LITE - Detail Report

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	3.42%	2.64%	2.80%	4.38%	6.38%	6.43%	626.52	711.74	587.81	758.61
Weekly	7.57%	7.13%	7.28%	10.66%	14.04%	14.15%	580.31	768.41	504.30	884.23
Monthly	16.06%	12.48%	14.87%	23.97%	29.22%	29.46%	498.55	894.42	372.22	1198.00
Quarterly	30.29%	25.73%	25.91%	51.07%	50.62%	51.02%	402.53	1107.77	242.65	1837.70
Annual	—	—	—	—	101.23%	102.05%	242.65	1837.70	88.17	5057.35
Option Time Horizon	—	—	—	—	33.09%	33.36%	479.64	929.69	344.51	1294.34

Calculation Notes: Computed at 2026-02-22T14:24 UTC | Reference Contract: Call option expiring 2026-04-02 (39 days) | Spot Price (S): $667.77 | Strike (K): $700.00 (first OTM call ≥ spot) | Observed Mid-Price: $76.5000 (Bid $74.0000 / Ask $79.0000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 101.23% (CRR binomial tree, American, n=20 steps) | BS IV: 102.13% (European Black-Scholes) | Yahoo IV (Annual): 102.05% → period-scaled as σ_period = σ_annual·√h | Price bands: Upper = S·e^+σ√h, Lower = S·e^−σ√h

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.20. Further, an Excess Kurtosis of 9.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.05%	18	0.68%	0.68%
-10.05% to -7.49%	29	1.09%	1.77%
-7.49% to -4.93%	72	2.71%	4.48%
-4.93% to -2.37%	297	11.17%	15.65%
-2.37% to 0.20%	945	35.55%	51.20%
0.20% to 2.76%	872	32.81%	84.01%
2.76% to 5.32%	288	10.84%	94.85%
5.32% to 7.88%	88	3.31%	98.16%
7.88% to 10.45%	30	1.13%	99.29%
Greater than 10.45%	19	0.71%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.22%	3.61%	78.97%	68.27%
±2σ	-6.63%	7.03%	94.92%	95.45%
±3σ	-10.05%	10.44%	98.61%	99.73%

Descriptive Statistics

Mean	0.197%
Standard Error	0.066%
Median	0.126%
Mode	0.000%
Standard Deviation	3.416%
Sample Variance	11.672%
Kurtosis	9.36
Skewness	-0.20
Range	56.543%
Minimum	-32.976%
Maximum	23.567%
Count	2658

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.449%	1380	51.92%	1.271%
Negative	-2.271%	1257	47.29%	-1.074%
Zero	0.000%	21	0.79%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	9.23%
20	1 Month	10.12%
60	1 Quarter	8.86%
250	1 Year	6.97%
750	3 Years	5.13%
1,250	5 Years	4.38%
2,500	10 Years	4.40%
5,000	20 Years	4.44%
12,500	50 Years	4.44%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.49. Further, an Excess Kurtosis of 23.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.72%	0	0.00%	0.00%
-3.72% to -1.74%	0	0.00%	0.00%
-1.74% to 0.24%	0	0.00%	0.00%
0.24% to 2.22%	370	13.92%	13.92%
2.22% to 4.21%	1334	50.17%	64.08%
4.21% to 6.19%	576	21.66%	85.75%
6.19% to 8.17%	207	7.78%	93.53%
8.17% to 10.15%	92	3.46%	96.99%
10.15% to 12.13%	37	1.39%	98.38%
Greater than 12.13%	43	1.62%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.56%	6.85%	86.65%	68.27%
±2σ	-1.08%	9.49%	96.20%	95.45%
±3σ	-3.72%	12.13%	98.38%	99.73%

Descriptive Statistics

Mean	4.205%
Standard Error	0.051%
Median	3.538%
Mode	2.276%
Standard Deviation	2.643%
Sample Variance	6.985%
Kurtosis	23.17
Skewness	3.49
Range	33.552%
Minimum	0.855%
Maximum	34.407%
Count	2659

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.205%	2659	100.00%	4.205%
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 0.67. Further, an Excess Kurtosis of 5.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -8.36%	15	0.56%	0.56%
-8.36% to -6.26%	17	0.64%	1.20%
-6.26% to -4.17%	86	3.23%	4.44%
-4.17% to -2.07%	366	13.76%	18.20%
-2.07% to 0.03%	890	33.47%	51.67%
0.03% to 2.13%	825	31.03%	82.70%
2.13% to 4.23%	317	11.92%	94.62%
4.23% to 6.33%	83	3.12%	97.74%
6.33% to 8.43%	34	1.28%	99.02%
Greater than 8.43%	26	0.98%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.77%	2.83%	77.02%	68.27%
±2σ	-5.56%	5.63%	95.00%	95.45%
±3σ	-8.36%	8.43%	98.46%	99.73%

Descriptive Statistics

Mean	0.033%
Standard Error	0.054%
Median	-0.045%
Mode	0.000%
Standard Deviation	2.799%
Sample Variance	7.833%
Kurtosis	5.47
Skewness	0.67
Range	37.319%
Minimum	-17.271%
Maximum	20.048%
Count	2659

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.070%	1295	48.70%	1.008%
Negative	-1.929%	1344	50.55%	-0.975%
Zero	0.000%	20	0.75%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.52. Further, an Excess Kurtosis of 3.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -21.81%	1	0.18%	0.18%
-21.81% to -16.13%	8	1.45%	1.63%
-16.13% to -10.45%	18	3.26%	4.89%
-10.45% to -4.77%	80	14.49%	19.38%
-4.77% to 0.91%	173	31.34%	50.72%
0.91% to 6.59%	170	30.80%	81.52%
6.59% to 12.27%	72	13.04%	94.57%
12.27% to 17.95%	18	3.26%	97.83%
17.95% to 23.63%	5	0.91%	98.73%
Greater than 23.63%	7	1.27%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.66%	8.48%	75.00%	68.27%
±2σ	-14.23%	16.05%	95.47%	95.45%
±3σ	-21.81%	23.63%	98.55%	99.73%

Descriptive Statistics

Mean	0.910%
Standard Error	0.322%
Median	0.849%
Mode	0.000%
Standard Deviation	7.572%
Sample Variance	57.331%
Kurtosis	3.06
Skewness	0.52
Range	66.043%
Minimum	-29.736%
Maximum	36.307%
Count	552

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.988%	300	54.35%	3.254%
Negative	-5.197%	249	45.11%	-2.344%
Zero	0.000%	3	0.54%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	28.52%
12	1 Quarter	21.25%
52	1 Year	17.08%
156	3 Years	12.66%
260	5 Years	10.66%
520	10 Years	10.50%
1,040	20 Years	10.53%
2,600	50 Years	10.53%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.66. Further, an Excess Kurtosis of 10.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.30%	0	0.00%	0.00%
-10.30% to -4.95%	0	0.00%	0.00%
-4.95% to 0.40%	0	0.00%	0.00%
0.40% to 5.75%	85	15.37%	15.37%
5.75% to 11.10%	254	45.93%	61.30%
11.10% to 16.45%	138	24.95%	86.26%
16.45% to 21.80%	41	7.41%	93.67%
21.80% to 27.15%	17	3.07%	96.75%
27.15% to 32.50%	6	1.08%	97.83%
Greater than 32.50%	12	2.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.96%	18.23%	86.62%	68.27%
±2σ	-3.17%	25.36%	95.66%	95.45%
±3σ	-10.30%	32.50%	97.83%	99.73%

Descriptive Statistics

Mean	11.097%
Standard Error	0.303%
Median	9.494%
Mode	4.811%
Standard Deviation	7.133%
Sample Variance	50.885%
Kurtosis	10.44
Skewness	2.66
Range	56.542%
Minimum	2.620%
Maximum	59.162%
Count	553

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	11.097%	553	100.00%	11.097%
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 0.63. Further, an Excess Kurtosis of 3.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -22.20%	2	0.36%	0.36%
-22.20% to -16.74%	8	1.45%	1.81%
-16.74% to -11.28%	12	2.17%	3.98%
-11.28% to -5.81%	84	15.19%	19.17%
-5.81% to -0.35%	188	34.00%	53.16%
-0.35% to 5.11%	153	27.67%	80.83%
5.11% to 10.58%	81	14.65%	95.48%
10.58% to 16.04%	13	2.35%	97.83%
16.04% to 21.50%	5	0.90%	98.73%
Greater than 21.50%	7	1.27%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.63%	6.93%	75.23%	68.27%
±2σ	-14.92%	14.22%	95.30%	95.45%
±3σ	-22.20%	21.50%	98.37%	99.73%

Descriptive Statistics

Mean	-0.350%
Standard Error	0.310%
Median	-0.947%
Mode	-9.664%
Standard Deviation	7.284%
Sample Variance	53.057%
Kurtosis	3.75
Skewness	0.63
Range	70.486%
Minimum	-27.739%
Maximum	42.747%
Count	553

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.618%	248	44.85%	2.519%
Negative	-5.203%	305	55.15%	-2.870%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.97. Further, an Excess Kurtosis of 2.40 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -44.21%	0	0.00%	0.00%
-44.21% to -32.16%	1	0.79%	0.79%
-32.16% to -20.12%	2	1.57%	2.36%
-20.12% to -8.07%	23	18.11%	20.47%
-8.07% to 3.98%	45	35.43%	55.91%
3.98% to 16.02%	28	22.05%	77.95%
16.02% to 28.07%	19	14.96%	92.91%
28.07% to 40.12%	7	5.51%	98.43%
40.12% to 52.16%	0	0.00%	98.43%
Greater than 52.16%	2	1.57%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.09%	20.04%	74.02%	68.27%
±2σ	-28.15%	36.10%	96.06%	95.45%
±3σ	-44.21%	52.16%	98.43%	99.73%

Descriptive Statistics

Mean	3.977%
Standard Error	1.425%
Median	1.322%
Mode	-5.294%
Standard Deviation	16.062%
Sample Variance	257.996%
Kurtosis	2.40
Skewness	0.97
Range	105.113%
Minimum	-34.694%
Maximum	70.419%
Count	127

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.902%	69	54.33%	8.096%
Negative	-9.179%	57	44.88%	-4.120%
Zero	0.000%	1	0.79%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	46.96%
12	1 Year	39.98%
36	3 Years	29.26%
60	5 Years	23.97%
120	10 Years	23.51%
240	20 Years	23.61%
600	50 Years	23.61%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.34. Further, an Excess Kurtosis of 2.21 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.81%	0	0.00%	0.00%
-10.81% to -1.45%	0	0.00%	0.00%
-1.45% to 7.91%	3	2.34%	2.34%
7.91% to 17.27%	25	19.53%	21.88%
17.27% to 26.63%	48	37.50%	59.38%
26.63% to 35.99%	30	23.44%	82.81%
35.99% to 45.35%	9	7.03%	89.84%
45.35% to 54.70%	8	6.25%	96.09%
54.70% to 64.06%	3	2.34%	98.44%
Greater than 64.06%	2	1.56%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	14.15%	39.11%	77.34%	68.27%
±2σ	1.67%	51.58%	95.31%	95.45%
±3σ	-10.81%	64.06%	98.44%	99.73%

Descriptive Statistics

Mean	26.627%
Standard Error	1.103%
Median	23.975%
Mode	7.298%
Standard Deviation	12.479%
Sample Variance	155.718%
Kurtosis	2.21
Skewness	1.34
Range	69.390%
Minimum	7.298%
Maximum	76.688%
Count	128

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	26.627%	128	100.00%	26.627%
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 0.42. Further, an Excess Kurtosis of 1.17 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -45.80%	0	0.00%	0.00%
-45.80% to -34.64%	2	1.56%	1.56%
-34.64% to -23.49%	5	3.91%	5.47%
-23.49% to -12.33%	24	18.75%	24.22%
-12.33% to -1.18%	32	25.00%	49.22%
-1.18% to 9.98%	39	30.47%	79.69%
9.98% to 21.13%	19	14.84%	94.53%
21.13% to 32.29%	4	3.12%	97.66%
32.29% to 43.44%	2	1.56%	99.22%
Greater than 43.44%	1	0.78%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.05%	13.70%	73.44%	68.27%
±2σ	-30.92%	28.57%	96.09%	95.45%
±3σ	-45.80%	43.44%	99.22%	99.73%

Descriptive Statistics

Mean	-1.176%
Standard Error	1.315%
Median	-0.825%
Mode	-39.277%
Standard Deviation	14.873%
Sample Variance	221.213%
Kurtosis	1.17
Skewness	0.42
Range	94.824%
Minimum	-39.277%
Maximum	55.547%
Count	128

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	11.175%	60	46.88%	5.238%
Negative	-12.074%	68	53.12%	-6.414%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.04. Further, an Excess Kurtosis of 1.07 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -78.70%	0	0.00%	0.00%
-78.70% to -55.99%	0	0.00%	0.00%
-55.99% to -33.27%	0	0.00%	0.00%
-33.27% to -10.55%	10	23.26%	23.26%
-10.55% to 12.16%	14	32.56%	55.81%
12.16% to 34.88%	12	27.91%	83.72%
34.88% to 57.59%	3	6.98%	90.70%
57.59% to 80.31%	1	2.33%	93.02%
80.31% to 103.03%	3	6.98%	100.00%
Greater than 103.03%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.13%	42.45%	69.77%	68.27%
±2σ	-48.41%	72.74%	93.02%	95.45%
±3σ	-78.70%	103.03%	100.00%	99.73%

Descriptive Statistics

Mean	12.162%
Standard Error	4.619%
Median	10.648%
Mode	-30.590%
Standard Deviation	30.288%
Sample Variance	917.383%
Kurtosis	1.07
Skewness	1.04
Range	124.994%
Minimum	-30.590%
Maximum	94.404%
Count	43

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	27.566%	28	65.12%	17.950%
Negative	-16.594%	15	34.88%	-5.789%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	98.68%
12	3 Years	66.80%
20	5 Years	51.07%
40	10 Years	45.26%
80	20 Years	45.54%
200	50 Years	45.54%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.44. Further, an Excess Kurtosis of 2.65 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -23.68%	0	0.00%	0.00%
-23.68% to -4.38%	0	0.00%	0.00%
-4.38% to 14.92%	0	0.00%	0.00%
14.92% to 34.21%	12	27.27%	27.27%
34.21% to 53.51%	13	29.55%	56.82%
53.51% to 72.81%	12	27.27%	84.09%
72.81% to 92.10%	3	6.82%	90.91%
92.10% to 111.40%	3	6.82%	97.73%
111.40% to 130.70%	0	0.00%	97.73%
Greater than 130.70%	1	2.27%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	27.78%	79.24%	77.27%	68.27%
±2σ	2.05%	104.97%	93.18%	95.45%
±3σ	-23.68%	130.70%	97.73%	99.73%

Descriptive Statistics

Mean	53.509%
Standard Error	3.879%
Median	50.840%
Mode	15.947%
Standard Deviation	25.729%
Sample Variance	661.980%
Kurtosis	2.65
Skewness	1.44
Range	127.267%
Minimum	15.947%
Maximum	143.214%
Count	44

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	53.509%	44	100.00%	53.509%
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 0.96. Further, an Excess Kurtosis of 2.25 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -81.44%	0	0.00%	0.00%
-81.44% to -62.00%	0	0.00%	0.00%
-62.00% to -42.57%	3	6.82%	6.82%
-42.57% to -23.14%	5	11.36%	18.18%
-23.14% to -3.71%	19	43.18%	61.36%
-3.71% to 15.72%	8	18.18%	79.55%
15.72% to 35.16%	7	15.91%	95.45%
35.16% to 54.59%	1	2.27%	97.73%
54.59% to 74.02%	0	0.00%	97.73%
Greater than 74.02%	1	2.27%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-29.62%	22.20%	70.45%	68.27%
±2σ	-55.53%	48.11%	97.73%	95.45%
±3σ	-81.44%	74.02%	97.73%	99.73%

Descriptive Statistics

Mean	-3.708%
Standard Error	3.906%
Median	-8.959%
Mode	-48.482%
Standard Deviation	25.909%
Sample Variance	671.255%
Kurtosis	2.25
Skewness	0.96
Range	135.930%
Minimum	-48.482%
Maximum	87.448%
Count	44

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	24.434%	15	34.09%	8.330%
Negative	-18.264%	29	65.91%	-12.038%
Zero	0.000%	0	0.00%	0.000%

LITE Deep Analytical Report