Markets Data Volatility Heatmap Portfolio Calculator

KO Deep Analytical Report

The Coca-Cola Company | Category: Equity Mega Cap | Ann. Div Yield: 2.59% ($2.04) | 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% 1.19% 1.27% 1.47% 1.02% 1.06% 79.03 80.66 78.23 81.48
Weekly 3.22% 2.97% 3.19% 3.30% 2.24% 2.33% 78.07 81.65 76.35 83.49
Monthly 5.85% 6.19% 5.95% 7.05% 4.66% 4.85% 76.21 83.65 72.74 87.64
Quarterly 9.33% 10.74% 9.17% 11.44% 8.07% 8.40% 73.65 86.55 67.94 93.82
Annual — — — — 16.14% 16.80% 67.94 93.82 57.82 110.25
Option Time Horizon — — — — 6.21% 6.46% 75.04 84.95 70.52 90.39
Calculation Notes: Computed at 2026-02-22T14:17 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $79.84  |  Strike (K): $80.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $1.9450 (Bid $1.8900 / Ask $2.0000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.59%  |  Binomial IV (Annual): 16.14% (CRR binomial tree, American, n=20 steps)  |  BS IV: 16.04% (European Black-Scholes)  |  Yahoo IV (Annual): 16.80% → 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
2025-12-01 $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 -3.18%1560.97%1.57%
-3.18% to -2.10%5153.19%4.76%
-2.10% to -1.02%194212.04%16.80%
-1.02% to 0.06%564434.98%51.78%
0.06% to 1.14%509931.61%83.39%
1.14% to 2.21%182611.32%94.71%
2.21% to 3.29%5313.29%98.00%
3.29% to 4.37%1931.20%99.19%
Greater than 4.37%1300.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.38%1.49% 77.72%68.27%
±2σ -2.82%2.93% 95.10%95.45%
±3σ -4.25%4.37% 98.59%99.73%
Descriptive Statistics
Mean0.057%
Standard Error0.011%
Median0.000%
Mode0.000%
Standard Deviation1.437%
Sample Variance2.064%
Kurtosis12.90
Skewness-0.06
Range44.363%
Minimum-24.691%
Maximum19.672%
Count16133
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.070% 7927 49.13% 0.526%
Negative -1.022% 7408 45.92% -0.469%
Zero 0.000% 798 4.95% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 1.31%
20 1 Month 1.78%
60 1 Quarter 1.49%
250 1 Year 1.57%
750 3 Years 1.39%
1,250 5 Years 1.47%
2,500 10 Years 1.48%
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 104.39 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%239314.83%14.83%
0.85% to 1.74%773547.94%62.77%
1.74% to 2.64%363322.52%85.29%
2.64% to 3.53%13778.53%93.83%
3.53% to 4.43%5103.16%96.99%
4.43% to 5.33%2561.59%98.57%
Greater than 5.33%2301.43%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.55%2.94% 86.00%68.27%
±2σ -0.64%4.13% 96.26%95.45%
±3σ -1.84%5.33% 98.57%99.73%
Descriptive Statistics
Mean1.743%
Standard Error0.009%
Median1.455%
Mode1.136%
Standard Deviation1.194%
Sample Variance1.426%
Kurtosis104.39
Skewness5.53
Range37.848%
Minimum0.083%
Maximum37.931%
Count16134
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.743% 16134 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 28.69 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%186211.54%16.80%
-0.98% to -0.02%501231.06%47.87%
-0.02% to 0.93%567435.17%83.04%
0.93% to 1.88%193111.97%95.00%
1.88% to 2.84%5453.38%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% 77.43%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 Variance1.616%
Kurtosis28.69
Skewness1.02
Range46.216%
Minimum-15.068%
Maximum31.148%
Count16134
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.933% 7386 45.78% 0.427%
Negative -0.936% 7764 48.12% -0.450%
Zero 0.000% 984 6.10% 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 -6.96%290.87%1.37%
-6.96% to -4.55%1253.74%5.11%
-4.55% to -2.14%44013.15%18.26%
-2.14% to 0.28%106331.77%50.03%
0.28% to 2.69%107832.22%82.25%
2.69% to 5.10%41112.28%94.53%
5.10% to 7.52%1143.41%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%3.50% 76.03%68.27%
±2σ -6.16%6.71% 95.10%95.45%
±3σ -9.38%9.93% 98.86%99.73%
Descriptive Statistics
Mean0.277%
Standard Error0.056%
Median0.276%
Mode0.000%
Standard Deviation3.218%
Sample Variance10.358%
Kurtosis7.01
Skewness-0.08
Range57.288%
Minimum-32.033%
Maximum25.255%
Count3346
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.436% 1781 53.23% 1.297%
Negative -2.267% 1505 44.98% -1.020%
Zero 0.000% 60 1.79% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.37%
12 1 Quarter 3.66%
52 1 Year 3.58%
156 3 Years 3.15%
260 5 Years 3.30%
520 10 Years 3.38%
1,040 20 Years 3.42%
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 57.26 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%50715.15%15.15%
2.19% to 4.42%159147.54%62.68%
4.42% to 6.65%77923.27%85.96%
6.65% to 8.88%2788.31%94.26%
8.88% to 11.11%1043.11%97.37%
11.11% to 13.35%391.17%98.54%
Greater than 13.35%491.46%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.45%7.40% 86.61%68.27%
±2σ -1.53%10.37% 96.62%95.45%
±3σ -4.50%13.35% 98.54%99.73%
Descriptive Statistics
Mean4.423%
Standard Error0.051%
Median3.742%
Mode4.167%
Standard Deviation2.974%
Sample Variance8.847%
Kurtosis57.26
Skewness4.81
Range61.498%
Minimum0.571%
Maximum62.069%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.423% 3347 100.00% 4.423%
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 1.36. Further, an Excess Kurtosis of 18.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.67%130.39%0.39%
-9.67% to -7.28%330.99%1.37%
-7.28% to -4.88%1153.44%4.81%
-4.88% to -2.49%42512.70%17.51%
-2.49% to -0.10%114134.09%51.60%
-0.10% to 2.30%104231.13%82.73%
2.30% to 4.69%40712.16%94.89%
4.69% to 7.08%1083.23%98.12%
7.08% to 9.47%401.20%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 -6.48%6.28% 95.49%95.45%
±3σ -9.67%9.47% 98.92%99.73%
Descriptive Statistics
Mean-0.097%
Standard Error0.055%
Median-0.225%
Mode0.000%
Standard Deviation3.190%
Sample Variance10.173%
Kurtosis18.30
Skewness1.36
Range67.294%
Minimum-20.163%
Maximum47.131%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.358% 1524 45.53% 1.074%
Negative -2.226% 1761 52.61% -1.171%
Zero 0.000% 62 1.85% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.17. Further, an Excess Kurtosis of 2.25 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.40%70.91%0.91%
-16.40% to -12.01%91.17%2.08%
-12.01% to -7.62%263.38%5.46%
-7.62% to -3.23%10613.78%19.25%
-3.23% to 1.16%23230.17%49.41%
1.16% to 5.55%24431.73%81.14%
5.55% to 9.94%10113.13%94.28%
9.94% to 14.33%324.16%98.44%
14.33% to 18.72%81.04%99.48%
Greater than 18.72%40.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.69%7.01% 74.64%68.27%
±2σ -10.55%12.87% 94.67%95.45%
±3σ -16.40%18.72% 98.57%99.73%
Descriptive Statistics
Mean1.160%
Standard Error0.211%
Median1.194%
Mode0.000%
Standard Deviation5.853%
Sample Variance34.261%
Kurtosis2.25
Skewness-0.17
Range54.713%
Minimum-29.006%
Maximum25.707%
Count769
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.691% 460 59.82% 2.806%
Negative -4.165% 304 39.53% -1.647%
Zero 0.000% 5 0.65% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 8.30%
12 1 Year 7.48%
36 3 Years 6.76%
60 5 Years 7.05%
120 10 Years 7.29%
240 20 Years 7.18%
600 50 Years 9.15%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.91. Further, an Excess Kurtosis of 26.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.75%00.00%0.00%
-8.75% to -4.11%00.00%0.00%
-4.11% to 0.53%00.00%0.00%
0.53% to 5.17%11314.68%14.68%
5.17% to 9.81%37348.44%63.12%
9.81% to 14.45%17422.60%85.71%
14.45% to 19.09%678.70%94.42%
19.09% to 23.72%253.25%97.66%
23.72% to 28.36%60.78%98.44%
Greater than 28.36%121.56%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.62%15.99% 87.27%68.27%
±2σ -2.57%22.18% 97.14%95.45%
±3σ -8.75%28.36% 98.44%99.73%
Descriptive Statistics
Mean9.806%
Standard Error0.223%
Median8.464%
Mode6.667%
Standard Deviation6.186%
Sample Variance38.261%
Kurtosis26.75
Skewness3.91
Range69.275%
Minimum2.277%
Maximum71.552%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.806% 770 100.00% 9.806%
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 1.03. Further, an Excess Kurtosis of 5.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.39%20.26%0.26%
-18.39% to -13.92%50.65%0.91%
-13.92% to -9.46%263.38%4.29%
-9.46% to -5.00%11915.45%19.74%
-5.00% to -0.53%25833.51%53.25%
-0.53% to 3.94%23029.87%83.12%
3.94% to 8.40%8410.91%94.03%
8.40% to 12.86%293.77%97.79%
12.86% to 17.33%70.91%98.70%
Greater than 17.33%101.30%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.48%5.42% 76.62%68.27%
±2σ -12.44%11.38% 95.58%95.45%
±3σ -18.39%17.33% 98.44%99.73%
Descriptive Statistics
Mean-0.530%
Standard Error0.215%
Median-0.902%
Mode0.000%
Standard Deviation5.953%
Sample Variance35.442%
Kurtosis5.04
Skewness1.03
Range62.026%
Minimum-20.075%
Maximum41.951%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.679% 315 40.91% 1.914%
Negative -4.201% 448 58.18% -2.444%
Zero 0.000% 7 0.91% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.05. Further, an Excess Kurtosis of 0.56 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.58%10.39%0.39%
-24.58% to -17.58%41.56%1.95%
-17.58% to -10.58%124.67%6.61%
-10.58% to -3.59%3513.62%20.23%
-3.59% to 3.41%7930.74%50.97%
3.41% to 10.41%7428.79%79.77%
10.41% to 17.41%3814.79%94.55%
17.41% to 24.40%103.89%98.44%
24.40% to 31.40%31.17%99.61%
Greater than 31.40%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.92%12.74% 70.43%68.27%
±2σ -15.25%22.07% 94.16%95.45%
±3σ -24.58%31.40% 99.22%99.73%
Descriptive Statistics
Mean3.411%
Standard Error0.582%
Median3.203%
Mode3.985%
Standard Deviation9.329%
Sample Variance87.022%
Kurtosis0.56
Skewness-0.05
Range59.410%
Minimum-25.416%
Maximum33.994%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.437% 170 66.15% 5.581%
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 8.81%
12 3 Years 10.68%
20 5 Years 11.44%
40 10 Years 11.71%
80 20 Years 11.94%
200 50 Years 15.64%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.53. Further, an Excess Kurtosis of 19.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.82%00.00%0.00%
-14.82% to -6.77%00.00%0.00%
-6.77% to 1.28%00.00%0.00%
1.28% to 9.34%4115.89%15.89%
9.34% to 17.39%11946.12%62.02%
17.39% to 25.44%6826.36%88.37%
25.44% to 33.50%166.20%94.57%
33.50% to 41.55%72.71%97.29%
41.55% to 49.60%31.16%98.45%
Greater than 49.60%41.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 6.65%28.13% 89.15%68.27%
±2σ -4.09%38.87% 96.51%95.45%
±3σ -14.82%49.60% 98.45%99.73%
Descriptive Statistics
Mean17.391%
Standard Error0.668%
Median15.245%
Mode5.858%
Standard Deviation10.738%
Sample Variance115.297%
Kurtosis19.68
Skewness3.53
Range93.582%
Minimum5.858%
Maximum99.440%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.391% 258 100.00% 17.391%
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 -29.22%00.00%0.00%
-29.22% to -22.35%20.78%0.78%
-22.35% to -15.47%72.71%3.49%
-15.47% to -8.60%4617.83%21.32%
-8.60% to -1.72%8532.95%54.26%
-1.72% to 5.15%7027.13%81.40%
5.15% to 12.03%2911.24%92.64%
12.03% to 18.91%93.49%96.12%
18.91% to 25.78%83.10%99.22%
Greater than 25.78%20.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.89%7.45% 72.09%68.27%
±2σ -20.05%16.61% 94.19%95.45%
±3σ -29.22%25.78% 99.22%99.73%
Descriptive Statistics
Mean-1.721%
Standard Error0.571%
Median-2.366%
Mode-11.911%
Standard Deviation9.167%
Sample Variance84.040%
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 -7.337% 158 61.24% -4.493%
Zero 0.000% 2 0.78% 0.000%