Markets Data Volatility Heatmap Portfolio Calculator

JPM Deep Analytical Report

JPMorgan Chase & Co. | Category: Equity Mega Cap | Ann. Div Yield: 2.02% ($5.80) | Last Updated: 2026-03-24 | Data Range: 1980-03-01 → 2026-03-01 (553 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% 1.95% 1.89% 2.12% 2.08% 2.10% 283.99 296.05 278.15 302.27
Weekly 4.83% 4.98% 4.71% 4.96% 4.58% 4.63% 276.99 303.54 264.60 317.75
Monthly 8.91% 11.70% 9.36% 10.79% 9.53% 9.63% 263.61 318.94 239.66 350.82
Quarterly 14.87% 22.52% 16.93% 19.02% 16.50% 16.68% 245.86 341.98 208.46 403.32
Annual — — — — 33.00% 33.37% 208.46 403.32 149.87 561.01
Option Time Horizon — — — — 12.46% 12.59% 256.00 328.42 226.02 371.99
Calculation Notes: Computed at 2026-03-23T16:30 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $289.96  |  Strike (K): $290.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $14.5000 (Bid $14.1500 / Ask $14.8500)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.02%  |  Binomial IV (Annual): 33.00% (CRR binomial tree, American, n=20 steps)  |  BS IV: 32.60% (European Black-Scholes)  |  Yahoo IV (Annual): 33.37% → 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 -6.54%750.65%0.65%
-6.54% to -4.89%920.79%1.44%
-4.89% to -3.24%3573.08%4.52%
-3.24% to -1.58%122910.60%15.12%
-1.58% to 0.07%428836.98%52.09%
0.07% to 1.73%385833.27%85.36%
1.73% to 3.38%11559.96%95.32%
3.38% to 5.04%3342.88%98.20%
5.04% to 6.69%1010.87%99.07%
Greater than 6.69%1080.93%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.13%2.28% 79.99%68.27%
±2σ -4.34%4.49% 95.46%95.45%
±3σ -6.54%6.69% 98.42%99.73%
Descriptive Statistics
Mean0.073%
Standard Error0.020%
Median0.000%
Mode0.000%
Standard Deviation2.206%
Sample Variance4.868%
Kurtosis14.39
Skewness0.44
Range52.816%
Minimum-27.719%
Maximum25.097%
Count11597
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.551% 5690 49.06% 0.761%
Negative -1.463% 5458 47.06% -0.689%
Zero 0.000% 449 3.87% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.04%
20 1 Month 2.50%
60 1 Quarter 2.39%
250 1 Year 2.25%
750 3 Years 1.96%
1,250 5 Years 2.12%
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 36.03 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 1.03%123210.62%10.62%
1.03% to 2.49%636654.89%65.51%
2.49% to 3.96%246421.25%86.76%
3.96% to 5.42%8647.45%94.21%
5.42% to 6.89%3452.97%97.18%
6.89% to 8.35%1271.10%98.28%
Greater than 8.35%2001.72%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.54%4.45% 89.71%68.27%
±2σ -1.42%6.40% 96.53%95.45%
±3σ -3.37%8.35% 98.28%99.73%
Descriptive Statistics
Mean2.491%
Standard Error0.018%
Median1.968%
Mode2.326%
Standard Deviation1.954%
Sample Variance3.816%
Kurtosis36.03
Skewness4.29
Range38.122%
Minimum0.228%
Maximum38.350%
Count11598
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.491% 11598 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 24.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.65%890.77%0.77%
-5.65% to -4.24%1030.89%1.66%
-4.24% to -2.82%3302.85%4.50%
-2.82% to -1.41%119510.30%14.80%
-1.41% to 0.01%440838.01%52.81%
0.01% to 1.42%369531.86%84.67%
1.42% to 2.84%122910.60%95.27%
2.84% to 4.25%3543.05%98.32%
4.25% to 5.67%1191.03%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% 95.35%95.45%
±3σ -5.65%5.67% 98.58%99.73%
Descriptive Statistics
Mean0.008%
Standard Error0.018%
Median0.000%
Mode0.000%
Standard Deviation1.887%
Sample Variance3.562%
Kurtosis24.54
Skewness0.73
Range56.762%
Minimum-18.412%
Maximum38.350%
Count11598
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.317% 5478 47.23% 0.622%
Negative -1.282% 5556 47.91% -0.614%
Zero 0.000% 564 4.86% 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 8.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.14%170.71%0.71%
-14.14% to -10.52%220.92%1.62%
-10.52% to -6.90%903.75%5.37%
-6.90% to -3.27%28111.70%17.08%
-3.27% to 0.35%77732.36%49.44%
0.35% to 3.98%82534.36%83.80%
3.98% to 7.60%27011.25%95.04%
7.60% to 11.22%712.96%98.00%
11.22% to 14.85%281.17%99.17%
Greater than 14.85%200.83%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.48%5.18% 77.84%68.27%
±2σ -9.31%10.02% 95.21%95.45%
±3σ -14.14%14.85% 98.46%99.73%
Descriptive Statistics
Mean0.351%
Standard Error0.099%
Median0.403%
Mode0.000%
Standard Deviation4.832%
Sample Variance23.346%
Kurtosis8.13
Skewness0.50
Range75.152%
Minimum-29.932%
Maximum45.220%
Count2401
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.447% 1294 53.89% 1.858%
Negative -3.369% 1074 44.73% -1.507%
Zero 0.000% 33 1.37% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 5.50%
12 1 Quarter 5.70%
52 1 Year 5.19%
156 3 Years 4.63%
260 5 Years 4.96%
520 10 Years 4.99%
1,040 20 Years 5.96%
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 25.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.42%00.00%0.00%
-8.42% to -4.68%00.00%0.00%
-4.68% to -0.95%00.00%0.00%
-0.95% to 2.79%27411.41%11.41%
2.79% to 6.53%128553.50%64.90%
6.53% to 10.26%53122.11%87.01%
10.26% to 14.00%1707.08%94.09%
14.00% to 17.73%712.96%97.04%
17.73% to 21.47%261.08%98.13%
Greater than 21.47%451.87%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.54%11.51% 89.43%68.27%
±2σ -3.44%16.49% 96.21%95.45%
±3σ -8.42%21.47% 98.13%99.73%
Descriptive Statistics
Mean6.525%
Standard Error0.102%
Median5.173%
Mode8.333%
Standard Deviation4.982%
Sample Variance24.825%
Kurtosis25.54
Skewness3.81
Range66.925%
Minimum1.181%
Maximum68.106%
Count2402
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.525% 2402 100.00% 6.525%
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 8.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.10%120.50%0.50%
-14.10% to -10.57%190.79%1.29%
-10.57% to -7.04%702.91%4.20%
-7.04% to -3.50%29812.41%16.61%
-3.50% to 0.03%90337.59%54.20%
0.03% to 3.56%70429.31%83.51%
3.56% to 7.09%26210.91%94.42%
7.09% to 10.62%873.62%98.04%
10.62% to 14.15%261.08%99.13%
Greater than 14.15%210.87%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.68%4.73% 77.98%68.27%
±2σ -9.39%9.44% 95.34%95.45%
±3σ -14.10%14.15% 98.63%99.73%
Descriptive Statistics
Mean0.025%
Standard Error0.096%
Median-0.300%
Mode0.000%
Standard Deviation4.707%
Sample Variance22.160%
Kurtosis8.46
Skewness0.92
Range70.957%
Minimum-27.268%
Maximum43.689%
Count2402
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.555% 1104 45.96% 1.634%
Negative -3.055% 1265 52.66% -1.609%
Zero 0.000% 33 1.37% 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 -11.95%213.80%6.16%
-11.95% to -5.26%6611.96%18.12%
-5.26% to 1.43%17732.07%50.18%
1.43% to 8.11%16830.43%80.62%
8.11% to 14.80%7213.04%93.66%
14.80% to 21.48%254.53%98.19%
21.48% to 28.17%81.45%99.64%
Greater than 28.17%20.36%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.49%10.34% 75.00%68.27%
±2σ -16.40%19.25% 93.66%95.45%
±3σ -25.32%28.17% 98.55%99.73%
Descriptive Statistics
Mean1.425%
Standard Error0.379%
Median1.330%
Mode-0.991%
Standard Deviation8.915%
Sample Variance79.473%
Kurtosis1.61
Skewness-0.23
Range67.591%
Minimum-34.677%
Maximum32.914%
Count552
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.244% 311 56.34% 4.081%
Negative -6.111% 240 43.48% -2.657%
Zero 0.000% 1 0.18% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 10.68%
12 1 Year 10.37%
36 3 Years 10.36%
60 5 Years 10.79%
120 10 Years 11.10%
240 20 Years 12.80%
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 20.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -19.67%00.00%0.00%
-19.67% to -10.90%00.00%0.00%
-10.90% to -2.13%00.00%0.00%
-2.13% to 6.65%478.50%8.50%
6.65% to 15.42%32859.31%67.81%
15.42% to 24.20%11220.25%88.07%
24.20% to 32.97%346.15%94.21%
32.97% to 41.75%142.53%96.75%
41.75% to 50.52%71.27%98.01%
Greater than 50.52%111.99%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.72%27.12% 90.78%68.27%
±2σ -7.97%38.82% 95.84%95.45%
±3σ -19.67%50.52% 98.01%99.73%
Descriptive Statistics
Mean15.423%
Standard Error0.497%
Median12.500%
Mode7.206%
Standard Deviation11.699%
Sample Variance136.863%
Kurtosis20.06
Skewness3.69
Range112.508%
Minimum3.338%
Maximum115.846%
Count553
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.423% 553 100.00% 15.423%
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 4.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -28.32%00.00%0.00%
-28.32% to -21.30%30.54%0.54%
-21.30% to -14.29%203.62%4.16%
-14.29% to -7.27%8715.73%19.89%
-7.27% to -0.25%18934.18%54.07%
-0.25% to 6.77%16730.20%84.27%
6.77% to 13.78%539.58%93.85%
13.78% to 20.80%162.89%96.75%
20.80% to 27.82%81.45%98.19%
Greater than 27.82%101.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.61%9.11% 77.58%68.27%
±2σ -18.96%18.46% 95.66%95.45%
±3σ -28.32%27.82% 98.19%99.73%
Descriptive Statistics
Mean-0.251%
Standard Error0.398%
Median-0.938%
Mode0.000%
Standard Deviation9.357%
Sample Variance87.558%
Kurtosis4.52
Skewness1.29
Range78.279%
Minimum-25.193%
Maximum53.086%
Count553
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.155% 249 45.03% 3.222%
Negative -6.402% 300 54.25% -3.473%
Zero 0.000% 4 0.72% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.07. Further, an Excess Kurtosis of 1.76 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -40.42%10.54%0.54%
-40.42% to -29.27%21.09%1.63%
-29.27% to -18.12%63.26%4.89%
-18.12% to -6.96%2513.59%18.48%
-6.96% to 4.19%6133.15%51.63%
4.19% to 15.34%5228.26%79.89%
15.34% to 26.49%2614.13%94.02%
26.49% 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 -10.68%19.06% 71.20%68.27%
±2σ -25.55%33.93% 95.65%95.45%
±3σ -40.42%48.80% 98.91%99.73%
Descriptive Statistics
Mean4.189%
Standard Error1.096%
Median3.825%
Mode8.552%
Standard Deviation14.870%
Sample Variance221.127%
Kurtosis1.76
Skewness-0.07
Range113.052%
Minimum-54.630%
Maximum58.422%
Count184
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.371% 118 64.13% 7.934%
Negative -10.439% 66 35.87% -3.744%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 16.45%
12 3 Years 19.18%
20 5 Years 19.02%
40 10 Years 19.74%
80 20 Years 21.39%
200 50 Years 23.77%
High-to-Low 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 11.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -38.85%00.00%0.00%
-38.85% to -21.96%00.00%0.00%
-21.96% to -5.07%00.00%0.00%
-5.07% to 11.82%126.49%6.49%
11.82% to 28.71%11863.78%70.27%
28.71% to 45.60%3317.84%88.11%
45.60% to 62.49%105.41%93.51%
62.49% to 79.38%31.62%95.14%
79.38% to 96.27%42.16%97.30%
Greater than 96.27%52.70%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 6.19%51.23% 90.81%68.27%
±2σ -16.33%73.75% 95.14%95.45%
±3σ -38.85%96.27% 97.30%99.73%
Descriptive Statistics
Mean28.713%
Standard Error1.656%
Median22.511%
Mode7.007%
Standard Deviation22.520%
Sample Variance507.149%
Kurtosis11.85
Skewness3.13
Range147.538%
Minimum7.007%
Maximum154.545%
Count185
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 28.713% 185 100.00% 28.713%
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 2.75. Further, an Excess Kurtosis of 16.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -51.63%00.00%0.00%
-51.63% to -38.93%00.00%0.00%
-38.93% to -26.24%31.62%1.62%
-26.24% to -13.54%2815.14%16.76%
-13.54% to -0.84%7741.62%58.38%
-0.84% to 11.85%4825.95%84.32%
11.85% to 24.55%2010.81%95.14%
24.55% to 37.24%42.16%97.30%
37.24% to 49.94%31.62%98.92%
Greater than 49.94%21.08%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -17.77%16.08% 78.92%68.27%
±2σ -34.70%33.01% 96.22%95.45%
±3σ -51.63%49.94% 98.92%99.73%
Descriptive Statistics
Mean-0.845%
Standard Error1.245%
Median-3.035%
Mode-35.366%
Standard Deviation16.928%
Sample Variance286.562%
Kurtosis16.54
Skewness2.75
Range160.057%
Minimum-35.366%
Maximum124.691%
Count185
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 14.034% 70 37.84% 5.310%
Negative -9.989% 114 61.62% -6.155%
Zero 0.000% 1 0.54% 0.000%