Markets Data Volatility Heatmap Portfolio Calculator

JNJ Deep Analytical Report

Johnson & Johnson | Category: Equity Mega Cap | Ann. Div Yield: 2.08% ($5.14) | Last Updated: 2026-02-22 | Data Range: 1962-01-01 → 2026-02-01 (770 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% 1.36% 1.45% 239.23 245.80 236.01 249.15
Weekly 3.26% 2.82% 3.17% 3.52% 2.98% 3.20% 235.36 249.83 228.44 257.40
Monthly 5.87% 5.57% 5.74% 7.70% 6.21% 6.66% 227.89 258.03 214.17 274.56
Quarterly 9.44% 9.35% 8.96% 13.19% 10.76% 11.54% 217.76 270.03 195.55 300.70
Annual — — — — 21.51% 23.08% 195.55 300.70 157.70 372.88
Option Time Horizon — — — — 8.28% 8.88% 223.23 263.41 205.50 286.14
Calculation Notes: Computed at 2026-02-22T14:17 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $242.49  |  Strike (K): $250.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $5.1250 (Bid $4.7000 / Ask $5.5500)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.08%  |  Binomial IV (Annual): 21.51% (CRR binomial tree, American, n=20 steps)  |  BS IV: 21.55% (European Black-Scholes)  |  Yahoo IV (Annual): 23.08% → 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
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%5793.61%5.18%
-2.10% to -1.02%194112.11%17.29%
-1.02% to 0.06%558534.84%52.14%
0.06% to 1.14%491730.68%82.81%
1.14% to 2.22%184811.53%94.34%
2.22% to 3.30%5823.63%97.97%
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% 76.45%68.27%
±2σ -2.82%2.94% 94.73%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 Variance2.072%
Kurtosis7.37
Skewness0.09
Range34.249%
Minimum-18.354%
Maximum15.895%
Count16029
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.095% 7862 49.05% 0.537%
Negative -1.015% 7500 46.79% -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 1.35%
20 1 Month 1.57%
60 1 Quarter 1.68%
250 1 Year 1.70%
750 3 Years 1.54%
1,250 5 Years 1.54%
2,500 10 Years 1.55%
5,000 20 Years 1.47%
12,500 50 Years 1.84%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.12. Further, an Excess Kurtosis of 63.85 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%285017.78%17.78%
0.87% to 1.71%703243.87%61.65%
1.71% to 2.56%361622.56%84.20%
2.56% to 3.40%14789.22%93.42%
3.40% to 4.25%5823.63%97.06%
4.25% to 5.09%2281.42%98.48%
Greater than 5.09%2441.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.58%2.84% 82.84%68.27%
±2σ -0.54%3.96% 96.24%95.45%
±3σ -1.67%5.09% 98.48%99.73%
Descriptive Statistics
Mean1.711%
Standard Error0.009%
Median1.446%
Mode1.961%
Standard Deviation1.127%
Sample Variance1.269%
Kurtosis63.85
Skewness4.12
Range35.227%
Minimum0.067%
Maximum35.294%
Count16030
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.711% 16030 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%6263.91%5.81%
-1.87% to -0.94%182811.40%17.21%
-0.94% to -0.02%482930.12%47.34%
-0.02% to 0.90%568035.43%82.77%
0.90% to 1.82%190811.90%94.67%
1.82% to 2.75%5633.51%98.18%
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% 76.43%68.27%
±2σ -2.48%2.44% 94.64%95.45%
±3σ -3.71%3.67% 98.63%99.73%
Descriptive Statistics
Mean-0.022%
Standard Error0.010%
Median0.000%
Mode0.000%
Standard Deviation1.230%
Sample Variance1.514%
Kurtosis5.99
Skewness0.16
Range26.469%
Minimum-10.190%
Maximum16.279%
Count16030
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.913% 7420 46.29% 0.423%
Negative -0.932% 7650 47.72% -0.445%
Zero 0.000% 960 5.99% 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 -9.48%180.54%0.54%
-9.48% to -7.03%371.11%1.64%
-7.03% to -4.59%1163.47%5.11%
-4.59% to -2.14%44413.27%18.38%
-2.14% to 0.30%107031.98%50.36%
0.30% to 2.75%107332.07%82.43%
2.75% to 5.19%39811.89%94.32%
5.19% to 7.64%1313.92%98.24%
7.64% 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% 75.07%68.27%
±2σ -6.22%6.82% 95.28%95.45%
±3σ -9.48%10.08% 98.68%99.73%
Descriptive Statistics
Mean0.303%
Standard Error0.056%
Median0.292%
Mode0.000%
Standard Deviation3.260%
Sample Variance10.629%
Kurtosis4.90
Skewness0.02
Range49.256%
Minimum-28.729%
Maximum20.527%
Count3346
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.469% 1804 53.91% 1.331%
Negative -2.309% 1490 44.53% -1.028%
Zero 0.000% 52 1.55% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 3.93%
12 1 Quarter 4.21%
52 1 Year 3.87%
156 3 Years 3.57%
260 5 Years 3.52%
520 10 Years 3.56%
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 26.98 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 -1.90%00.00%0.00%
-1.90% to 0.22%00.00%0.00%
0.22% to 2.33%60918.20%18.20%
2.33% to 4.45%141442.25%60.44%
4.45% to 6.56%80624.08%84.52%
6.56% to 8.67%3179.47%93.99%
8.67% to 10.79%1083.23%97.22%
10.79% to 12.90%401.20%98.42%
Greater than 12.90%531.58%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.63%7.26% 83.45%68.27%
±2σ -1.19%10.08% 96.56%95.45%
±3σ -4.01%12.90% 98.42%99.73%
Descriptive Statistics
Mean4.445%
Standard Error0.049%
Median3.832%
Mode3.333%
Standard Deviation2.818%
Sample Variance7.942%
Kurtosis26.98
Skewness3.38
Range42.494%
Minimum0.492%
Maximum42.986%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.445% 3347 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 12.34 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%310.93%1.40%
-7.25% to -4.87%1203.59%4.99%
-4.87% to -2.49%46613.92%18.91%
-2.49% to -0.11%111133.19%52.11%
-0.11% to 2.27%100430.00%82.10%
2.27% to 4.65%41712.46%94.56%
4.65% to 7.03%1193.56%98.12%
7.03% to 9.41%361.08%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-0.113%
Standard Error0.055%
Median-0.226%
Mode0.000%
Standard Deviation3.174%
Sample Variance10.072%
Kurtosis12.34
Skewness1.08
Range57.973%
Minimum-15.919%
Maximum42.054%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.367% 1515 45.26% 1.071%
Negative -2.238% 1771 52.91% -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 0.36 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.36%10.13%0.13%
-16.36% to -11.96%131.69%1.82%
-11.96% to -7.55%374.81%6.63%
-7.55% to -3.15%10914.17%20.81%
-3.15% to 1.26%23230.17%50.98%
1.26% to 5.67%20927.18%78.15%
5.67% to 10.07%12015.60%93.76%
10.07% to 14.48%334.29%98.05%
14.48% to 18.88%131.69%99.74%
Greater than 18.88%20.26%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.61%7.13% 71.13%68.27%
±2σ -10.49%13.01% 93.89%95.45%
±3σ -16.36%18.88% 99.61%99.73%
Descriptive Statistics
Mean1.260%
Standard Error0.212%
Median1.182%
Mode0.000%
Standard Deviation5.874%
Sample Variance34.505%
Kurtosis0.36
Skewness0.06
Range38.570%
Minimum-17.339%
Maximum21.231%
Count769
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.092% 448 58.26% 2.966%
Negative -4.166% 315 40.96% -1.706%
Zero 0.000% 6 0.78% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 10.03%
12 1 Year 9.23%
36 3 Years 7.88%
60 5 Years 7.70%
120 10 Years 7.84%
240 20 Years 7.22%
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 3.65. Further, an Excess Kurtosis of 34.22 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%14919.35%19.35%
5.85% to 10.03%30339.35%58.70%
10.03% to 14.20%20025.97%84.68%
14.20% to 18.38%688.83%93.51%
18.38% to 22.55%273.51%97.01%
22.55% to 26.73%141.82%98.83%
Greater than 26.73%91.17%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.46%15.59% 79.87%68.27%
±2σ -1.11%21.16% 96.62%95.45%
±3σ -6.68%26.73% 98.83%99.73%
Descriptive Statistics
Mean10.026%
Standard Error0.201%
Median8.977%
Mode8.579%
Standard Deviation5.567%
Sample Variance30.995%
Kurtosis34.22
Skewness3.65
Range77.857%
Minimum2.233%
Maximum80.090%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.026% 770 100.00% 10.026%
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 0.66 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.94%00.00%0.00%
-17.94% to -13.64%60.78%0.78%
-13.64% to -9.34%324.16%4.94%
-9.34% to -5.04%13617.66%22.60%
-5.04% to -0.74%22429.09%51.69%
-0.74% to 3.57%22429.09%80.78%
3.57% to 7.87%9612.47%93.25%
7.87% to 12.17%314.03%97.27%
12.17% to 16.47%172.21%99.48%
Greater than 16.47%40.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.47%5.00% 70.78%68.27%
±2σ -12.21%10.74% 94.16%95.45%
±3σ -17.94%16.47% 99.48%99.73%
Descriptive Statistics
Mean-0.736%
Standard Error0.207%
Median-0.999%
Mode0.000%
Standard Deviation5.736%
Sample Variance32.898%
Kurtosis0.66
Skewness0.31
Range39.328%
Minimum-17.287%
Maximum22.041%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.418% 328 42.60% 1.882%
Negative -4.655% 433 56.23% -2.618%
Zero 0.000% 9 1.17% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.15. Further, an Excess Kurtosis of 0.06 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.61%00.00%0.00%
-24.61% to -17.53%31.17%1.17%
-17.53% to -10.44%124.67%5.84%
-10.44% to -3.36%4517.51%23.35%
-3.36% to 3.72%6826.46%49.81%
3.72% to 10.81%7127.63%77.43%
10.81% to 17.89%4115.95%93.39%
17.89% to 24.97%135.06%98.44%
24.97% to 32.05%41.56%100.00%
Greater than 32.05%00.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.72%13.17% 67.70%68.27%
±2σ -15.17%22.61% 94.16%95.45%
±3σ -24.61%32.05% 100.00%99.73%
Descriptive Statistics
Mean3.723%
Standard Error0.589%
Median3.779%
Mode-12.978%
Standard Deviation9.444%
Sample Variance89.184%
Kurtosis0.06
Skewness0.15
Range52.311%
Minimum-21.050%
Maximum31.261%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.168% 165 64.20% 5.886%
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 16.44%
12 3 Years 14.49%
20 5 Years 13.19%
40 10 Years 13.48%
80 20 Years 12.53%
200 50 Years 15.47%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.68. Further, an Excess Kurtosis of 14.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.14%00.00%0.00%
-10.14% to -3.13%00.00%0.00%
-3.13% to 3.89%00.00%0.00%
3.89% to 10.90%5019.38%19.38%
10.90% to 17.92%10239.53%58.91%
17.92% to 24.93%6324.42%83.33%
24.93% to 31.95%2710.47%93.80%
31.95% to 38.97%93.49%97.29%
38.97% to 45.98%41.55%98.84%
Greater than 45.98%31.16%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 8.57%27.27% 80.23%68.27%
±2σ -0.79%36.63% 97.29%95.45%
±3σ -10.14%45.98% 98.84%99.73%
Descriptive Statistics
Mean17.919%
Standard Error0.582%
Median15.797%
Mode12.160%
Standard Deviation9.354%
Sample Variance87.495%
Kurtosis14.86
Skewness2.68
Range85.052%
Minimum5.672%
Maximum90.724%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.919% 258 100.00% 17.919%
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 0.39. Further, an Excess Kurtosis of 0.37 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -29.10%00.00%0.00%
-29.10% to -22.38%20.78%0.78%
-22.38% to -15.66%135.04%5.81%
-15.66% to -8.95%4216.28%22.09%
-8.95% to -2.23%8332.17%54.26%
-2.23% to 4.49%6224.03%78.29%
4.49% to 11.21%3714.34%92.64%
11.21% to 17.93%135.04%97.67%
17.93% to 24.64%41.55%99.22%
Greater than 24.64%20.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.18%6.73% 67.05%68.27%
±2σ -20.14%15.69% 96.51%95.45%
±3σ -29.10%24.64% 99.22%99.73%
Descriptive Statistics
Mean-2.227%
Standard Error0.558%
Median-3.210%
Mode-23.669%
Standard Deviation8.957%
Sample Variance80.229%
Kurtosis0.37
Skewness0.39
Range51.447%
Minimum-23.669%
Maximum27.778%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.991% 96 37.21% 2.601%
Negative -7.737% 161 62.40% -4.828%
Zero 0.000% 1 0.39% 0.000%