Markets Data Volatility Heatmap Portfolio Calculator

GL Deep Analytical Report

Globe Life Inc. | Category: Equity Large Cap | Ann. Div Yield: 0.79% ($1.08) | Last Updated: 2026-03-24 | Data Range: 1980-10-01 → 2026-03-01 (546 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% 2.27% 1.98% 2.16% 134.56 140.01 131.92 142.82
Weekly 4.32% 5.80% 4.71% 5.27% 4.37% 4.75% 131.39 143.39 125.78 149.79
Monthly 8.36% 14.54% 10.96% 10.91% 9.09% 9.90% 125.33 150.33 114.43 164.64
Quarterly 12.47% 25.43% 15.02% 20.32% 15.75% 17.14% 117.26 160.68 100.17 188.09
Annual — — — — 31.50% 34.28% 100.17 188.09 73.10 257.74
Option Time Horizon — — — — 11.89% 12.94% 121.87 154.59 108.21 174.11
Calculation Notes: Computed at 2026-03-23T16:34 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $137.26  |  Strike (K): $140.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $5.6000 (Bid $5.2000 / Ask $6.0000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.79%  |  Binomial IV (Annual): 31.50% (CRR binomial tree, American, n=20 steps)  |  BS IV: 31.84% (European Black-Scholes)  |  Yahoo IV (Annual): 34.28% → 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 129.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.87%660.58%0.58%
-5.87% to -4.39%830.73%1.30%
-4.39% to -2.90%2622.29%3.60%
-2.90% to -1.42%10499.19%12.79%
-1.42% to 0.06%446139.07%51.85%
0.06% to 1.55%405535.51%87.36%
1.55% to 3.03%10248.97%96.33%
3.03% to 4.51%2522.21%98.54%
4.51% to 6.00%850.74%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 -3.89%4.02% 96.47%95.45%
±3σ -5.87%6.00% 98.70%99.73%
Descriptive Statistics
Mean0.062%
Standard Error0.019%
Median0.000%
Mode0.000%
Standard Deviation1.978%
Sample Variance3.913%
Kurtosis129.37
Skewness-4.38
Range73.315%
Minimum-53.140%
Maximum20.175%
Count11419
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.260% 5627 49.28% 0.621%
Negative -1.238% 5154 45.13% -0.559%
Zero 0.000% 638 5.59% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 1.65%
20 1 Month 2.09%
60 1 Quarter 2.13%
250 1 Year 2.24%
750 3 Years 2.34%
1,250 5 Years 2.27%
2,500 10 Years 2.11%
5,000 20 Years 2.23%
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 32.12. Further, an Excess Kurtosis of 2157.53 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%741664.94%65.74%
2.06% to 3.67%277824.33%90.07%
3.67% to 5.28%7116.23%96.30%
5.28% to 6.88%2081.82%98.12%
6.88% to 8.49%900.79%98.91%
Greater than 8.49%1251.09%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -0.09%4.20% 93.29%68.27%
±2σ -2.23%6.35% 97.70%95.45%
±3σ -4.38%8.49% 98.91%99.73%
Descriptive Statistics
Mean2.058%
Standard Error0.020%
Median1.613%
Mode1.538%
Standard Deviation2.145%
Sample Variance4.602%
Kurtosis2157.53
Skewness32.12
Range152.874%
Minimum0.220%
Maximum153.094%
Count11420
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.058% 11420 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 806.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.50%610.53%0.53%
-5.50% to -4.13%820.72%1.25%
-4.13% to -2.76%2512.20%3.45%
-2.76% to -1.39%9778.56%12.01%
-1.39% to -0.03%413636.22%48.22%
-0.03% to 1.34%450239.42%87.64%
1.34% to 2.71%10108.84%96.49%
2.71% to 4.08%2632.30%98.79%
4.08% to 5.44%780.68%99.47%
Greater than 5.44%600.53%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.85%1.80% 84.64%68.27%
±2σ -3.67%3.62% 96.65%95.45%
±3σ -5.49%5.44% 98.93%99.73%
Descriptive Statistics
Mean-0.026%
Standard Error0.017%
Median0.000%
Mode0.000%
Standard Deviation1.823%
Sample Variance3.324%
Kurtosis806.63
Skewness14.64
Range112.596%
Minimum-12.311%
Maximum100.285%
Count11420
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.136% 5120 44.83% 0.509%
Negative -1.099% 5567 48.75% -0.536%
Zero 0.000% 733 6.42% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Left Skewed (Extreme Negative Tail Risk) with a Skewness factor of -1.49. Further, an Excess Kurtosis of 28.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.67%160.67%0.67%
-12.67% to -9.43%150.63%1.31%
-9.43% to -6.18%512.15%3.46%
-6.18% to -2.94%24110.16%13.62%
-2.94% to 0.30%86236.34%49.96%
0.30% to 3.54%86636.51%86.47%
3.54% to 6.78%2149.02%95.49%
6.78% to 10.02%662.78%98.27%
10.02% to 13.26%210.89%99.16%
Greater than 13.26%200.84%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.02%4.62% 82.59%68.27%
±2σ -8.34%8.94% 95.95%95.45%
±3σ -12.67%13.26% 98.48%99.73%
Descriptive Statistics
Mean0.297%
Standard Error0.089%
Median0.299%
Mode0.000%
Standard Deviation4.321%
Sample Variance18.674%
Kurtosis28.68
Skewness-1.49
Range89.665%
Minimum-53.889%
Maximum35.776%
Count2372
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.803% 1269 53.50% 1.500%
Negative -2.700% 1056 44.52% -1.202%
Zero 0.000% 47 1.98% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.80%
12 1 Quarter 4.77%
52 1 Year 4.98%
156 3 Years 5.48%
260 5 Years 5.27%
520 10 Years 4.86%
1,040 20 Years 5.08%
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 14.77. Further, an Excess Kurtosis of 382.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.06%00.00%0.00%
-12.06% to -7.71%00.00%0.00%
-7.71% to -3.36%00.00%0.00%
-3.36% to 0.99%30.13%0.13%
0.99% to 5.34%158666.84%66.96%
5.34% to 9.69%58024.44%91.40%
9.69% to 14.04%1255.27%96.67%
14.04% to 18.39%291.22%97.89%
18.39% to 22.74%251.05%98.95%
Greater than 22.74%251.05%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -0.46%11.14% 94.27%68.27%
±2σ -6.26%16.94% 97.64%95.45%
±3σ -12.06%22.74% 98.95%99.73%
Descriptive Statistics
Mean5.339%
Standard Error0.119%
Median4.110%
Mode2.439%
Standard Deviation5.800%
Sample Variance33.645%
Kurtosis382.54
Skewness14.77
Range179.147%
Minimum0.417%
Maximum179.564%
Count2373
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.339% 2373 100.00% 5.339%
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 6.85. Further, an Excess Kurtosis of 130.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.21%110.46%0.46%
-14.21% to -10.68%120.51%0.97%
-10.68% to -7.15%451.90%2.87%
-7.15% to -3.61%2128.93%11.80%
-3.61% to -0.08%97741.17%52.97%
-0.08% to 3.45%83735.27%88.24%
3.45% to 6.99%2028.51%96.76%
6.99% to 10.52%512.15%98.90%
10.52% to 14.05%120.51%99.41%
Greater than 14.05%140.59%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.79%4.63% 85.12%68.27%
±2σ -9.50%9.34% 96.88%95.45%
±3σ -14.21%14.05% 98.95%99.73%
Descriptive Statistics
Mean-0.079%
Standard Error0.097%
Median-0.302%
Mode0.000%
Standard Deviation4.711%
Sample Variance22.195%
Kurtosis130.45
Skewness6.85
Range117.983%
Minimum-23.842%
Maximum94.141%
Count2373
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.938% 1045 44.04% 1.294%
Negative -2.568% 1269 53.48% -1.373%
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 10.16 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%40.73%1.83%
-17.54% to -11.28%91.65%3.49%
-11.28% to -5.01%5910.83%14.31%
-5.01% to 1.25%20036.70%51.01%
1.25% to 7.52%18233.39%84.40%
7.52% to 13.79%6211.38%95.78%
13.79% to 20.05%122.20%97.98%
20.05% to 26.32%81.47%99.45%
Greater than 26.32%30.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.10%9.61% 81.10%68.27%
±2σ -15.46%17.96% 95.23%95.45%
±3σ -23.81%26.32% 98.35%99.73%
Descriptive Statistics
Mean1.255%
Standard Error0.358%
Median1.151%
Mode0.000%
Standard Deviation8.355%
Sample Variance69.807%
Kurtosis10.16
Skewness-1.04
Range100.885%
Minimum-58.356%
Maximum42.529%
Count545
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.807% 322 59.08% 3.431%
Negative -5.365% 221 40.55% -2.176%
Zero 0.000% 2 0.37% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 7.98%
12 1 Year 10.02%
36 3 Years 11.52%
60 5 Years 10.91%
120 10 Years 10.39%
240 20 Years 10.58%
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 7.37. Further, an Excess Kurtosis of 73.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.94%00.00%0.00%
-30.94% to -20.04%00.00%0.00%
-20.04% to -9.14%00.00%0.00%
-9.14% to 1.76%00.00%0.00%
1.76% to 12.66%38069.60%69.60%
12.66% to 23.57%12422.71%92.31%
23.57% to 34.47%264.76%97.07%
34.47% to 45.37%71.28%98.35%
45.37% to 56.27%00.00%98.35%
Greater than 56.27%91.65%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.87%27.20% 94.69%68.27%
±2σ -16.41%41.74% 97.99%95.45%
±3σ -30.94%56.27% 98.35%99.73%
Descriptive Statistics
Mean12.665%
Standard Error0.622%
Median9.371%
Mode8.333%
Standard Deviation14.536%
Sample Variance211.306%
Kurtosis73.74
Skewness7.37
Range195.829%
Minimum2.066%
Maximum197.895%
Count546
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.665% 546 100.00% 12.665%
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 65.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.10%00.00%0.00%
-33.10% to -24.88%30.55%0.55%
-24.88% to -16.66%81.47%2.01%
-16.66% to -8.44%478.61%10.62%
-8.44% to -0.22%24845.42%56.04%
-0.22% to 8.00%18934.62%90.66%
8.00% to 16.22%366.59%97.25%
16.22% to 24.44%71.28%98.53%
24.44% to 32.66%20.37%98.90%
Greater than 32.66%61.10%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.18%10.74% 89.56%68.27%
±2σ -22.14%21.70% 97.62%95.45%
±3σ -33.10%32.66% 98.90%99.73%
Descriptive Statistics
Mean-0.219%
Standard Error0.469%
Median-1.142%
Mode0.000%
Standard Deviation10.961%
Sample Variance120.146%
Kurtosis65.59
Skewness6.02
Range169.971%
Minimum-29.839%
Maximum140.132%
Count546
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.562% 232 42.49% 2.788%
Negative -5.297% 310 56.78% -3.007%
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 3.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.96%31.65%1.65%
-33.96% to -24.61%21.10%2.75%
-24.61% to -15.26%52.75%5.49%
-15.26% to -5.91%179.34%14.84%
-5.91% to 3.45%6133.52%48.35%
3.45% to 12.80%6535.71%84.07%
12.80% to 22.15%1910.44%94.51%
22.15% to 31.50%52.75%97.25%
31.50% to 40.85%42.20%99.45%
Greater than 40.85%10.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.02%15.91% 79.12%68.27%
±2σ -21.49%28.38% 93.96%95.45%
±3σ -33.96%40.85% 97.80%99.73%
Descriptive Statistics
Mean3.446%
Standard Error0.924%
Median4.087%
Mode-51.969%
Standard Deviation12.469%
Sample Variance155.480%
Kurtosis3.70
Skewness-0.50
Range98.521%
Minimum-51.969%
Maximum46.552%
Count182
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.350% 123 67.58% 6.319%
Negative -8.864% 59 32.42% -2.874%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 16.60%
12 3 Years 22.84%
20 5 Years 20.32%
40 10 Years 18.25%
80 20 Years 18.07%
200 50 Years 19.56%
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 33.84 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -52.51%00.00%0.00%
-52.51% to -33.43%00.00%0.00%
-33.43% to -14.36%00.00%0.00%
-14.36% to 4.72%00.00%0.00%
4.72% to 23.80%13272.13%72.13%
23.80% to 42.87%4021.86%93.99%
42.87% to 61.95%31.64%95.63%
61.95% to 81.02%21.09%96.72%
81.02% to 100.10%10.55%97.27%
Greater than 100.10%52.73%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.64%49.23% 93.99%68.27%
±2σ -27.07%74.66% 96.17%95.45%
±3σ -52.51%100.10% 97.27%99.73%
Descriptive Statistics
Mean23.796%
Standard Error1.880%
Median17.021%
Mode14.286%
Standard Deviation25.434%
Sample Variance646.897%
Kurtosis33.84
Skewness5.11
Range232.774%
Minimum6.122%
Maximum238.896%
Count183
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 23.796% 183 100.00% 23.796%
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 3.12. Further, an Excess Kurtosis of 17.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -46.16%00.00%0.00%
-46.16% to -34.90%00.00%0.00%
-34.90% to -23.63%42.19%2.19%
-23.63% to -12.36%2010.93%13.11%
-12.36% to -1.10%8546.45%59.56%
-1.10% to 10.17%5228.42%87.98%
10.17% to 21.44%126.56%94.54%
21.44% to 32.70%42.19%96.72%
32.70% to 43.97%31.64%98.36%
Greater than 43.97%31.64%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -16.12%13.93% 86.89%68.27%
±2σ -31.14%28.95% 96.17%95.45%
±3σ -46.16%43.97% 98.36%99.73%
Descriptive Statistics
Mean-1.097%
Standard Error1.110%
Median-3.415%
Mode-31.765%
Standard Deviation15.022%
Sample Variance225.656%
Kurtosis17.58
Skewness3.12
Range139.415%
Minimum-31.765%
Maximum107.650%
Count183
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.495% 60 32.79% 4.097%
Negative -7.790% 122 66.67% -5.193%
Zero 0.000% 1 0.55% 0.000%