Markets Data Volatility Heatmap Portfolio Calculator

JPM Deep Analytical Report

JPMorgan Chase & Co. | Category: Equity Mega Cap | Ann. Div Yield: 1.88% ($5.80) | Last Updated: 2026-02-22 | Data Range: 1980-03-01 → 2026-02-01 (552 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 2.21% 1.96% 1.89% 2.13% 1.68% 1.83% 305.61 316.06 300.52 321.41
Weekly 4.83% 4.99% 4.71% 4.95% 3.70% 4.02% 299.50 322.50 288.62 334.66
Monthly 8.92% 11.71% 9.37% 10.79% 7.70% 8.38% 287.75 335.67 266.42 362.55
Quarterly 14.86% 22.55% 16.92% 18.73% 13.34% 14.51% 271.98 355.14 238.01 405.83
Annual — — — — 26.68% 29.02% 238.01 405.83 182.27 529.93
Option Time Horizon — — — — 10.26% 11.16% 280.48 344.38 253.12 381.60
Calculation Notes: Computed at 2026-02-22T14:16 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $310.79  |  Strike (K): $315.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $11.2500 (Bid $10.4500 / Ask $12.0500)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 1.88%  |  Binomial IV (Annual): 26.68% (CRR binomial tree, American, n=20 steps)  |  BS IV: 26.89% (European Black-Scholes)  |  Yahoo IV (Annual): 29.02% → 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
2026-01-06 $1.5000
2025-10-06 $1.5000
2025-07-03 $1.4000
2025-04-04 $1.4000
2025-01-06 $1.2500
2024-10-04 $1.2500
2024-07-05 $1.1500
2024-04-04 $1.1500
2024-01-04 $1.0500
2023-10-05 $1.0500
2023-07-05 $1.0000
2023-04-05 $1.0000
2023-01-05 $1.0000
2022-10-05 $1.0000
2022-07-05 $1.0000
2022-04-05 $1.0000
2022-01-05 $1.0000
2021-10-05 $1.0000
2021-07-02 $0.9000
2021-04-05 $0.9000
2021-01-05 $0.9000
2020-10-05 $0.9000
2020-07-02 $0.9000
2020-04-03 $0.9000
2020-01-03 $0.9000
2019-10-03 $0.9000
2019-07-03 $0.8000
2019-04-04 $0.8000
2019-01-03 $0.8000
2018-10-04 $0.8000
2018-07-05 $0.5600
2018-04-05 $0.5600
2018-01-04 $0.5600
2017-10-05 $0.5600
2017-07-03 $0.5000
2017-04-04 $0.5000
2017-01-04 $0.4800
2016-10-04 $0.4800
2016-07-01 $0.4800
2016-04-04 $0.4400
2016-01-04 $0.4400
2015-10-02 $0.4400
2015-07-01 $0.4400
2015-04-01 $0.4000
2015-01-02 $0.4000
2014-10-02 $0.4000
2014-07-01 $0.4000
2014-04-02 $0.3800
2014-01-02 $0.3800
2013-10-02 $0.3800
2013-07-02 $0.3800
2013-04-03 $0.3000
2013-01-02 $0.3000
2012-10-03 $0.3000
2012-07-03 $0.3000
2012-04-03 $0.3000
2012-01-04 $0.2500
2011-10-04 $0.2500
2011-07-01 $0.2500
2011-04-04 $0.2500
2011-01-04 $0.0500
2010-10-04 $0.0500
2010-07-01 $0.0500
2010-04-01 $0.0500
2010-01-04 $0.0500
2009-10-02 $0.0500
2009-07-01 $0.0500
2009-04-02 $0.0500
2009-01-02 $0.3800
2008-10-02 $0.3800
2008-07-01 $0.3800
2008-04-02 $0.3800
2008-01-02 $0.3800
2007-10-03 $0.3800
2007-07-03 $0.3800
2007-04-03 $0.3400
2007-01-03 $0.3400
2006-10-04 $0.3400
2006-07-03 $0.3400
2006-04-04 $0.3400
2006-01-04 $0.3400
2005-10-04 $0.3400
2005-07-01 $0.3400
2005-04-04 $0.3400
2005-01-04 $0.3400
2004-10-04 $0.3400
2004-07-01 $0.3400
2004-04-02 $0.3400
2004-01-02 $0.3400
2003-10-02 $0.3400
2003-07-01 $0.3400
2003-04-02 $0.3400
2003-01-02 $0.3400
2002-10-02 $0.3400
2002-07-02 $0.3400
2002-04-03 $0.3400
2002-01-02 $0.3400
2001-10-03 $0.3400
2001-07-03 $0.3400
2001-04-04 $0.3400
2001-01-03 $0.3200
2000-10-04 $0.3200
2000-07-03 $0.3200
2000-04-04 $0.3200
2000-01-04 $0.2733
1999-10-04 $0.2733
1999-07-01 $0.2733
1999-04-01 $0.2733
1999-01-04 $0.2400
1998-10-02 $0.2400
1998-07-01 $0.2400
1998-04-02 $0.2400
1998-01-02 $0.2067
1997-10-02 $0.2067
1997-07-01 $0.2067
1997-04-02 $0.2067
1997-01-02 $0.1867
1996-10-02 $0.1867
1996-07-02 $0.1867
1996-04-02 $0.0623
1996-01-03 $0.1667
1995-10-04 $0.1667
1995-07-03 $0.1667
1995-03-31 $0.1467
1994-12-30 $0.1467
1994-09-30 $0.1467
1994-06-29 $0.1267
1994-03-30 $0.1267
1993-12-31 $0.1267
1993-09-30 $0.1100
1993-06-29 $0.1100
1993-03-31 $0.1100
1992-12-30 $0.1000
1992-09-30 $0.1000
1992-06-29 $0.1000
1992-03-31 $0.1000
1991-12-23 $0.0163
1991-12-09 $0.0833
1991-09-09 $0.0833
1991-06-10 $0.0833
1991-03-11 $0.0833
1990-12-10 $0.0833
1990-09-10 $0.2267
1990-06-11 $0.2267
1990-03-09 $0.2267
1989-12-11 $0.2267
1989-09-11 $0.2267
1989-06-09 $0.2267
1989-03-09 $0.2267
1988-12-09 $0.2267
1988-09-09 $0.2267
1988-06-09 $0.2267
1988-03-09 $0.2267
1987-12-09 $0.2267
1987-09-09 $0.2267
1987-06-09 $0.2267
1987-03-09 $0.2267
1986-12-09 $0.2167
1986-09-09 $0.2167
1986-06-09 $0.2167
1986-03-10 $0.2167
1985-12-09 $0.2067
1985-09-09 $0.2067
1985-06-10 $0.2067
1985-03-11 $0.2067
1984-12-10 $0.1967
1984-09-10 $0.1967
1984-06-11 $0.1967
1984-03-09 $0.1967
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.44. Further, an Excess Kurtosis of 14.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.55%750.65%0.65%
-6.55% to -4.89%920.79%1.44%
-4.89% to -3.24%3563.08%4.52%
-3.24% to -1.58%123210.64%15.16%
-1.58% to 0.07%427536.93%52.09%
0.07% to 1.73%384933.25%85.34%
1.73% to 3.38%11559.98%95.32%
3.38% to 5.04%3332.88%98.19%
5.04% to 6.70%1010.87%99.07%
Greater than 6.70%1080.93%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.13%2.28% 79.97%68.27%
±2σ -4.34%4.49% 95.45%95.45%
±3σ -6.55%6.69% 98.42%99.73%
Descriptive Statistics
Mean0.074%
Standard Error0.021%
Median0.000%
Mode0.000%
Standard Deviation2.207%
Sample Variance4.873%
Kurtosis14.39
Skewness0.44
Range52.816%
Minimum-27.719%
Maximum25.097%
Count11576
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.553% 5680 49.07% 0.762%
Negative -1.463% 5447 47.05% -0.688%
Zero 0.000% 449 3.88% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 1.84%
20 1 Month 2.46%
60 1 Quarter 2.19%
250 1 Year 2.28%
750 3 Years 1.97%
1,250 5 Years 2.13%
2,500 10 Years 2.13%
5,000 20 Years 2.57%
12,500 50 Years 2.65%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.29. Further, an Excess Kurtosis of 36.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.37%00.00%0.00%
-3.37% to -1.91%00.00%0.00%
-1.91% to -0.44%00.00%0.00%
-0.44% to 1.02%123110.63%10.63%
1.02% to 2.49%635354.88%65.51%
2.49% to 3.96%245921.24%86.75%
3.96% to 5.42%8647.46%94.21%
5.42% to 6.89%3432.96%97.18%
6.89% to 8.36%1271.10%98.27%
Greater than 8.36%2001.73%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.54%4.45% 89.72%68.27%
±2σ -1.42%6.40% 96.52%95.45%
±3σ -3.37%8.36% 98.27%99.73%
Descriptive Statistics
Mean2.491%
Standard Error0.018%
Median1.968%
Mode2.326%
Standard Deviation1.955%
Sample Variance3.821%
Kurtosis36.00
Skewness4.29
Range38.122%
Minimum0.228%
Maximum38.350%
Count11577
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.491% 11577 100.00% 2.491%
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 24.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.66%890.77%0.77%
-5.66% to -4.24%1030.89%1.66%
-4.24% to -2.82%3292.84%4.50%
-2.82% to -1.41%118910.27%14.77%
-1.41% to 0.01%440438.04%52.81%
0.01% to 1.42%368831.86%84.67%
1.42% to 2.84%122810.61%95.28%
2.84% to 4.26%3533.05%98.32%
4.26% to 5.67%1181.02%99.34%
Greater than 5.67%760.66%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.88%1.90% 79.99%68.27%
±2σ -3.77%3.78% 95.36%95.45%
±3σ -5.66%5.67% 98.57%99.73%
Descriptive Statistics
Mean0.008%
Standard Error0.018%
Median0.000%
Mode0.000%
Standard Deviation1.888%
Sample Variance3.565%
Kurtosis24.53
Skewness0.73
Range56.762%
Minimum-18.412%
Maximum38.350%
Count11577
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.318% 5468 47.23% 0.623%
Negative -1.283% 5545 47.90% -0.615%
Zero 0.000% 564 4.87% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.50. Further, an Excess Kurtosis of 8.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.15%170.71%0.71%
-14.15% to -10.53%220.92%1.63%
-10.53% to -6.90%903.75%5.38%
-6.90% to -3.27%28111.72%17.10%
-3.27% to 0.35%77632.37%49.48%
0.35% to 3.98%82234.29%83.77%
3.98% to 7.61%27011.26%95.04%
7.61% to 11.23%712.96%98.00%
11.23% to 14.86%281.17%99.17%
Greater than 14.86%200.83%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.48%5.19% 77.81%68.27%
±2σ -9.32%10.02% 95.20%95.45%
±3σ -14.15%14.86% 98.46%99.73%
Descriptive Statistics
Mean0.354%
Standard Error0.099%
Median0.416%
Mode0.000%
Standard Deviation4.835%
Sample Variance23.380%
Kurtosis8.11
Skewness0.50
Range75.152%
Minimum-29.932%
Maximum45.220%
Count2397
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.447% 1294 53.98% 1.861%
Negative -3.376% 1070 44.64% -1.507%
Zero 0.000% 33 1.38% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 5.72%
12 1 Quarter 5.11%
52 1 Year 5.28%
156 3 Years 4.65%
260 5 Years 4.95%
520 10 Years 4.97%
1,040 20 Years 5.95%
2,600 50 Years 6.32%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.81. Further, an Excess Kurtosis of 25.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.44%00.00%0.00%
-8.44% to -4.70%00.00%0.00%
-4.70% to -0.95%00.00%0.00%
-0.95% to 2.79%27211.34%11.34%
2.79% to 6.53%128453.54%64.89%
6.53% to 10.27%53022.10%86.99%
10.27% to 14.01%1707.09%94.08%
14.01% to 17.75%712.96%97.04%
17.75% to 21.49%261.08%98.12%
Greater than 21.49%451.88%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.54%11.51% 89.41%68.27%
±2σ -3.45%16.50% 96.21%95.45%
±3σ -8.44%21.49% 98.12%99.73%
Descriptive Statistics
Mean6.526%
Standard Error0.102%
Median5.165%
Mode8.333%
Standard Deviation4.987%
Sample Variance24.866%
Kurtosis25.49
Skewness3.81
Range66.925%
Minimum1.181%
Maximum68.106%
Count2398
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.526% 2398 100.00% 6.526%
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 0.92. Further, an Excess Kurtosis of 8.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.11%120.50%0.50%
-14.11% to -10.58%190.79%1.29%
-10.58% to -7.04%692.88%4.17%
-7.04% to -3.51%29512.30%16.47%
-3.51% to 0.02%90637.78%54.25%
0.02% to 3.56%70229.27%83.53%
3.56% to 7.09%26110.88%94.41%
7.09% to 10.62%873.63%98.04%
10.62% to 14.16%261.08%99.12%
Greater than 14.16%210.88%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.69%4.73% 77.94%68.27%
±2σ -9.40%9.45% 95.37%95.45%
±3σ -14.11%14.16% 98.62%99.73%
Descriptive Statistics
Mean0.023%
Standard Error0.096%
Median-0.301%
Mode0.000%
Standard Deviation4.711%
Sample Variance22.198%
Kurtosis8.44
Skewness0.92
Range70.957%
Minimum-27.268%
Maximum43.689%
Count2398
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.561% 1101 45.91% 1.635%
Negative -3.059% 1264 52.71% -1.612%
Zero 0.000% 33 1.38% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.23. Further, an Excess Kurtosis of 1.61 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -25.32%61.09%1.09%
-25.32% to -18.63%71.27%2.36%
-18.63% to -11.94%213.81%6.17%
-11.94% to -5.25%6611.98%18.15%
-5.25% to 1.44%17631.94%50.09%
1.44% to 8.13%16830.49%80.58%
8.13% to 14.82%7213.07%93.65%
14.82% to 21.51%254.54%98.19%
21.51% to 28.20%81.45%99.64%
Greater than 28.20%20.36%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.48%10.36% 74.95%68.27%
±2σ -16.40%19.28% 93.65%95.45%
±3σ -25.32%28.20% 98.55%99.73%
Descriptive Statistics
Mean1.439%
Standard Error0.380%
Median1.425%
Mode-0.991%
Standard Deviation8.920%
Sample Variance79.562%
Kurtosis1.61
Skewness-0.23
Range67.591%
Minimum-34.677%
Maximum32.914%
Count551
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.226% 312 56.62% 4.092%
Negative -6.141% 238 43.19% -2.653%
Zero 0.000% 1 0.18% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 10.93%
12 1 Year 10.90%
36 3 Years 10.50%
60 5 Years 10.79%
120 10 Years 11.09%
240 20 Years 12.78%
600 50 Years 13.88%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.69. Further, an Excess Kurtosis of 20.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -19.69%00.00%0.00%
-19.69% to -10.91%00.00%0.00%
-10.91% to -2.13%00.00%0.00%
-2.13% to 6.65%478.51%8.51%
6.65% to 15.43%32759.24%67.75%
15.43% to 24.21%11220.29%88.04%
24.21% to 32.99%346.16%94.20%
32.99% to 41.77%142.54%96.74%
41.77% to 50.55%71.27%98.01%
Greater than 50.55%111.99%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.73%27.14% 90.76%68.27%
±2σ -7.98%38.85% 95.83%95.45%
±3σ -19.69%50.55% 98.01%99.73%
Descriptive Statistics
Mean15.433%
Standard Error0.498%
Median12.514%
Mode7.206%
Standard Deviation11.707%
Sample Variance137.051%
Kurtosis20.03
Skewness3.69
Range112.508%
Minimum3.338%
Maximum115.846%
Count552
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.433% 552 100.00% 15.433%
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 1.29. Further, an Excess Kurtosis of 4.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -28.36%00.00%0.00%
-28.36% to -21.33%30.54%0.54%
-21.33% to -14.31%203.62%4.17%
-14.31% to -7.28%8615.58%19.75%
-7.28% to -0.26%19134.60%54.35%
-0.26% to 6.76%16529.89%84.24%
6.76% to 13.79%539.60%93.84%
13.79% to 20.81%162.90%96.74%
20.81% to 27.84%81.45%98.19%
Greater than 27.84%101.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.63%9.11% 77.54%68.27%
±2σ -18.99%18.47% 95.65%95.45%
±3σ -28.36%27.84% 98.19%99.73%
Descriptive Statistics
Mean-0.260%
Standard Error0.399%
Median-0.990%
Mode0.000%
Standard Deviation9.366%
Sample Variance87.713%
Kurtosis4.51
Skewness1.29
Range78.279%
Minimum-25.193%
Maximum53.086%
Count552
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.202% 247 44.75% 3.223%
Negative -6.387% 301 54.53% -3.483%
Zero 0.000% 4 0.72% 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 1.78 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -40.35%10.54%0.54%
-40.35% to -29.20%21.09%1.63%
-29.20% to -18.06%73.80%5.43%
-18.06% to -6.92%2513.59%19.02%
-6.92% to 4.22%6032.61%51.63%
4.22% to 15.37%5228.26%79.89%
15.37% to 26.51%2614.13%94.02%
26.51% to 37.65%94.89%98.91%
37.65% to 48.80%10.54%99.46%
Greater than 48.80%10.54%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.63%19.08% 71.20%68.27%
±2σ -25.49%33.94% 95.65%95.45%
±3σ -40.35%48.80% 98.91%99.73%
Descriptive Statistics
Mean4.224%
Standard Error1.095%
Median3.824%
Mode8.552%
Standard Deviation14.857%
Sample Variance220.720%
Kurtosis1.78
Skewness-0.08
Range113.052%
Minimum-54.630%
Maximum58.422%
Count184
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.280% 119 64.67% 7.942%
Negative -10.526% 65 35.33% -3.718%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 15.02%
12 3 Years 18.70%
20 5 Years 18.73%
40 10 Years 19.60%
80 20 Years 21.32%
200 50 Years 23.74%
High-to-Low 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 11.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -38.96%00.00%0.00%
-38.96% to -22.05%00.00%0.00%
-22.05% to -5.14%00.00%0.00%
-5.14% to 11.77%126.49%6.49%
11.77% to 28.68%11863.78%70.27%
28.68% to 45.59%3317.84%88.11%
45.59% to 62.49%105.41%93.51%
62.49% to 79.40%31.62%95.14%
79.40% to 96.31%42.16%97.30%
Greater than 96.31%52.70%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 6.13%51.22% 90.81%68.27%
±2σ -16.41%73.77% 95.14%95.45%
±3σ -38.96%96.31% 97.30%99.73%
Descriptive Statistics
Mean28.676%
Standard Error1.658%
Median22.511%
Mode7.007%
Standard Deviation22.545%
Sample Variance508.282%
Kurtosis11.80
Skewness3.12
Range147.538%
Minimum7.007%
Maximum154.545%
Count185
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 28.676% 185 100.00% 28.676%
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 2.76. Further, an Excess Kurtosis of 16.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -51.65%00.00%0.00%
-51.65% to -38.96%00.00%0.00%
-38.96% to -26.27%31.62%1.62%
-26.27% to -13.57%2815.14%16.76%
-13.57% to -0.88%7741.62%58.38%
-0.88% to 11.81%4825.95%84.32%
11.81% to 24.50%2010.81%95.14%
24.50% to 37.20%42.16%97.30%
37.20% to 49.89%31.62%98.92%
Greater than 49.89%21.08%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -17.80%16.04% 78.92%68.27%
±2σ -34.73%32.97% 96.22%95.45%
±3σ -51.65%49.89% 98.92%99.73%
Descriptive Statistics
Mean-0.881%
Standard Error1.244%
Median-3.035%
Mode-35.366%
Standard Deviation16.924%
Sample Variance286.410%
Kurtosis16.58
Skewness2.76
Range160.057%
Minimum-35.366%
Maximum124.691%
Count185
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 14.172% 69 37.30% 5.286%
Negative -9.920% 115 62.16% -6.166%
Zero 0.000% 1 0.54% 0.000%