Mode0.000%
Standard Deviation1.979%
Sample Variance3.918%
Kurtosis129.24
Skewness-4.38
Range73.315%
Minimum-53.140%
Maximum20.175%
Count11398
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.261% 5619 49.30% 0.622%
Negative -1.239% 5141 45.10% -0.559%
Zero 0.000% 638 5.60% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.18%
20 1 Month 2.32%
60 1 Quarter 2.03%
250 1 Year 2.28%
750 3 Years 2.36%
1,250 5 Years 2.28%
2,500 10 Years 2.11%
5,000 20 Years 2.22%
12,500 50 Years 2.18%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 32.10. Further, an Excess Kurtosis of 2154.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.38%00.00%0.00%
-4.38% to -2.77%00.00%0.00%
-2.77% to -1.16%00.00%0.00%
-1.16% to 0.45%920.81%0.81%
0.45% to 2.06%740364.94%65.75%
2.06% to 3.67%277024.30%90.05%
3.67% to 5.28%7126.25%96.30%
5.28% to 6.89%2071.82%98.11%
6.89% to 8.50%900.79%98.90%
Greater than 8.50%1251.10%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -0.09%4.21% 93.28%68.27%
±2σ -2.24%6.35% 97.70%95.45%
±3σ -4.38%8.50% 98.90%99.73%
Descriptive Statistics
Mean2.058%
Standard Error0.020%
Median1.612%
Mode1.538%
Standard Deviation2.147%
Sample Variance4.610%
Kurtosis2154.46
Skewness32.10
Range152.874%
Minimum0.220%
Maximum153.094%
Count11399
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.058% 11399 100.00% 2.058%
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 14.64. Further, an Excess Kurtosis of 805.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.50%600.53%0.53%
-5.50% to -4.13%830.73%1.25%
-4.13% to -2.76%2492.18%3.44%
-2.76% to -1.40%9738.54%11.97%
-1.40% to -0.03%412936.22%48.20%
-0.03% to 1.34%449839.46%87.66%
1.34% to 2.71%10068.83%96.48%
2.71% to 4.08%2642.32%98.80%
4.08% to 5.45%770.68%99.47%
Greater than 5.45%600.53%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.85%1.80% 84.65%68.27%
±2σ -3.68%3.62% 96.66%95.45%
±3σ -5.50%5.45% 98.95%99.73%
Descriptive Statistics
Mean-0.027%
Standard Error0.017%
Median0.000%
Mode0.000%
Standard Deviation1.825%
Sample Variance3.329%
Kurtosis805.63
Skewness14.64
Range112.596%
Minimum-12.311%
Maximum100.285%
Count11399
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.137% 5108 44.81% 0.510%
Negative -1.100% 5558 48.76% -0.536%
Zero 0.000% 733 6.43% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Left Skewed (Extreme Negative Tail Risk) with a Skewness factor of -1.50. Further, an Excess Kurtosis of 28.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.67%160.68%0.68%
-12.67% to -9.43%150.63%1.31%
-9.43% to -6.19%512.15%3.46%
-6.19% to -2.94%24010.14%13.60%
-2.94% to 0.30%86136.36%49.96%
0.30% to 3.54%86536.53%86.49%
3.54% to 6.79%2149.04%95.52%
6.79% to 10.03%652.74%98.27%
10.03% to 13.27%210.89%99.16%
Greater than 13.27%200.84%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.02%4.62% 82.60%68.27%
±2σ -8.35%8.95% 95.95%95.45%
±3σ -12.67%13.27% 98.48%99.73%
Descriptive Statistics
Mean0.300%
Standard Error0.089%
Median0.300%
Mode0.000%
Standard Deviation4.324%
Sample Variance18.695%
Kurtosis28.67
Skewness-1.50
Range89.665%
Minimum-53.889%
Maximum35.776%
Count2368
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.801% 1269 53.59% 1.501%
Negative -2.704% 1052 44.43% -1.201%
Zero 0.000% 47 1.99% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 5.39%
12 1 Quarter 4.62%
52 1 Year 5.03%
156 3 Years 5.53%
260 5 Years 5.27%
520 10 Years 4.85%
1,040 20 Years 5.07%
2,600 50 Years 5.17%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 14.76. Further, an Excess Kurtosis of 381.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.07%00.00%0.00%
-12.07% to -7.72%00.00%0.00%
-7.72% to -3.37%00.00%0.00%
-3.37% to 0.99%30.13%0.13%
0.99% to 5.34%158366.82%66.95%
5.34% to 9.69%57924.44%91.39%
9.69% to 14.05%1255.28%96.67%
14.05% to 18.40%291.22%97.89%
18.40% to 22.75%251.06%98.94%
Greater than 22.75%251.06%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -0.46%11.14% 94.26%68.27%
±2σ -6.27%16.95% 97.64%95.45%
±3σ -12.07%22.75% 98.94%99.73%
Descriptive Statistics
Mean5.340%
Standard Error0.119%
Median4.104%
Mode2.439%
Standard Deviation5.805%
Sample Variance33.702%
Kurtosis381.90
Skewness14.76
Range179.147%
Minimum0.417%
Maximum179.564%
Count2369
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.340% 2369 100.00% 5.340%
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 6.84. Further, an Excess Kurtosis of 130.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.22%110.46%0.46%
-14.22% to -10.69%120.51%0.97%
-10.69% to -7.15%451.90%2.87%
-7.15% to -3.62%2118.91%11.78%
-3.62% to -0.08%97741.24%53.02%
-0.08% to 3.46%83435.20%88.22%
3.46% to 6.99%2028.53%96.75%
6.99% to 10.53%512.15%98.90%
10.53% to 14.06%120.51%99.41%
Greater than 14.06%140.59%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.80%4.63% 85.10%68.27%
±2σ -9.51%9.35% 96.88%95.45%
±3σ -14.22%14.06% 98.94%99.73%
Descriptive Statistics
Mean-0.081%
Standard Error0.097%
Median-0.304%
Mode0.000%
Standard Deviation4.714%
Sample Variance22.224%
Kurtosis130.33
Skewness6.84
Range117.983%
Minimum-23.842%
Maximum94.141%
Count2369
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.940% 1042 43.98% 1.293%
Negative -2.568% 1268 53.52% -1.375%
Zero 0.000% 59 2.49% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Left Skewed (Extreme Negative Tail Risk) with a Skewness factor of -1.04. Further, an Excess Kurtosis of 10.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -23.81%61.10%1.10%
-23.81% to -17.54%40.74%1.84%
-17.54% to -11.27%91.65%3.49%
-11.27% to -5.00%5810.66%14.15%
-5.00% to 1.27%20036.76%50.92%
1.27% to 7.53%18233.46%84.38%
7.53% to 13.80%6211.40%95.77%
13.80% to 20.07%122.21%97.98%
20.07% to 26.34%81.47%99.45%
Greater than 26.34%30.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.09%9.62% 81.07%68.27%
±2σ -15.45%17.98% 95.22%95.45%
±3σ -23.81%26.34% 98.35%99.73%
Descriptive Statistics
Mean1.266%
Standard Error0.358%
Median1.167%
Mode0.000%
Standard Deviation8.358%
Sample Variance69.853%
Kurtosis10.18
Skewness-1.04
Range100.885%
Minimum-58.356%
Maximum42.529%
Count544
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.805% 322 59.19% 3.436%
Negative -5.365% 220 40.44% -2.170%
Zero 0.000% 2 0.37% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 9.10%
12 1 Year 10.10%
36 3 Years 11.73%
60 5 Years 10.94%
120 10 Years 10.41%
240 20 Years 10.57%
600 50 Years 11.23%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 7.36. Further, an Excess Kurtosis of 73.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.97%00.00%0.00%
-30.97% to -20.06%00.00%0.00%
-20.06% to -9.15%00.00%0.00%
-9.15% to 1.76%00.00%0.00%
1.76% to 12.67%37969.54%69.54%
12.67% to 23.59%12422.75%92.29%
23.59% to 34.50%264.77%97.06%
34.50% to 45.41%71.28%98.35%
45.41% to 56.32%00.00%98.35%
Greater than 56.32%91.65%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.88%27.22% 94.68%68.27%
±2σ -16.42%41.77% 97.98%95.45%
±3σ -30.97%56.32% 98.35%99.73%
Descriptive Statistics
Mean12.673%
Standard Error0.623%
Median9.375%
Mode8.333%
Standard Deviation14.549%
Sample Variance211.662%
Kurtosis73.61
Skewness7.36
Range195.829%
Minimum2.066%
Maximum197.895%
Count545
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.673% 545 100.00% 12.673%
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 6.02. Further, an Excess Kurtosis of 65.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.13%00.00%0.00%
-33.13% to -24.91%30.55%0.55%
-24.91% to -16.68%81.47%2.02%
-16.68% to -8.45%478.62%10.64%
-8.45% to -0.23%24745.32%55.96%
-0.23% to 8.00%18934.68%90.64%
8.00% to 16.23%366.61%97.25%
16.23% to 24.45%71.28%98.53%
24.45% to 32.68%20.37%98.90%
Greater than 32.68%61.10%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.20%10.74% 89.54%68.27%
±2σ -22.16%21.71% 97.61%95.45%
±3σ -33.13%32.68% 98.90%99.73%
Descriptive Statistics
Mean-0.227%
Standard Error0.470%
Median-1.163%
Mode0.000%
Standard Deviation10.969%
Sample Variance120.318%
Kurtosis65.54
Skewness6.02
Range169.971%
Minimum-29.839%
Maximum140.132%
Count545
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.570% 231 42.38% 2.785%
Negative -5.295% 310 56.88% -3.012%
Zero 0.000% 4 0.73% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Left Skewed (Negative Asymmetry) with a Skewness factor of -0.50. Further, an Excess Kurtosis of 3.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.92%31.65%1.65%
-33.92% to -24.57%21.10%2.75%
-24.57% to -15.22%52.75%5.49%
-15.22% to -5.88%179.34%14.84%
-5.88% to 3.47%6133.52%48.35%
3.47% to 12.82%6535.71%84.07%
12.82% to 22.17%1910.44%94.51%
22.17% to 31.51%52.75%97.25%
31.51% to 40.86%42.20%99.45%
Greater than 40.86%10.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.99%15.93% 79.12%68.27%
±2σ -21.45%28.40% 93.96%95.45%
±3σ -33.92%40.86% 97.80%99.73%
Descriptive Statistics
Mean3.472%
Standard Error0.924%
Median4.087%
Mode-51.969%
Standard Deviation12.463%
Sample Variance155.326%
Kurtosis3.72
Skewness-0.50
Range98.521%
Minimum-51.969%
Maximum46.552%
Count182
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.299% 124 68.13% 6.336%
Negative -8.985% 58 31.87% -2.863%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 16.00%
12 3 Years 22.64%
20 5 Years 20.20%
40 10 Years 18.19%
80 20 Years 18.04%
200 50 Years 19.55%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.11. Further, an Excess Kurtosis of 33.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -52.55%00.00%0.00%
-52.55% to -33.46%00.00%0.00%
-33.46% to -14.38%00.00%0.00%
-14.38% to 4.70%00.00%0.00%
4.70% to 23.78%13272.13%72.13%
23.78% to 42.86%4021.86%93.99%
42.86% to 61.94%31.64%95.63%
61.94% to 81.03%21.09%96.72%
81.03% to 100.11%10.55%97.27%
Greater than 100.11%52.73%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.66%49.22% 93.99%68.27%
±2σ -27.10%74.66% 96.17%95.45%
±3σ -52.54%100.11% 97.27%99.73%
Descriptive Statistics
Mean23.781%
Standard Error1.881%
Median17.021%
Mode14.286%
Standard Deviation25.442%
Sample Variance647.279%
Kurtosis33.81
Skewness5.11
Range232.774%
Minimum6.122%
Maximum238.896%
Count183
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 23.781% 183 100.00% 23.781%
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 3.13. Further, an Excess Kurtosis of 17.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -46.18%00.00%0.00%
-46.18% to -34.92%00.00%0.00%
-34.92% to -23.65%42.19%2.19%
-23.65% to -12.39%2010.93%13.11%
-12.39% to -1.12%8646.99%60.11%
-1.12% to 10.14%5127.87%87.98%
10.14% to 21.41%126.56%94.54%
21.41% to 32.67%42.19%96.72%
32.67% to 43.94%31.64%98.36%
Greater than 43.94%31.64%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -16.14%13.90% 86.89%68.27%
±2σ -31.16%28.92% 96.17%95.45%
±3σ -46.18%43.94% 98.36%99.73%
Descriptive Statistics
Mean-1.123%
Standard Error1.110%
Median-3.415%
Mode-31.765%
Standard Deviation15.020%
Sample Variance225.611%
Kurtosis17.61
Skewness3.13
Range139.415%
Minimum-31.765%
Maximum107.650%
Count183
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.671% 59 32.24% 4.085%
Negative -7.748% 123 67.21% -5.208%
Zero 0.000% 1 0.55% 0.000%