Markets Data Volatility Heatmap Portfolio Calculator

MCD Deep Analytical Report

McDonald's Corporation | Category: Equity Mega Cap | Ann. Div Yield: 2.19% ($7.17) | Last Updated: 2026-02-22 | Data Range: 1966-07-01 → 2026-02-01 (716 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% 1.02% 1.07% 325.88 332.62 322.56 336.04
Weekly 4.05% 4.06% 4.23% 3.63% 2.25% 2.36% 321.90 336.73 314.73 344.40
Monthly 7.69% 10.07% 8.97% 7.50% 4.69% 4.91% 314.15 345.03 299.76 361.59
Quarterly 13.76% 19.15% 15.35% 12.11% 8.12% 8.50% 303.55 357.08 279.88 387.29
Annual — — — — 16.24% 17.00% 279.88 387.29 237.92 455.58
Option Time Horizon — — — — 6.25% 6.54% 309.29 350.45 290.56 373.04
Calculation Notes: Computed at 2026-02-22T14:17 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $329.23  |  Strike (K): $330.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $8.1250 (Bid $7.9500 / Ask $8.3000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.19%  |  Binomial IV (Annual): 16.24% (CRR binomial tree, American, n=20 steps)  |  BS IV: 16.16% (European Black-Scholes)  |  Yahoo IV (Annual): 17.00% → 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 $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 -2.74. Further, an Excess Kurtosis of 84.80 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%4513.01%4.28%
-2.66% to -1.29%172911.52%15.80%
-1.29% to 0.07%534035.59%51.40%
0.07% to 1.44%499233.27%84.67%
1.44% to 2.80%157810.52%95.19%
2.80% to 4.17%4613.07%98.26%
4.17% to 5.53%1541.03%99.29%
Greater than 5.53%1070.71%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.75%1.89% 79.60%68.27%
±2σ -3.57%3.71% 95.69%95.45%
±3σ -5.39%5.53% 98.73%99.73%
Descriptive Statistics
Mean0.071%
Standard Error0.015%
Median0.000%
Mode0.000%
Standard Deviation1.821%
Sample Variance3.316%
Kurtosis84.80
Skewness-2.74
Range68.844%
Minimum-50.719%
Maximum18.125%
Count15003
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.278% 7474 49.82% 0.637%
Negative -1.230% 6902 46.00% -0.566%
Zero 0.000% 627 4.18% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 1.91%
20 1 Month 1.81%
60 1 Quarter 1.59%
250 1 Year 1.70%
750 3 Years 1.55%
1,250 5 Years 1.58%
2,500 10 Years 1.60%
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 57.08 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%234015.60%15.60%
1.02% to 2.10%709847.31%62.90%
2.10% to 3.17%332322.15%85.05%
3.17% to 4.25%12738.48%93.54%
4.25% to 5.33%4983.32%96.85%
5.33% to 6.40%2251.50%98.35%
Greater than 6.40%2471.65%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.66%3.53% 86.05%68.27%
±2σ -0.78%4.97% 96.11%95.45%
±3σ -2.21%6.40% 98.35%99.73%
Descriptive Statistics
Mean2.095%
Standard Error0.012%
Median1.727%
Mode1.695%
Standard Deviation1.436%
Sample Variance2.063%
Kurtosis57.08
Skewness4.22
Range41.617%
Minimum0.216%
Maximum41.833%
Count15004
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.095% 15004 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 -3.41%1671.11%1.90%
-3.41% to -2.28%5363.57%5.47%
-2.28% to -1.16%166311.08%16.56%
-1.16% to -0.04%464730.97%47.53%
-0.04% to 1.09%533135.53%83.06%
1.09% to 2.21%179211.94%95.00%
2.21% to 3.33%5063.37%98.37%
3.33% to 4.46%1290.86%99.23%
Greater than 4.46%1150.77%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.53%1.46% 77.77%68.27%
±2σ -3.03%2.96% 95.03%95.45%
±3σ -4.53%4.46% 98.45%99.73%
Descriptive Statistics
Mean-0.037%
Standard Error0.012%
Median0.000%
Mode0.000%
Standard Deviation1.498%
Sample Variance2.243%
Kurtosis6.26
Skewness0.08
Range24.574%
Minimum-12.016%
Maximum12.558%
Count15004
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.092% 6872 45.80% 0.500%
Negative -1.114% 7233 48.21% -0.537%
Zero 0.000% 899 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%37211.96%16.52%
-2.69% to 0.34%104233.49%50.02%
0.34% to 3.38%103733.33%83.35%
3.38% to 6.41%35911.54%94.89%
6.41% to 9.45%1063.41%98.30%
9.45% to 12.48%311.00%99.29%
Greater than 12.48%220.71%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.70%4.39% 77.79%68.27%
±2σ -7.75%8.43% 95.44%95.45%
±3σ -11.80%12.48% 98.65%99.73%
Descriptive Statistics
Mean0.342%
Standard Error0.073%
Median0.341%
Mode0.000%
Standard Deviation4.046%
Sample Variance16.371%
Kurtosis16.60
Skewness-0.94
Range80.465%
Minimum-51.210%
Maximum29.255%
Count3111
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.892% 1684 54.13% 1.565%
Negative -2.751% 1384 44.49% -1.224%
Zero 0.000% 43 1.38% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 3.56%
12 1 Quarter 3.43%
52 1 Year 3.73%
156 3 Years 3.56%
260 5 Years 3.63%
520 10 Years 3.72%
1,040 20 Years 3.73%
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 145.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.71%00.00%0.00%
-6.71% to -3.66%00.00%0.00%
-3.66% to -0.61%00.00%0.00%
-0.61% to 2.44%36911.86%11.86%
2.44% to 5.49%158350.87%62.72%
5.49% to 8.54%75224.16%86.89%
8.54% to 11.58%2377.62%94.51%
11.58% to 14.63%943.02%97.53%
14.63% to 17.68%361.16%98.68%
Greater than 17.68%411.32%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.42%9.55% 89.59%68.27%
±2σ -2.64%13.62% 96.82%95.45%
±3σ -6.71%17.68% 98.68%99.73%
Descriptive Statistics
Mean5.487%
Standard Error0.073%
Median4.531%
Mode4.545%
Standard Deviation4.064%
Sample Variance16.517%
Kurtosis145.16
Skewness7.43
Range107.886%
Minimum1.029%
Maximum108.915%
Count3112
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.487% 3112 100.00% 5.487%
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 125.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.84%70.22%0.22%
-12.84% to -9.66%321.03%1.25%
-9.66% to -6.49%702.25%3.50%
-6.49% to -3.31%37712.11%15.62%
-3.31% to -0.14%113636.50%52.12%
-0.14% to 3.03%103733.32%85.44%
3.03% to 6.21%32210.35%95.79%
6.21% to 9.38%852.73%98.52%
9.38% to 12.56%270.87%99.39%
Greater than 12.56%190.61%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.37%4.09% 80.66%68.27%
±2σ -8.60%8.32% 96.34%95.45%
±3σ -12.84%12.56% 99.16%99.73%
Descriptive Statistics
Mean-0.140%
Standard Error0.076%
Median-0.284%
Mode0.000%
Standard Deviation4.232%
Sample Variance17.911%
Kurtosis125.58
Skewness5.40
Range127.596%
Minimum-22.634%
Maximum104.962%
Count3112
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.854% 1401 45.02% 1.285%
Negative -2.675% 1658 53.28% -1.425%
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 7.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -21.61%50.70%0.70%
-21.61% to -15.85%20.28%0.98%
-15.85% to -10.08%283.92%4.90%
-10.08% to -4.32%8812.31%17.20%
-4.32% to 1.45%23332.59%49.79%
1.45% to 7.21%23232.45%82.24%
7.21% to 12.98%9012.59%94.83%
12.98% to 18.75%283.92%98.74%
18.75% to 24.51%60.84%99.58%
Greater than 24.51%30.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.24%9.14% 76.64%68.27%
±2σ -13.93%16.82% 96.22%95.45%
±3σ -21.61%24.51% 98.88%99.73%
Descriptive Statistics
Mean1.449%
Standard Error0.287%
Median1.468%
Mode-6.135%
Standard Deviation7.687%
Sample Variance59.082%
Kurtosis7.85
Skewness-0.58
Range98.376%
Minimum-55.229%
Maximum43.147%
Count715
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.947% 423 59.16% 3.518%
Negative -5.085% 291 40.70% -2.070%
Zero 0.000% 1 0.14% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 6.63%
12 1 Year 7.20%
36 3 Years 7.15%
60 5 Years 7.50%
120 10 Years 7.83%
240 20 Years 7.70%
600 50 Years 9.95%
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 65.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.78%00.00%0.00%
-17.78% to -10.22%00.00%0.00%
-10.22% to -2.67%00.00%0.00%
-2.67% to 4.88%344.75%4.75%
4.88% to 12.44%43360.47%65.22%
12.44% to 19.99%17123.88%89.11%
19.99% to 27.55%557.68%96.79%
27.55% to 35.10%81.12%97.91%
35.10% to 42.66%50.70%98.60%
Greater than 42.66%101.40%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.37%22.51% 91.90%68.27%
±2σ -7.71%32.59% 97.77%95.45%
±3σ -17.78%42.66% 98.60%99.73%
Descriptive Statistics
Mean12.439%
Standard Error0.376%
Median10.449%
Mode7.143%
Standard Deviation10.073%
Sample Variance101.461%
Kurtosis65.52
Skewness6.42
Range134.428%
Minimum2.238%
Maximum136.666%
Count716
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.439% 716 100.00% 12.439%
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 5.03. Further, an Excess Kurtosis of 60.20 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%141.96%2.23%
-14.09% to -7.37%9112.71%14.94%
-7.37% to -0.64%28039.11%54.05%
-0.64% to 6.09%23632.96%87.01%
6.09% to 12.81%709.78%96.79%
12.81% to 19.54%162.23%99.02%
19.54% to 26.27%20.28%99.30%
Greater than 26.27%50.70%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.61%8.33% 83.52%68.27%
±2σ -18.58%17.30% 97.91%95.45%
±3σ -27.55%26.27% 99.16%99.73%
Descriptive Statistics
Mean-0.641%
Standard Error0.335%
Median-1.176%
Mode0.000%
Standard Deviation8.969%
Sample Variance80.448%
Kurtosis60.20
Skewness5.03
Range153.503%
Minimum-30.142%
Maximum123.361%
Count716
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.928% 297 41.48% 2.459%
Negative -5.375% 413 57.68% -3.100%
Zero 0.000% 6 0.84% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.34. Further, an Excess Kurtosis of 5.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -36.90%20.84%0.84%
-36.90% to -26.58%31.26%2.09%
-26.58% to -16.26%72.93%5.02%
-16.26% to -5.94%2711.30%16.32%
-5.94% to 4.38%7631.80%48.12%
4.38% to 14.70%9138.08%86.19%
14.70% to 25.02%218.79%94.98%
25.02% to 35.34%72.93%97.91%
35.34% to 45.66%20.84%98.74%
Greater than 45.66%31.26%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.38%18.14% 80.75%68.27%
±2σ -23.14%31.90% 94.56%95.45%
±3σ -36.90%45.66% 97.91%99.73%
Descriptive Statistics
Mean4.382%
Standard Error0.890%
Median4.671%
Mode6.346%
Standard Deviation13.760%
Sample Variance189.341%
Kurtosis5.16
Skewness0.34
Range126.848%
Minimum-55.598%
Maximum71.250%
Count239
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 11.736% 147 61.51% 7.218%
Negative -7.449% 91 38.08% -2.836%
Zero 0.000% 1 0.42% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 9.23%
12 3 Years 12.12%
20 5 Years 12.11%
40 10 Years 13.67%
80 20 Years 13.69%
200 50 Years 17.14%
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 21.66 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.95%00.00%0.00%
-33.95% to -19.58%00.00%0.00%
-19.58% to -5.22%00.00%0.00%
-5.22% to 9.15%145.83%5.83%
9.15% to 23.51%15162.92%68.75%
23.51% to 37.88%4719.58%88.33%
37.88% to 52.24%145.83%94.17%
52.24% to 66.61%62.50%96.67%
66.61% to 80.97%31.25%97.92%
Greater than 80.97%52.08%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.36%42.66% 90.83%68.27%
±2σ -14.79%61.82% 96.25%95.45%
±3σ -33.95%80.97% 97.92%99.73%
Descriptive Statistics
Mean23.511%
Standard Error1.236%
Median18.351%
Mode24.138%
Standard Deviation19.153%
Sample Variance366.830%
Kurtosis21.66
Skewness3.91
Range166.586%
Minimum6.491%
Maximum173.077%
Count240
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 23.511% 240 100.00% 23.511%
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 24.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -48.01%00.00%0.00%
-48.01% to -36.50%20.83%0.83%
-36.50% to -24.99%41.67%2.50%
-24.99% to -13.48%239.58%12.08%
-13.48% to -1.97%10644.17%56.25%
-1.97% to 9.54%7832.50%88.75%
9.54% to 21.06%187.50%96.25%
21.06% to 32.57%41.67%97.92%
32.57% to 44.08%20.83%98.75%
Greater than 44.08%31.25%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -17.32%13.38% 85.83%68.27%
±2σ -32.66%28.73% 96.67%95.45%
±3σ -48.01%44.08% 98.75%99.73%
Descriptive Statistics
Mean-1.967%
Standard Error0.991%
Median-4.454%
Mode0.000%
Standard Deviation15.349%
Sample Variance235.597%
Kurtosis24.48
Skewness3.44
Range165.953%
Minimum-41.606%
Maximum124.347%
Count240
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.170% 91 37.92% 3.856%
Negative -9.506% 147 61.25% -5.822%
Zero 0.000% 2 0.83% 0.000%