Markets Data Volatility Heatmap Portfolio Calculator

JNJ Deep Analytical Report

Johnson & Johnson | Category: Equity Mega Cap | Ann. Div Yield: 2.18% ($5.14) | Last Updated: 2026-03-24 | Data Range: 1962-01-01 → 2026-03-01 (771 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 1.44% 1.13% 1.23% 1.54% 1.77% 1.87% 230.57 238.89 226.52 243.16
Weekly 3.26% 2.82% 3.17% 3.52% 3.90% 4.11% 225.71 244.03 217.07 253.74
Monthly 5.88% 5.56% 5.74% 7.67% 8.12% 8.56% 216.38 254.55 199.50 276.09
Quarterly 9.44% 9.35% 8.95% 13.29% 14.07% 14.83% 203.89 270.14 177.13 310.95
Annual — — — — 28.14% 29.66% 177.13 310.95 133.69 411.99
Option Time Horizon — — — — 10.62% 11.20% 211.04 260.99 189.78 290.23
Calculation Notes: Computed at 2026-03-23T16:31 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $234.69  |  Strike (K): $240.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $7.9250 (Bid $7.5000 / Ask $8.3500)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.18%  |  Binomial IV (Annual): 28.14% (CRR binomial tree, American, n=20 steps)  |  BS IV: 28.48% (European Black-Scholes)  |  Yahoo IV (Annual): 29.66% → 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
2026-02-24 $1.3000
2025-11-25 $1.3000
2025-08-26 $1.3000
2025-05-27 $1.3000
2025-02-18 $1.2400
2024-11-26 $1.2400
2024-08-27 $1.2400
2024-05-20 $1.2400
2024-02-16 $1.1900
2023-11-20 $1.1900
2023-08-25 $1.1900
2023-05-22 $1.1900
2023-02-17 $1.1300
2022-11-21 $1.1300
2022-08-22 $1.1300
2022-05-23 $1.1300
2022-02-18 $1.0600
2021-11-22 $1.0600
2021-08-23 $1.0600
2021-05-24 $1.0600
2021-02-22 $1.0100
2020-11-23 $1.0100
2020-08-24 $1.0100
2020-05-22 $1.0100
2020-02-24 $0.9500
2019-11-25 $0.9500
2019-08-26 $0.9500
2019-05-24 $0.9500
2019-02-25 $0.9000
2018-11-26 $0.9000
2018-08-27 $0.9000
2018-05-25 $0.9000
2018-02-26 $0.8400
2017-11-27 $0.8400
2017-08-25 $0.8400
2017-05-25 $0.8400
2017-02-24 $0.8000
2016-11-18 $0.8000
2016-08-19 $0.8000
2016-05-20 $0.8000
2016-02-19 $0.7500
2015-11-20 $0.7500
2015-08-21 $0.7500
2015-05-21 $0.7500
2015-02-20 $0.7000
2014-11-21 $0.7000
2014-08-22 $0.7000
2014-05-22 $0.7000
2014-02-21 $0.6600
2013-11-22 $0.6600
2013-08-23 $0.6600
2013-05-23 $0.6600
2013-02-22 $0.6100
2012-11-23 $0.6100
2012-08-24 $0.6100
2012-05-24 $0.6100
2012-02-24 $0.5700
2011-11-25 $0.5700
2011-08-26 $0.5700
2011-05-26 $0.5700
2011-02-25 $0.5400
2010-11-26 $0.5400
2010-08-27 $0.5400
2010-05-27 $0.5400
2010-02-19 $0.4900
2009-11-20 $0.4900
2009-08-21 $0.4900
2009-05-21 $0.4900
2009-02-20 $0.4600
2008-11-21 $0.4600
2008-08-22 $0.4600
2008-05-22 $0.4600
2008-02-22 $0.4150
2007-11-23 $0.4150
2007-08-24 $0.4150
2007-05-24 $0.4150
2007-02-23 $0.3750
2006-11-24 $0.3750
2006-08-25 $0.3750
2006-05-25 $0.3750
2006-02-24 $0.3300
2005-11-18 $0.3300
2005-08-19 $0.3300
2005-05-13 $0.3300
2005-02-11 $0.2850
2004-11-12 $0.2850
2004-08-13 $0.2850
2004-05-14 $0.2850
2004-02-12 $0.2400
2003-11-14 $0.2400
2003-08-15 $0.2400
2003-05-16 $0.2400
2003-02-13 $0.2050
2002-11-15 $0.2050
2002-08-16 $0.2050
2002-05-17 $0.2050
2002-02-14 $0.1800
2001-11-16 $0.1800
2001-08-17 $0.1800
2001-05-18 $0.1800
2001-02-15 $0.1600
2000-11-17 $0.1600
2000-08-18 $0.1600
2000-05-19 $0.1600
2000-02-11 $0.1400
1999-11-12 $0.1400
1999-08-13 $0.1400
1999-05-14 $0.1400
1999-02-11 $0.1250
1998-11-13 $0.1250
1998-08-14 $0.1250
1998-05-15 $0.1250
1998-02-12 $0.1100
1997-11-14 $0.1100
1997-08-15 $0.1100
1997-05-16 $0.1100
1997-02-13 $0.0950
1996-11-15 $0.0950
1996-08-16 $0.0950
1996-05-17 $0.0950
1996-02-15 $0.0825
1995-11-10 $0.0825
1995-08-11 $0.0825
1995-05-10 $0.0825
1995-02-08 $0.0725
1994-11-08 $0.0725
1994-08-10 $0.0725
1994-05-11 $0.0725
1994-02-09 $0.0650
1993-11-09 $0.0650
1993-08-11 $0.0650
1993-05-12 $0.0650
1993-02-09 $0.0575
1992-11-10 $0.0575
1992-08-12 $0.0575
1992-05-13 $0.0575
1992-02-11 $0.0500
1991-11-13 $0.0500
1991-08-14 $0.0500
1991-05-15 $0.0500
1991-02-12 $0.0425
1990-11-14 $0.0425
1990-08-15 $0.0425
1990-05-16 $0.0425
1990-02-13 $0.0362
1989-11-15 $0.0362
1989-08-16 $0.0362
1989-05-22 $0.0362
1989-02-14 $0.0312
1988-11-16 $0.0312
1988-08-17 $0.0312
1988-05-18 $0.0312
1988-02-17 $0.0262
1987-11-16 $0.0262
1987-08-17 $0.0262
1987-05-22 $0.0262
1987-02-23 $0.0219
1986-11-17 $0.0219
1986-08-18 $0.0219
1986-05-23 $0.0219
1986-02-24 $0.0203
1985-11-18 $0.0203
1985-08-19 $0.0203
1985-05-24 $0.0203
1985-02-15 $0.0187
1984-11-16 $0.0187
1984-08-20 $0.0187
1984-05-21 $0.0187
1984-02-17 $0.0172
1983-11-14 $0.0172
1983-08-15 $0.0172
1983-05-16 $0.0172
1983-02-18 $0.0156
1982-11-15 $0.0156
1982-08-16 $0.0156
1982-05-17 $0.0156
1982-02-22 $0.0138
1981-11-16 $0.0138
1981-08-17 $0.0138
1981-05-22 $0.0138
1981-02-13 $0.0120
1980-11-17 $0.0120
1980-08-18 $0.0120
1980-05-19 $0.0120
1980-02-15 $0.0104
1979-11-16 $0.0104
1979-08-20 $0.0104
1979-05-21 $0.0104
1979-02-20 $0.0104
1978-11-13 $0.0089
1978-08-14 $0.0089
1978-05-15 $0.0089
1978-02-10 $0.0089
1977-11-14 $0.0073
1977-08-15 $0.0073
1977-05-16 $0.0073
1977-02-18 $0.0073
1976-11-15 $0.0052
1976-08-16 $0.0052
1976-05-17 $0.0052
1976-02-13 $0.0063
1975-11-17 $0.0042
1975-08-18 $0.0042
1975-05-19 $0.0042
1975-02-14 $0.0052
1974-11-18 $0.0042
1974-08-19 $0.0042
1974-05-20 $0.0031
1974-02-15 $0.0036
1973-11-16 $0.0026
1973-08-20 $0.0026
1973-05-21 $0.0026
1973-02-16 $0.0031
1972-11-17 $0.0021
1972-08-21 $0.0021
1972-05-22 $0.0021
1972-02-18 $0.0031
1971-11-19 $0.0021
1971-08-23 $0.0021
1971-05-17 $0.0021
1971-02-22 $0.0027
1970-11-16 $0.0017
1970-08-17 $0.0017
1970-05-22 $0.0017
1970-02-16 $0.0021
1969-11-17 $0.0014
1969-08-18 $0.0014
1969-05-19 $0.0014
1969-02-14 $0.0017
1968-11-18 $0.0010
1968-08-19 $0.0010
1968-05-20 $0.0010
1968-02-16 $0.0014
1967-11-20 $0.0010
1967-08-14 $0.0010
1967-05-17 $0.0008
1967-02-20 $0.0014
1966-11-21 $0.0008
1966-08-16 $0.0008
1966-05-17 $0.0008
1966-02-21 $0.0014
1965-11-22 $0.0007
1965-08-17 $0.0007
1965-05-18 $0.0007
1965-02-23 $0.0013
1964-11-23 $0.0006
1964-08-18 $0.0006
1964-05-19 $0.0006
1964-02-25 $0.0010
1963-11-26 $0.0006
1963-08-20 $0.0006
1963-05-21 $0.0006
1963-02-19 $0.0008
1962-11-21 $0.0006
1962-08-21 $0.0006
1962-05-22 $0.0006
1962-02-13 $0.0006
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.09. Further, an Excess Kurtosis of 7.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.25%870.54%0.54%
-4.25% to -3.18%1651.03%1.57%
-3.18% to -2.10%5803.61%5.18%
-2.10% to -1.02%194212.10%17.28%
-1.02% to 0.06%559634.87%52.15%
0.06% to 1.14%492330.67%82.82%
1.14% to 2.22%185011.53%94.35%
2.22% to 3.30%5823.63%97.98%
3.30% to 4.38%2051.28%99.25%
Greater than 4.38%1200.75%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.38%1.50% 76.46%68.27%
±2σ -2.82%2.94% 94.74%95.45%
±3σ -4.25%4.38% 98.71%99.73%
Descriptive Statistics
Mean0.062%
Standard Error0.011%
Median0.000%
Mode0.000%
Standard Deviation1.439%
Sample Variance2.071%
Kurtosis7.37
Skewness0.09
Range34.249%
Minimum-18.354%
Maximum15.895%
Count16050
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.094% 7871 49.04% 0.536%
Negative -1.015% 7512 46.80% -0.475%
Zero 0.000% 667 4.16% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 1.79%
20 1 Month 1.80%
60 1 Quarter 1.71%
250 1 Year 1.72%
750 3 Years 1.55%
1,250 5 Years 1.54%
2,500 10 Years 1.55%
5,000 20 Years 1.48%
12,500 50 Years 1.85%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.13. Further, an Excess Kurtosis of 63.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -1.67%00.00%0.00%
-1.67% to -0.82%00.00%0.00%
-0.82% to 0.02%00.00%0.00%
0.02% to 0.87%286217.83%17.83%
0.87% to 1.71%703343.82%61.65%
1.71% to 2.56%362122.56%84.21%
2.56% to 3.40%14779.20%93.41%
3.40% to 4.24%5853.64%97.05%
4.24% to 5.09%2281.42%98.47%
Greater than 5.09%2451.53%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.59%2.84% 82.77%68.27%
±2σ -0.54%3.96% 96.25%95.45%
±3σ -1.67%5.09% 98.47%99.73%
Descriptive Statistics
Mean1.711%
Standard Error0.009%
Median1.447%
Mode1.961%
Standard Deviation1.126%
Sample Variance1.268%
Kurtosis63.90
Skewness4.13
Range35.227%
Minimum0.067%
Maximum35.294%
Count16051
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.711% 16051 100.00% 1.711%
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 0.16. Further, an Excess Kurtosis of 5.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.71%1010.63%0.63%
-3.71% to -2.79%2041.27%1.90%
-2.79% to -1.87%6263.90%5.80%
-1.87% to -0.94%183011.40%17.20%
-0.94% to -0.02%483730.14%47.34%
-0.02% to 0.90%568735.43%82.77%
0.90% to 1.82%191111.91%94.67%
1.82% to 2.75%5643.51%98.19%
2.75% to 3.67%1731.08%99.26%
Greater than 3.67%1180.74%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.25%1.21% 76.44%68.27%
±2σ -2.48%2.44% 94.65%95.45%
±3σ -3.71%3.67% 98.64%99.73%
Descriptive Statistics
Mean-0.022%
Standard Error0.010%
Median0.000%
Mode0.000%
Standard Deviation1.230%
Sample Variance1.513%
Kurtosis5.99
Skewness0.16
Range26.469%
Minimum-10.190%
Maximum16.279%
Count16051
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.913% 7431 46.30% 0.423%
Negative -0.932% 7660 47.72% -0.445%
Zero 0.000% 960 5.98% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.02. Further, an Excess Kurtosis of 4.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.47%180.54%0.54%
-9.47% to -7.03%371.10%1.64%
-7.03% to -4.59%1163.46%5.10%
-4.59% to -2.14%44613.31%18.42%
-2.14% to 0.30%106831.88%50.30%
0.30% to 2.75%107632.12%82.42%
2.75% to 5.19%39811.88%94.30%
5.19% to 7.63%1323.94%98.24%
7.63% to 10.08%330.99%99.22%
Greater than 10.08%260.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.96%3.56% 75.04%68.27%
±2σ -6.22%6.82% 95.28%95.45%
±3σ -9.47%10.08% 98.69%99.73%
Descriptive Statistics
Mean0.302%
Standard Error0.056%
Median0.292%
Mode0.000%
Standard Deviation3.259%
Sample Variance10.622%
Kurtosis4.90
Skewness0.02
Range49.256%
Minimum-28.729%
Maximum20.527%
Count3350
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.466% 1807 53.94% 1.330%
Negative -2.311% 1491 44.51% -1.029%
Zero 0.000% 52 1.55% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 3.88%
12 1 Quarter 4.02%
52 1 Year 3.92%
156 3 Years 3.59%
260 5 Years 3.52%
520 10 Years 3.58%
1,040 20 Years 3.34%
2,600 50 Years 4.32%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.38. Further, an Excess Kurtosis of 27.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.01%00.00%0.00%
-4.01% to -1.89%00.00%0.00%
-1.89% to 0.22%00.00%0.00%
0.22% to 2.33%61018.20%18.20%
2.33% to 4.45%141642.26%60.46%
4.45% to 6.56%80724.08%84.54%
6.56% to 8.67%3179.46%94.00%
8.67% to 10.78%1083.22%97.22%
10.78% to 12.90%401.19%98.42%
Greater than 12.90%531.58%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.63%7.26% 83.38%68.27%
±2σ -1.19%10.08% 96.57%95.45%
±3σ -4.01%12.90% 98.42%99.73%
Descriptive Statistics
Mean4.445%
Standard Error0.049%
Median3.833%
Mode3.333%
Standard Deviation2.817%
Sample Variance7.934%
Kurtosis27.00
Skewness3.38
Range42.494%
Minimum0.492%
Maximum42.986%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.445% 3351 100.00% 4.445%
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 1.08. Further, an Excess Kurtosis of 12.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.63%160.48%0.48%
-9.63% to -7.25%320.95%1.43%
-7.25% to -4.87%1193.55%4.98%
-4.87% to -2.49%46813.97%18.95%
-2.49% to -0.11%111233.18%52.13%
-0.11% to 2.27%100429.96%82.09%
2.27% to 4.65%41812.47%94.57%
4.65% to 7.03%1193.55%98.12%
7.03% to 9.41%361.07%99.19%
Greater than 9.41%270.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.29%3.06% 75.47%68.27%
±2σ -6.46%6.23% 95.49%95.45%
±3σ -9.63%9.41% 98.72%99.73%
Descriptive Statistics
Mean-0.112%
Standard Error0.055%
Median-0.226%
Mode0.000%
Standard Deviation3.173%
Sample Variance10.065%
Kurtosis12.35
Skewness1.08
Range57.973%
Minimum-15.919%
Maximum42.054%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.369% 1516 45.24% 1.072%
Negative -2.236% 1774 52.94% -1.184%
Zero 0.000% 61 1.82% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.06. Further, an Excess Kurtosis of 0.35 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.38%10.13%0.13%
-16.38% to -11.97%131.69%1.82%
-11.97% to -7.57%374.81%6.62%
-7.57% to -3.15%10914.16%20.78%
-3.15% to 1.25%23230.13%50.91%
1.25% to 5.66%21027.27%78.18%
5.66% to 10.07%12015.58%93.77%
10.07% to 14.48%334.29%98.05%
14.48% to 18.89%131.69%99.74%
Greater than 18.89%20.26%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.62%7.13% 70.91%68.27%
±2σ -10.50%13.01% 93.90%95.45%
±3σ -16.38%18.89% 99.61%99.73%
Descriptive Statistics
Mean1.254%
Standard Error0.212%
Median1.162%
Mode0.000%
Standard Deviation5.879%
Sample Variance34.563%
Kurtosis0.35
Skewness0.06
Range38.570%
Minimum-17.339%
Maximum21.231%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.097% 448 58.18% 2.966%
Negative -4.170% 316 41.04% -1.711%
Zero 0.000% 6 0.78% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 10.19%
12 1 Year 9.41%
36 3 Years 7.98%
60 5 Years 7.67%
120 10 Years 7.87%
240 20 Years 7.23%
600 50 Years 9.16%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.66. Further, an Excess Kurtosis of 34.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.67%00.00%0.00%
-6.67% to -2.50%00.00%0.00%
-2.50% to 1.68%00.00%0.00%
1.68% to 5.85%14919.33%19.33%
5.85% to 10.02%30439.43%58.75%
10.02% to 14.20%20025.94%84.70%
14.20% to 18.37%688.82%93.51%
18.37% to 22.54%273.50%97.02%
22.54% to 26.72%141.82%98.83%
Greater than 26.72%91.17%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.46%15.59% 79.90%68.27%
±2σ -1.10%21.15% 96.63%95.45%
±3σ -6.67%26.72% 98.83%99.73%
Descriptive Statistics
Mean10.024%
Standard Error0.200%
Median8.985%
Mode8.579%
Standard Deviation5.564%
Sample Variance30.961%
Kurtosis34.26
Skewness3.66
Range77.857%
Minimum2.233%
Maximum80.090%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.024% 771 100.00% 10.024%
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 0.64 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.95%00.00%0.00%
-17.95% to -13.64%60.78%0.78%
-13.64% to -9.34%324.15%4.93%
-9.34% to -5.04%13617.64%22.57%
-5.04% to -0.73%22429.05%51.62%
-0.73% to 3.58%22529.18%80.80%
3.58% to 7.88%9612.45%93.26%
7.88% to 12.19%324.15%97.41%
12.19% to 16.49%162.08%99.48%
Greater than 16.49%40.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.47%5.01% 70.69%68.27%
±2σ -12.21%10.75% 94.16%95.45%
±3σ -17.95%16.49% 99.48%99.73%
Descriptive Statistics
Mean-0.730%
Standard Error0.207%
Median-0.995%
Mode0.000%
Standard Deviation5.740%
Sample Variance32.951%
Kurtosis0.64
Skewness0.31
Range39.328%
Minimum-17.287%
Maximum22.041%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.423% 329 42.67% 1.887%
Negative -4.660% 433 56.16% -2.617%
Zero 0.000% 9 1.17% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.16. Further, an Excess Kurtosis of 0.07 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.62%00.00%0.00%
-24.62% to -17.53%31.17%1.17%
-17.53% to -10.45%124.67%5.84%
-10.45% to -3.37%4517.51%23.35%
-3.37% to 3.71%6926.85%50.19%
3.71% to 10.79%7027.24%77.43%
10.79% to 17.87%4115.95%93.39%
17.87% to 24.95%135.06%98.44%
24.95% to 32.04%41.56%100.00%
Greater than 32.04%00.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.73%13.15% 67.70%68.27%
±2σ -15.17%22.59% 94.16%95.45%
±3σ -24.62%32.04% 100.00%99.73%
Descriptive Statistics
Mean3.710%
Standard Error0.589%
Median3.661%
Mode-12.978%
Standard Deviation9.442%
Sample Variance89.149%
Kurtosis0.07
Skewness0.16
Range52.311%
Minimum-21.050%
Maximum31.261%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.148% 165 64.20% 5.873%
Negative -6.042% 92 35.80% -2.163%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 16.96%
12 3 Years 14.67%
20 5 Years 13.29%
40 10 Years 13.53%
80 20 Years 12.55%
200 50 Years 15.48%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.69. Further, an Excess Kurtosis of 14.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.11%00.00%0.00%
-10.11% to -3.10%00.00%0.00%
-3.10% to 3.91%00.00%0.00%
3.91% to 10.92%5019.38%19.38%
10.92% to 17.93%10339.92%59.30%
17.93% to 24.94%6224.03%83.33%
24.94% to 31.95%2710.47%93.80%
31.95% to 38.96%93.49%97.29%
38.96% to 45.97%41.55%98.84%
Greater than 45.97%31.16%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 8.58%27.27% 79.84%68.27%
±2σ -0.77%36.62% 97.29%95.45%
±3σ -10.11%45.97% 98.84%99.73%
Descriptive Statistics
Mean17.928%
Standard Error0.582%
Median15.797%
Mode12.160%
Standard Deviation9.347%
Sample Variance87.362%
Kurtosis14.90
Skewness2.69
Range85.052%
Minimum5.672%
Maximum90.724%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.928% 258 100.00% 17.928%
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 0.38. Further, an Excess Kurtosis of 0.38 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -29.08%00.00%0.00%
-29.08% to -22.36%20.78%0.78%
-22.36% to -15.65%135.04%5.81%
-15.65% to -8.93%4216.28%22.09%
-8.93% to -2.22%8332.17%54.26%
-2.22% to 4.50%6224.03%78.29%
4.50% to 11.21%3714.34%92.64%
11.21% to 17.93%135.04%97.67%
17.93% to 24.65%41.55%99.22%
Greater than 24.65%20.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.17%6.74% 67.05%68.27%
±2σ -20.12%15.69% 96.51%95.45%
±3σ -29.08%24.65% 99.22%99.73%
Descriptive Statistics
Mean-2.216%
Standard Error0.557%
Median-3.083%
Mode-23.669%
Standard Deviation8.954%
Sample Variance80.179%
Kurtosis0.38
Skewness0.38
Range51.447%
Minimum-23.669%
Maximum27.778%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.991% 96 37.21% 2.601%
Negative -7.719% 161 62.40% -4.817%
Zero 0.000% 1 0.39% 0.000%