Markets Data Volatility Heatmap Portfolio Calculator

KO Deep Analytical Report

The Coca-Cola Company | Category: Equity Mega Cap | Ann. Div Yield: 2.73% ($2.04) | 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% 1.19% 1.27% 1.46% 1.42% 1.43% 74.13 76.26 73.08 77.35
Weekly 3.22% 2.97% 3.19% 3.29% 3.12% 3.16% 72.87 77.57 70.63 80.03
Monthly 5.86% 6.18% 5.96% 7.07% 6.50% 6.58% 70.45 80.24 66.02 85.63
Quarterly 9.33% 10.73% 9.16% 11.55% 11.26% 11.39% 67.18 84.15 60.02 94.18
Annual — — — — 22.53% 22.78% 60.02 94.18 47.91 117.98
Option Time Horizon — — — — 8.50% 8.60% 69.06 81.86 63.43 89.12
Calculation Notes: Computed at 2026-03-23T16:31 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $75.18  |  Strike (K): $77.50 (first OTM call ≥ spot)  |  Observed Mid-Price: $1.6350 (Bid $1.6000 / Ask $1.6700)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.73%  |  Binomial IV (Annual): 22.53% (CRR binomial tree, American, n=20 steps)  |  BS IV: 22.61% (European Black-Scholes)  |  Yahoo IV (Annual): 22.78% → 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
2026-03-13 $0.5300
2025-12-01 $0.5100
2025-09-15 $0.5100
2025-06-13 $0.5100
2025-03-14 $0.5100
2024-11-29 $0.4850
2024-09-13 $0.4850
2024-06-14 $0.4850
2024-03-14 $0.4850
2023-11-30 $0.4600
2023-09-14 $0.4600
2023-06-15 $0.4600
2023-03-16 $0.4600
2022-11-30 $0.4400
2022-09-15 $0.4400
2022-06-14 $0.4400
2022-03-14 $0.4400
2021-11-30 $0.4200
2021-09-14 $0.4200
2021-06-14 $0.4200
2021-03-12 $0.4200
2020-11-30 $0.4100
2020-09-14 $0.4100
2020-06-12 $0.4100
2020-03-13 $0.4100
2019-11-29 $0.4000
2019-09-13 $0.4000
2019-06-13 $0.4000
2019-03-14 $0.4000
2018-11-29 $0.3900
2018-09-13 $0.3900
2018-06-14 $0.3900
2018-03-14 $0.3900
2017-11-30 $0.3700
2017-09-14 $0.3700
2017-06-13 $0.3700
2017-03-13 $0.3700
2016-11-29 $0.3500
2016-09-13 $0.3500
2016-06-13 $0.3500
2016-03-11 $0.3500
2015-11-27 $0.3300
2015-09-11 $0.3300
2015-06-11 $0.3300
2015-03-12 $0.3300
2014-11-26 $0.3050
2014-09-11 $0.3050
2014-06-12 $0.3050
2014-03-12 $0.3050
2013-11-27 $0.2800
2013-09-12 $0.2800
2013-06-12 $0.2800
2013-03-13 $0.2800
2012-11-28 $0.2550
2012-09-12 $0.2550
2012-06-13 $0.2550
2012-03-13 $0.2550
2011-11-29 $0.2350
2011-09-13 $0.2350
2011-06-13 $0.2350
2011-03-11 $0.2350
2010-11-29 $0.2200
2010-09-13 $0.2200
2010-06-11 $0.2200
2010-03-11 $0.2200
2009-11-27 $0.2050
2009-09-11 $0.2050
2009-06-11 $0.2050
2009-03-11 $0.2050
2008-11-26 $0.1900
2008-09-11 $0.1900
2008-06-11 $0.1900
2008-03-12 $0.1900
2007-11-28 $0.1700
2007-09-12 $0.1700
2007-06-13 $0.1700
2007-03-13 $0.1700
2006-11-29 $0.1550
2006-09-13 $0.1550
2006-06-13 $0.1550
2006-03-13 $0.1550
2005-11-29 $0.1400
2005-09-13 $0.1400
2005-06-13 $0.1400
2005-03-11 $0.1400
2004-11-29 $0.1250
2004-09-13 $0.1250
2004-06-14 $0.1250
2004-03-11 $0.1250
2003-11-26 $0.1100
2003-09-11 $0.1100
2003-06-11 $0.1100
2003-03-12 $0.1100
2002-11-26 $0.1000
2002-09-11 $0.1000
2002-06-12 $0.1000
2002-03-13 $0.1000
2001-11-28 $0.0900
2001-09-17 $0.0900
2001-09-10 $0.1800
2001-06-13 $0.0900
2001-03-13 $0.0900
2000-11-29 $0.0850
2000-09-13 $0.0850
2000-06-13 $0.0850
2000-03-13 $0.0850
1999-11-29 $0.0800
1999-09-13 $0.0800
1999-06-11 $0.0800
1999-03-11 $0.0800
1998-11-27 $0.0750
1998-09-11 $0.0750
1998-06-11 $0.0750
1998-03-11 $0.0750
1997-11-26 $0.0700
1997-09-11 $0.0700
1997-06-11 $0.0700
1997-03-12 $0.0700
1996-11-26 $0.0625
1996-09-11 $0.0625
1996-06-12 $0.0625
1996-03-13 $0.0625
1995-11-29 $0.0550
1995-09-13 $0.0550
1995-06-13 $0.0550
1995-03-09 $0.0550
1994-11-25 $0.0488
1994-09-09 $0.0488
1994-06-09 $0.0488
1994-03-09 $0.0488
1993-11-24 $0.0425
1993-09-09 $0.0425
1993-06-09 $0.0425
1993-03-09 $0.0425
1992-11-24 $0.0350
1992-09-09 $0.0350
1992-06-09 $0.0350
1992-03-09 $0.0350
1991-11-22 $0.0300
1991-09-09 $0.0300
1991-06-10 $0.0300
1991-03-11 $0.0300
1990-11-26 $0.0250
1990-09-10 $0.0250
1990-06-11 $0.0250
1990-03-09 $0.0250
1989-11-27 $0.0213
1989-09-11 $0.0213
1989-06-09 $0.0213
1989-03-09 $0.0213
1988-11-25 $0.0187
1988-09-09 $0.0187
1988-06-09 $0.0187
1988-03-09 $0.0187
1987-11-24 $0.0175
1987-09-09 $0.0175
1987-06-09 $0.0175
1987-03-10 $0.0175
1986-11-24 $0.0163
1986-09-09 $0.0163
1986-06-10 $0.0163
1986-03-10 $0.0163
1985-11-25 $0.0154
1985-09-10 $0.0154
1985-06-11 $0.0154
1985-03-11 $0.0154
1984-11-27 $0.0144
1984-09-10 $0.0144
1984-06-11 $0.0144
1984-03-09 $0.0144
1983-11-25 $0.0140
1983-09-12 $0.0140
1983-06-09 $0.0140
1983-03-09 $0.0140
1982-11-24 $0.0129
1982-09-09 $0.0129
1982-05-24 $0.0129
1982-03-09 $0.0129
1981-11-24 $0.0121
1981-09-09 $0.0121
1981-06-09 $0.0121
1981-03-10 $0.0121
1980-11-24 $0.0112
1980-09-10 $0.0112
1980-06-09 $0.0112
1980-03-11 $0.0112
1979-11-26 $0.0102
1979-09-10 $0.0102
1979-06-12 $0.0102
1979-03-13 $0.0102
1978-11-27 $0.0091
1978-09-08 $0.0091
1978-06-12 $0.0091
1978-03-10 $0.0091
1977-11-25 $0.0080
1977-09-12 $0.0080
1977-06-10 $0.0080
1977-03-10 $0.0080
1976-11-24 $0.0069
1976-09-10 $0.0069
1976-06-08 $0.0069
1976-03-11 $0.0069
1975-11-24 $0.0060
1975-09-10 $0.0060
1975-06-09 $0.0060
1975-03-11 $0.0060
1974-11-25 $0.0056
1974-09-10 $0.0056
1974-06-10 $0.0053
1974-03-08 $0.0053
1973-11-26 $0.0049
1973-09-10 $0.0049
1973-06-08 $0.0044
1973-03-12 $0.0044
1972-11-27 $0.0043
1972-09-08 $0.0043
1972-06-08 $0.0043
1972-03-10 $0.0043
1971-11-24 $0.0041
1971-09-10 $0.0041
1971-06-08 $0.0041
1971-03-08 $0.0041
1970-11-24 $0.0037
1970-09-10 $0.0037
1970-06-08 $0.0037
1969-11-24 $0.0034
1969-09-10 $0.0034
1969-06-09 $0.0034
1969-03-10 $0.0034
1968-11-25 $0.0031
1968-09-10 $0.0031
1968-06-10 $0.0031
1968-03-08 $0.0027
1967-11-28 $0.0027
1967-09-11 $0.0027
1967-06-09 $0.0027
1967-03-13 $0.0027
1966-11-28 $0.0025
1966-09-09 $0.0025
1966-06-09 $0.0025
1966-03-14 $0.0025
1965-11-26 $0.0022
1965-09-09 $0.0022
1965-06-09 $0.0022
1965-03-09 $0.0022
1964-11-25 $0.0020
1964-09-09 $0.0020
1964-06-09 $0.0020
1964-03-10 $0.0020
1963-11-26 $0.0018
1963-09-11 $0.0018
1963-06-11 $0.0018
1963-03-11 $0.0018
1962-11-28 $0.0016
1962-09-11 $0.0016
1962-06-11 $0.0016
1962-03-13 $0.0016
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.06. Further, an Excess Kurtosis of 12.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.25%970.60%0.60%
-4.25% to -3.17%1560.97%1.57%
-3.17% to -2.10%5153.19%4.75%
-2.10% to -1.02%194812.06%16.81%
-1.02% to 0.06%564934.97%51.78%
0.06% to 1.13%510531.60%83.38%
1.13% to 2.21%182711.31%94.69%
2.21% to 3.29%5333.30%97.99%
3.29% to 4.36%1931.19%99.19%
Greater than 4.36%1310.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.38%1.49% 77.70%68.27%
±2σ -2.82%2.93% 95.08%95.45%
±3σ -4.25%4.36% 98.59%99.73%
Descriptive Statistics
Mean0.056%
Standard Error0.011%
Median0.000%
Mode0.000%
Standard Deviation1.436%
Sample Variance2.062%
Kurtosis12.90
Skewness-0.06
Range44.363%
Minimum-24.691%
Maximum19.672%
Count16154
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.070% 7937 49.13% 0.526%
Negative -1.022% 7419 45.93% -0.469%
Zero 0.000% 798 4.94% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 1.59%
20 1 Month 1.62%
60 1 Quarter 1.59%
250 1 Year 1.54%
750 3 Years 1.39%
1,250 5 Years 1.46%
2,500 10 Years 1.49%
5,000 20 Years 1.52%
12,500 50 Years 1.88%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.53. Further, an Excess Kurtosis of 104.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -1.84%00.00%0.00%
-1.84% to -0.94%00.00%0.00%
-0.94% to -0.05%00.00%0.00%
-0.05% to 0.85%239314.81%14.81%
0.85% to 1.74%775247.99%62.80%
1.74% to 2.64%363722.51%85.31%
2.64% to 3.53%13778.52%93.83%
3.53% to 4.43%5103.16%96.99%
4.43% to 5.33%2561.58%98.58%
Greater than 5.33%2301.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.55%2.94% 86.02%68.27%
±2σ -0.64%4.13% 96.26%95.45%
±3σ -1.84%5.33% 98.58%99.73%
Descriptive Statistics
Mean1.743%
Standard Error0.009%
Median1.455%
Mode1.136%
Standard Deviation1.194%
Sample Variance1.424%
Kurtosis104.50
Skewness5.53
Range37.848%
Minimum0.083%
Maximum37.931%
Count16155
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.743% 16155 100.00% 1.743%
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 1.02. Further, an Excess Kurtosis of 28.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.84%970.60%0.60%
-3.84% to -2.88%1821.13%1.73%
-2.88% to -1.93%5703.53%5.26%
-1.93% to -0.98%186411.54%16.79%
-0.98% to -0.02%501831.06%47.86%
-0.02% to 0.93%568335.18%83.03%
0.93% to 1.88%193511.98%95.01%
1.88% to 2.84%5453.37%98.38%
2.84% to 3.79%1550.96%99.34%
Greater than 3.79%1060.66%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.29%1.25% 77.44%68.27%
±2σ -2.56%2.52% 95.25%95.45%
±3σ -3.84%3.79% 98.74%99.73%
Descriptive Statistics
Mean-0.023%
Standard Error0.010%
Median0.000%
Mode0.000%
Standard Deviation1.271%
Sample Variance1.615%
Kurtosis28.70
Skewness1.02
Range46.216%
Minimum-15.068%
Maximum31.148%
Count16155
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.933% 7399 45.80% 0.427%
Negative -0.936% 7772 48.11% -0.450%
Zero 0.000% 984 6.09% 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 7.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.38%170.51%0.51%
-9.38% to -6.97%290.87%1.37%
-6.97% to -4.55%1253.73%5.10%
-4.55% to -2.14%44113.16%18.27%
-2.14% to 0.28%106331.73%50.00%
0.28% to 2.69%108132.27%82.27%
2.69% to 5.10%41112.27%94.54%
5.10% to 7.52%1143.40%97.94%
7.52% to 9.93%481.43%99.37%
Greater than 9.93%210.63%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.94%3.49% 76.00%68.27%
±2σ -6.16%6.71% 95.10%95.45%
±3σ -9.38%9.93% 98.87%99.73%
Descriptive Statistics
Mean0.275%
Standard Error0.056%
Median0.274%
Mode0.000%
Standard Deviation3.218%
Sample Variance10.354%
Kurtosis7.01
Skewness-0.08
Range57.288%
Minimum-32.033%
Maximum25.255%
Count3350
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.436% 1782 53.19% 1.296%
Negative -2.267% 1508 45.02% -1.020%
Zero 0.000% 60 1.79% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 3.81%
12 1 Quarter 4.18%
52 1 Year 3.57%
156 3 Years 3.18%
260 5 Years 3.29%
520 10 Years 3.39%
1,040 20 Years 3.43%
2,600 50 Years 4.34%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.81. Further, an Excess Kurtosis of 57.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.50%00.00%0.00%
-4.50% to -2.27%00.00%0.00%
-2.27% to -0.04%00.00%0.00%
-0.04% to 2.19%50615.10%15.10%
2.19% to 4.42%159447.57%62.67%
4.42% to 6.65%78123.31%85.97%
6.65% to 8.88%2788.30%94.27%
8.88% to 11.11%1033.07%97.34%
11.11% to 13.34%401.19%98.54%
Greater than 13.34%491.46%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.45%7.39% 86.63%68.27%
±2σ -1.52%10.37% 96.63%95.45%
±3σ -4.50%13.34% 98.54%99.73%
Descriptive Statistics
Mean4.422%
Standard Error0.051%
Median3.742%
Mode4.167%
Standard Deviation2.973%
Sample Variance8.837%
Kurtosis57.33
Skewness4.81
Range61.498%
Minimum0.571%
Maximum62.069%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.422% 3351 100.00% 4.422%
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 1.36. Further, an Excess Kurtosis of 18.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.66%130.39%0.39%
-9.66% to -7.27%330.98%1.37%
-7.27% to -4.88%1153.43%4.80%
-4.88% to -2.49%42512.68%17.49%
-2.49% to -0.10%114234.08%51.57%
-0.10% to 2.30%104331.13%82.69%
2.30% to 4.69%40912.21%94.90%
4.69% to 7.08%1083.22%98.12%
7.08% to 9.47%401.19%99.31%
Greater than 9.47%230.69%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.29%3.09% 77.38%68.27%
±2σ -6.47%6.28% 95.49%95.45%
±3σ -9.66%9.47% 98.93%99.73%
Descriptive Statistics
Mean-0.096%
Standard Error0.055%
Median-0.224%
Mode0.000%
Standard Deviation3.189%
Sample Variance10.168%
Kurtosis18.29
Skewness1.36
Range67.294%
Minimum-20.163%
Maximum47.131%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.358% 1527 45.57% 1.074%
Negative -2.225% 1762 52.58% -1.170%
Zero 0.000% 62 1.85% 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 2.23 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.43%70.91%0.91%
-16.43% to -12.03%91.17%2.08%
-12.03% to -7.64%253.25%5.32%
-7.64% to -3.24%10814.03%19.35%
-3.24% to 1.15%23230.13%49.48%
1.15% to 5.54%24431.69%81.17%
5.54% to 9.94%10113.12%94.29%
9.94% to 14.33%324.16%98.44%
14.33% to 18.73%81.04%99.48%
Greater than 18.73%40.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.71%7.01% 74.55%68.27%
±2σ -10.57%12.87% 94.68%95.45%
±3σ -16.43%18.73% 98.57%99.73%
Descriptive Statistics
Mean1.151%
Standard Error0.211%
Median1.194%
Mode0.000%
Standard Deviation5.859%
Sample Variance34.332%
Kurtosis2.23
Skewness-0.16
Range54.713%
Minimum-29.006%
Maximum25.707%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.694% 460 59.74% 2.804%
Negative -4.175% 305 39.61% -1.654%
Zero 0.000% 5 0.65% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 9.96%
12 1 Year 7.80%
36 3 Years 6.89%
60 5 Years 7.07%
120 10 Years 7.31%
240 20 Years 7.21%
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 3.92. Further, an Excess Kurtosis of 26.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.73%00.00%0.00%
-8.73% to -4.10%00.00%0.00%
-4.10% to 0.54%00.00%0.00%
0.54% to 5.17%11314.66%14.66%
5.17% to 9.81%37348.38%63.04%
9.81% to 14.44%17522.70%85.73%
14.44% to 19.08%678.69%94.42%
19.08% to 23.71%253.24%97.67%
23.71% to 28.35%60.78%98.44%
Greater than 28.35%121.56%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.63%15.99% 87.29%68.27%
±2σ -2.55%22.17% 97.15%95.45%
±3σ -8.73%28.35% 98.44%99.73%
Descriptive Statistics
Mean9.808%
Standard Error0.223%
Median8.498%
Mode6.667%
Standard Deviation6.181%
Sample Variance38.208%
Kurtosis26.79
Skewness3.92
Range69.275%
Minimum2.277%
Maximum71.552%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.808% 771 100.00% 9.808%
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 1.02. Further, an Excess Kurtosis of 5.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.40%20.26%0.26%
-18.40% to -13.93%50.65%0.91%
-13.93% to -9.46%263.37%4.28%
-9.46% to -4.99%11915.43%19.71%
-4.99% to -0.52%25833.46%53.18%
-0.52% to 3.95%23029.83%83.01%
3.95% to 8.42%8511.02%94.03%
8.42% to 12.89%293.76%97.80%
12.89% to 17.36%70.91%98.70%
Greater than 17.36%101.30%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.48%5.44% 76.52%68.27%
±2σ -12.44%11.40% 95.59%95.45%
±3σ -18.40%17.36% 98.44%99.73%
Descriptive Statistics
Mean-0.521%
Standard Error0.215%
Median-0.880%
Mode0.000%
Standard Deviation5.960%
Sample Variance35.525%
Kurtosis5.00
Skewness1.02
Range62.026%
Minimum-20.075%
Maximum41.951%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.689% 316 40.99% 1.922%
Negative -4.205% 448 58.11% -2.443%
Zero 0.000% 7 0.91% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.04. Further, an Excess Kurtosis of 0.56 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.60%10.39%0.39%
-24.60% to -17.60%41.56%1.95%
-17.60% to -10.61%124.67%6.61%
-10.61% to -3.61%3413.23%19.84%
-3.61% to 3.39%8131.52%51.36%
3.39% to 10.38%7328.40%79.77%
10.38% to 17.38%3814.79%94.55%
17.38% to 24.38%103.89%98.44%
24.38% to 31.37%31.17%99.61%
Greater than 31.37%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.94%12.71% 70.43%68.27%
±2σ -15.27%22.04% 94.16%95.45%
±3σ -24.60%31.37% 99.22%99.73%
Descriptive Statistics
Mean3.387%
Standard Error0.582%
Median3.183%
Mode3.985%
Standard Deviation9.328%
Sample Variance87.011%
Kurtosis0.56
Skewness-0.04
Range59.410%
Minimum-25.416%
Maximum33.994%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.401% 170 66.15% 5.557%
Negative -6.411% 87 33.85% -2.170%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 9.35%
12 3 Years 10.86%
20 5 Years 11.55%
40 10 Years 11.77%
80 20 Years 11.97%
200 50 Years 15.65%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.54. Further, an Excess Kurtosis of 19.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.79%00.00%0.00%
-14.79% to -6.75%00.00%0.00%
-6.75% to 1.30%00.00%0.00%
1.30% to 9.35%4115.89%15.89%
9.35% to 17.40%11946.12%62.02%
17.40% to 25.45%6826.36%88.37%
25.45% to 33.50%166.20%94.57%
33.50% to 41.54%72.71%97.29%
41.54% to 49.59%31.16%98.45%
Greater than 49.59%41.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 6.67%28.13% 88.76%68.27%
±2σ -4.06%38.86% 96.51%95.45%
±3σ -14.79%49.59% 98.45%99.73%
Descriptive Statistics
Mean17.399%
Standard Error0.668%
Median15.245%
Mode5.858%
Standard Deviation10.731%
Sample Variance115.159%
Kurtosis19.72
Skewness3.54
Range93.582%
Minimum5.858%
Maximum99.440%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.399% 258 100.00% 17.399%
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 1.28 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -29.19%00.00%0.00%
-29.19% to -22.32%20.78%0.78%
-22.32% to -15.44%72.71%3.49%
-15.44% to -8.57%4617.83%21.32%
-8.57% to -1.70%8432.56%53.88%
-1.70% to 5.17%7227.91%81.78%
5.17% to 12.05%2810.85%92.64%
12.05% to 18.92%93.49%96.12%
18.92% to 25.79%83.10%99.22%
Greater than 25.79%20.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.86%7.47% 72.09%68.27%
±2σ -20.03%16.63% 94.19%95.45%
±3σ -29.19%25.79% 99.22%99.73%
Descriptive Statistics
Mean-1.698%
Standard Error0.571%
Median-2.245%
Mode-11.911%
Standard Deviation9.164%
Sample Variance83.975%
Kurtosis1.28
Skewness0.73
Range59.895%
Minimum-24.776%
Maximum35.119%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.300% 98 37.98% 2.773%
Negative -7.301% 158 61.24% -4.471%
Zero 0.000% 2 0.78% 0.000%