Markets Data Volatility Heatmap Portfolio Calculator

MCD Deep Analytical Report

McDonald's Corporation | Category: Equity Mega Cap | Ann. Div Yield: 2.32% ($7.17) | Last Updated: 2026-03-24 | Data Range: 1966-07-01 → 2026-03-01 (717 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 1.82% 1.44% 1.50% 1.58% 1.68% 1.69% 304.70 315.08 299.63 320.41
Weekly 4.04% 4.06% 4.23% 3.64% 3.69% 3.71% 298.62 321.49 287.81 333.57
Monthly 7.69% 10.06% 8.97% 7.49% 7.68% 7.73% 286.94 334.58 265.73 361.28
Quarterly 13.77% 19.14% 15.35% 12.32% 13.30% 13.39% 271.26 353.92 237.47 404.28
Annual — — — — 26.60% 26.77% 237.47 404.28 182.00 527.48
Option Time Horizon — — — — 10.04% 10.10% 280.24 342.57 253.47 378.76
Calculation Notes: Computed at 2026-03-23T16:32 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $309.85  |  Strike (K): $310.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $12.4500 (Bid $12.2000 / Ask $12.7000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.32%  |  Binomial IV (Annual): 26.60% (CRR binomial tree, American, n=20 steps)  |  BS IV: 26.30% (European Black-Scholes)  |  Yahoo IV (Annual): 26.77% → 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
2026-03-03 $1.8600
2025-12-01 $1.8600
2025-09-02 $1.7700
2025-06-02 $1.7700
2025-03-03 $1.7700
2024-12-02 $1.7700
2024-09-03 $1.6700
2024-06-03 $1.6700
2024-02-29 $1.6700
2023-11-30 $1.6700
2023-08-31 $1.5200
2023-06-02 $1.5200
2023-02-28 $1.5200
2022-11-30 $1.5200
2022-08-31 $1.3800
2022-06-03 $1.3800
2022-02-28 $1.3800
2021-11-30 $1.3800
2021-08-31 $1.2900
2021-05-28 $1.2900
2021-02-26 $1.2900
2020-11-30 $1.2900
2020-08-31 $1.2500
2020-05-29 $1.2500
2020-02-28 $1.2500
2019-11-29 $1.2500
2019-08-30 $1.1600
2019-05-31 $1.1600
2019-02-28 $1.1600
2018-11-30 $1.1600
2018-08-31 $1.0100
2018-06-01 $1.0100
2018-02-28 $1.0100
2017-11-30 $1.0100
2017-08-30 $0.9400
2017-06-01 $0.9400
2017-02-27 $0.9400
2016-11-29 $0.9400
2016-08-30 $0.8900
2016-06-02 $0.8900
2016-02-26 $0.8900
2015-11-27 $0.8900
2015-08-28 $0.8500
2015-05-28 $0.8500
2015-02-26 $0.8500
2014-11-26 $0.8500
2014-08-28 $0.8100
2014-05-29 $0.8100
2014-02-27 $0.8100
2013-11-27 $0.8100
2013-08-29 $0.7700
2013-05-30 $0.7700
2013-02-27 $0.7700
2012-11-29 $0.7700
2012-08-30 $0.7000
2012-05-31 $0.7000
2012-02-28 $0.7000
2011-11-29 $0.7000
2011-08-30 $0.6100
2011-05-27 $0.6100
2011-02-25 $0.6100
2010-11-29 $0.6100
2010-08-30 $0.5500
2010-05-27 $0.5500
2010-02-25 $0.5500
2009-11-27 $0.5500
2009-08-28 $0.5000
2009-06-04 $0.5000
2009-02-26 $0.5000
2008-11-26 $0.5000
2008-08-28 $0.3750
2008-06-05 $0.3750
2008-02-28 $0.3750
2007-11-13 $1.5000
2006-11-13 $1.0000
2005-11-10 $0.6700
2004-11-10 $0.5500
2003-11-12 $0.4000
2002-11-13 $0.2350
2001-11-13 $0.2250
2000-11-13 $0.2150
1999-11-29 $0.0490
1999-08-30 $0.0490
1999-05-27 $0.0490
1999-03-11 $0.0490
1998-11-25 $0.0450
1998-08-27 $0.0450
1998-05-28 $0.0450
1998-02-25 $0.0410
1997-11-26 $0.0410
1997-08-27 $0.0410
1997-05-29 $0.0410
1997-02-26 $0.0375
1996-11-27 $0.0375
1996-08-28 $0.0375
1996-05-31 $0.0375
1996-02-27 $0.0340
1995-11-28 $0.0340
1995-08-29 $0.0340
1995-05-30 $0.0340
1995-02-22 $0.0300
1994-11-23 $0.0300
1994-08-25 $0.0300
1994-06-01 $0.0300
1994-02-22 $0.0267
1993-11-23 $0.0267
1993-08-25 $0.0267
1993-06-01 $0.0267
1993-02-23 $0.0250
1992-11-23 $0.0250
1992-08-25 $0.0250
1992-05-27 $0.0250
1992-02-25 $0.0238
1991-11-27 $0.0230
1991-08-28 $0.0230
1991-05-29 $0.0230
1991-03-05 $0.0213
1990-11-26 $0.0213
1990-08-27 $0.0213
1990-05-30 $0.0213
1990-02-27 $0.0192
1989-11-24 $0.0192
1989-08-25 $0.0192
1989-05-24 $0.0194
1989-02-22 $0.0175
1988-12-21 $0.0175
1988-11-23 $0.0175
1988-08-22 $0.0175
1988-05-24 $0.0175
1987-10-20 $0.0156
1987-07-23 $0.0156
1987-05-20 $0.0156
1987-01-22 $0.0138
1986-10-27 $0.0138
1986-07-23 $0.0138
1986-05-28 $0.0092
1986-01-22 $0.0125
1985-10-22 $0.0125
1985-07-23 $0.0125
1985-05-31 $0.0125
1985-01-22 $0.0114
1984-10-23 $0.0114
1984-07-24 $0.0107
1984-05-23 $0.0107
1984-01-24 $0.0093
1983-10-25 $0.0093
1983-07-15 $0.0093
1983-05-24 $0.0093
1983-01-24 $0.0081
1982-10-15 $0.0081
1982-07-20 $0.0074
1982-05-24 $0.0074
1982-02-05 $0.0062
1981-10-27 $0.0062
1981-07-28 $0.0062
1981-05-13 $0.0062
1981-02-24 $0.0049
1980-10-27 $0.0049
1980-07-24 $0.0049
1980-06-05 $0.0049
1980-02-25 $0.0035
1979-10-26 $0.0035
1979-07-26 $0.0035
1979-05-21 $0.0035
1979-02-14 $0.0022
1978-10-26 $0.0022
1978-07-19 $0.0022
1978-05-16 $0.0022
1978-02-14 $0.0012
1977-10-18 $0.0012
1977-07-19 $0.0012
1977-05-12 $0.0012
1977-02-14 $0.0006
1976-10-21 $0.0006
1976-07-16 $0.0006
1976-05-10 $0.0006
1968-05-24 $0.0012
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Left Skewed (Extreme Negative Tail Risk) with a Skewness factor of -2.73. Further, an Excess Kurtosis of 84.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.39%830.55%0.55%
-5.39% to -4.03%1080.72%1.27%
-4.03% to -2.66%4523.01%4.28%
-2.66% to -1.29%173111.52%15.80%
-1.29% to 0.07%534835.60%51.40%
0.07% to 1.44%499733.26%84.66%
1.44% to 2.80%158310.54%95.19%
2.80% to 4.17%4593.06%98.25%
4.17% to 5.53%1561.04%99.29%
Greater than 5.53%1070.71%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.75%1.89% 79.57%68.27%
±2σ -3.57%3.71% 95.69%95.45%
±3σ -5.39%5.53% 98.74%99.73%
Descriptive Statistics
Mean0.070%
Standard Error0.015%
Median0.000%
Mode0.000%
Standard Deviation1.820%
Sample Variance3.314%
Kurtosis84.82
Skewness-2.73
Range68.844%
Minimum-50.719%
Maximum18.125%
Count15024
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.278% 7482 49.80% 0.636%
Negative -1.230% 6915 46.03% -0.566%
Zero 0.000% 627 4.17% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 1.99%
20 1 Month 1.68%
60 1 Quarter 1.61%
250 1 Year 1.66%
750 3 Years 1.55%
1,250 5 Years 1.58%
2,500 10 Years 1.61%
5,000 20 Years 1.64%
12,500 50 Years 2.02%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.22. Further, an Excess Kurtosis of 57.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.21%00.00%0.00%
-2.21% to -1.14%00.00%0.00%
-1.14% to -0.06%00.00%0.00%
-0.06% to 1.02%234415.60%15.60%
1.02% to 2.10%711047.32%62.92%
2.10% to 3.17%332822.15%85.07%
3.17% to 4.25%12738.47%93.54%
4.25% to 5.33%4983.31%96.86%
5.33% to 6.40%2251.50%98.36%
Greater than 6.40%2471.64%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.66%3.53% 86.07%68.27%
±2σ -0.78%4.97% 96.12%95.45%
±3σ -2.21%6.40% 98.36%99.73%
Descriptive Statistics
Mean2.095%
Standard Error0.012%
Median1.724%
Mode1.695%
Standard Deviation1.436%
Sample Variance2.061%
Kurtosis57.13
Skewness4.22
Range41.617%
Minimum0.216%
Maximum41.833%
Count15025
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.095% 15025 100.00% 2.095%
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 0.08. Further, an Excess Kurtosis of 6.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.53%1180.79%0.79%
-4.53% to -3.40%1671.11%1.90%
-3.40% to -2.28%5363.57%5.46%
-2.28% to -1.16%166611.09%16.55%
-1.16% to -0.04%465230.96%47.51%
-0.04% to 1.09%534035.54%83.05%
1.09% to 2.21%179511.95%95.00%
2.21% to 3.33%5053.36%98.36%
3.33% to 4.45%1310.87%99.23%
Greater than 4.45%1150.77%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.53%1.46% 77.76%68.27%
±2σ -3.03%2.96% 95.03%95.45%
±3σ -4.53%4.45% 98.45%99.73%
Descriptive Statistics
Mean-0.037%
Standard Error0.012%
Median0.000%
Mode0.000%
Standard Deviation1.497%
Sample Variance2.242%
Kurtosis6.26
Skewness0.08
Range24.574%
Minimum-12.016%
Maximum12.558%
Count15025
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.091% 6884 45.82% 0.500%
Negative -1.114% 7241 48.19% -0.537%
Zero 0.000% 900 5.99% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Left Skewed (Negative Asymmetry) with a Skewness factor of -0.94. Further, an Excess Kurtosis of 16.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.80%200.64%0.64%
-11.80% to -8.76%321.03%1.67%
-8.76% to -5.73%902.89%4.56%
-5.73% to -2.69%37111.91%16.47%
-2.69% to 0.34%104533.55%50.02%
0.34% to 3.37%103933.35%83.37%
3.37% to 6.41%35911.52%94.90%
6.41% to 9.44%1063.40%98.30%
9.44% to 12.47%311.00%99.29%
Greater than 12.47%220.71%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.71%4.38% 77.75%68.27%
±2σ -7.75%8.43% 95.44%95.45%
±3σ -11.80%12.47% 98.65%99.73%
Descriptive Statistics
Mean0.339%
Standard Error0.072%
Median0.330%
Mode0.000%
Standard Deviation4.045%
Sample Variance16.362%
Kurtosis16.60
Skewness-0.94
Range80.465%
Minimum-51.210%
Maximum29.255%
Count3115
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.892% 1684 54.06% 1.563%
Negative -2.748% 1388 44.56% -1.224%
Zero 0.000% 43 1.38% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.31%
12 1 Quarter 3.77%
52 1 Year 3.67%
156 3 Years 3.58%
260 5 Years 3.64%
520 10 Years 3.73%
1,040 20 Years 3.74%
2,600 50 Years 4.74%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 7.43. Further, an Excess Kurtosis of 145.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.70%00.00%0.00%
-6.70% to -3.65%00.00%0.00%
-3.65% to -0.61%00.00%0.00%
-0.61% to 2.44%37211.94%11.94%
2.44% to 5.49%158350.80%62.74%
5.49% to 8.53%75324.17%86.91%
8.53% to 11.58%2357.54%94.45%
11.58% to 14.62%963.08%97.53%
14.62% to 17.67%361.16%98.68%
Greater than 17.67%411.32%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.42%9.55% 89.57%68.27%
±2σ -2.64%13.61% 96.82%95.45%
±3σ -6.70%17.67% 98.68%99.73%
Descriptive Statistics
Mean5.486%
Standard Error0.073%
Median4.526%
Mode4.545%
Standard Deviation4.062%
Sample Variance16.502%
Kurtosis145.26
Skewness7.43
Range107.886%
Minimum1.029%
Maximum108.915%
Count3116
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.486% 3116 100.00% 5.486%
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 5.40. Further, an Excess Kurtosis of 125.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.83%70.22%0.22%
-12.83% to -9.66%321.03%1.25%
-9.66% to -6.49%702.25%3.50%
-6.49% to -3.31%37712.10%15.60%
-3.31% to -0.14%113836.52%52.12%
-0.14% to 3.03%103833.31%85.43%
3.03% to 6.21%32310.37%95.80%
6.21% to 9.38%852.73%98.52%
9.38% to 12.55%270.87%99.39%
Greater than 12.55%190.61%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.37%4.09% 80.65%68.27%
±2σ -8.60%8.32% 96.34%95.45%
±3σ -12.83%12.55% 99.17%99.73%
Descriptive Statistics
Mean-0.139%
Standard Error0.076%
Median-0.283%
Mode0.000%
Standard Deviation4.231%
Sample Variance17.899%
Kurtosis125.57
Skewness5.40
Range127.596%
Minimum-22.634%
Maximum104.962%
Count3116
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.854% 1403 45.03% 1.285%
Negative -2.673% 1660 53.27% -1.424%
Zero 0.000% 53 1.70% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Left Skewed (Negative Asymmetry) with a Skewness factor of -0.58. Further, an Excess Kurtosis of 7.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -21.64%50.70%0.70%
-21.64% to -15.87%20.28%0.98%
-15.87% to -10.10%283.91%4.89%
-10.10% to -4.33%8912.43%17.32%
-4.33% to 1.44%23232.40%49.72%
1.44% to 7.21%23232.40%82.12%
7.21% to 12.98%9112.71%94.83%
12.98% to 18.75%283.91%98.74%
18.75% to 24.52%60.84%99.58%
Greater than 24.52%30.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.25%9.13% 76.54%68.27%
±2σ -13.95%16.82% 96.23%95.45%
±3σ -21.64%24.52% 98.88%99.73%
Descriptive Statistics
Mean1.439%
Standard Error0.288%
Median1.460%
Mode-6.135%
Standard Deviation7.693%
Sample Variance59.182%
Kurtosis7.80
Skewness-0.58
Range98.376%
Minimum-55.229%
Maximum43.147%
Count716
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.954% 423 59.08% 3.518%
Negative -5.097% 292 40.78% -2.079%
Zero 0.000% 1 0.14% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 8.17%
12 1 Year 7.36%
36 3 Years 7.27%
60 5 Years 7.49%
120 10 Years 7.84%
240 20 Years 7.73%
600 50 Years 9.96%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.42. Further, an Excess Kurtosis of 65.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.75%00.00%0.00%
-17.75% to -10.21%00.00%0.00%
-10.21% to -2.66%00.00%0.00%
-2.66% to 4.89%344.74%4.74%
4.89% to 12.44%43460.53%65.27%
12.44% to 19.99%17123.85%89.12%
19.99% to 27.54%557.67%96.79%
27.54% to 35.09%81.12%97.91%
35.09% to 42.63%50.70%98.61%
Greater than 42.63%101.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.38%22.50% 91.91%68.27%
±2σ -7.69%32.57% 97.77%95.45%
±3σ -17.76%42.63% 98.61%99.73%
Descriptive Statistics
Mean12.440%
Standard Error0.376%
Median10.453%
Mode7.143%
Standard Deviation10.065%
Sample Variance101.297%
Kurtosis65.65
Skewness6.42
Range134.428%
Minimum2.238%
Maximum136.666%
Count717
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.440% 717 100.00% 12.440%
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 5.02. Further, an Excess Kurtosis of 59.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -27.55%10.14%0.14%
-27.55% to -20.82%10.14%0.28%
-20.82% to -14.09%141.95%2.23%
-14.09% to -7.36%9112.69%14.92%
-7.36% to -0.63%28139.19%54.11%
-0.63% to 6.10%23632.91%87.03%
6.10% to 12.83%709.76%96.79%
12.83% to 19.56%162.23%99.02%
19.56% to 26.29%20.28%99.30%
Greater than 26.29%50.70%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.61%8.34% 83.54%68.27%
±2σ -18.58%17.32% 97.91%95.45%
±3σ -27.55%26.29% 99.16%99.73%
Descriptive Statistics
Mean-0.631%
Standard Error0.335%
Median-1.154%
Mode0.000%
Standard Deviation8.974%
Sample Variance80.534%
Kurtosis59.95
Skewness5.02
Range153.503%
Minimum-30.142%
Maximum123.361%
Count717
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.942% 298 41.56% 2.470%
Negative -5.383% 413 57.60% -3.101%
Zero 0.000% 6 0.84% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.35. Further, an Excess Kurtosis of 5.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -36.94%20.84%0.84%
-36.94% to -26.62%31.26%2.09%
-26.62% to -16.29%72.93%5.02%
-16.29% to -5.97%2711.30%16.32%
-5.97% to 4.36%7732.22%48.54%
4.36% to 14.68%8937.24%85.77%
14.68% to 25.00%229.21%94.98%
25.00% to 35.33%72.93%97.91%
35.33% to 45.65%20.84%98.74%
Greater than 45.65%31.26%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.41%18.12% 81.17%68.27%
±2σ -23.18%31.89% 94.56%95.45%
±3σ -36.94%45.65% 97.91%99.73%
Descriptive Statistics
Mean4.356%
Standard Error0.890%
Median4.671%
Mode6.346%
Standard Deviation13.766%
Sample Variance189.491%
Kurtosis5.15
Skewness0.35
Range126.848%
Minimum-55.598%
Maximum71.250%
Count239
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 11.785% 146 61.09% 7.199%
Negative -7.386% 92 38.49% -2.843%
Zero 0.000% 1 0.42% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 10.28%
12 3 Years 12.47%
20 5 Years 12.32%
40 10 Years 13.78%
80 20 Years 13.74%
200 50 Years 17.16%
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 21.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.88%00.00%0.00%
-33.88% to -19.53%00.00%0.00%
-19.53% to -5.18%00.00%0.00%
-5.18% to 9.18%135.42%5.42%
9.18% to 23.53%15263.33%68.75%
23.53% to 37.88%4719.58%88.33%
37.88% to 52.24%145.83%94.17%
52.24% to 66.59%62.50%96.67%
66.59% to 80.94%31.25%97.92%
Greater than 80.94%52.08%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.39%42.67% 90.83%68.27%
±2σ -14.75%61.81% 96.25%95.45%
±3σ -33.88%80.94% 97.92%99.73%
Descriptive Statistics
Mean23.530%
Standard Error1.235%
Median18.351%
Mode24.138%
Standard Deviation19.138%
Sample Variance366.263%
Kurtosis21.72
Skewness3.92
Range166.313%
Minimum6.764%
Maximum173.077%
Count240
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 23.530% 240 100.00% 23.530%
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 3.44. Further, an Excess Kurtosis of 24.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -48.00%00.00%0.00%
-48.00% to -36.48%20.83%0.83%
-36.48% to -24.97%41.67%2.50%
-24.97% to -13.46%239.58%12.08%
-13.46% to -1.94%10644.17%56.25%
-1.94% to 9.57%7832.50%88.75%
9.57% to 21.09%187.50%96.25%
21.09% to 32.60%41.67%97.92%
32.60% to 44.12%20.83%98.75%
Greater than 44.12%31.25%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -17.29%13.41% 85.83%68.27%
±2σ -32.65%28.76% 96.67%95.45%
±3σ -48.00%44.11% 98.75%99.73%
Descriptive Statistics
Mean-1.941%
Standard Error0.991%
Median-4.454%
Mode0.000%
Standard Deviation15.352%
Sample Variance235.691%
Kurtosis24.44
Skewness3.44
Range165.953%
Minimum-41.606%
Maximum124.347%
Count240
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.091% 92 38.33% 3.868%
Negative -9.550% 146 60.83% -5.810%
Zero 0.000% 2 0.83% 0.000%