NCNO - 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%	2.96%	3.14%	4.43%	19.22%	19.18%	12.89	18.93	10.63	22.94
Weekly	6.88%	7.58%	7.12%	10.31%	42.31%	42.23%	10.23	23.85	6.70	36.41
Monthly	11.07%	12.34%	12.15%	21.40%	88.08%	87.90%	6.47	37.69	2.68	90.93
Quarterly	16.81%	18.35%	19.42%	34.96%	152.56%	152.25%	3.40	71.82	0.74	330.20
Annual	—	—	—	—	305.11%	304.49%	0.74	330.20	0.03	6980.28
Option Time Horizon	—	—	—	—	143.73%	143.44%	3.71	65.75	0.88	276.78

Calculation Notes: Computed at 2026-02-23T14:09 UTC | Reference Contract: Call option expiring 2026-05-15 (81 days) | Spot Price (S): $15.62 | Strike (K): $17.50 (first OTM call ≥ spot) | Observed Mid-Price: $7.8500 (Bid $7.2000 / Ask $8.5000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 305.11% (CRR binomial tree, American, n=20 steps) | BS IV: 305.05% (European Black-Scholes) | Yahoo IV (Annual): 304.49% → 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 0.22. Further, an Excess Kurtosis of 6.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.32%	12	0.85%	0.85%
-10.32% to -7.76%	12	0.85%	1.70%
-7.76% to -5.20%	48	3.41%	5.11%
-5.20% to -2.63%	158	11.22%	16.34%
-2.63% to -0.07%	473	33.59%	49.93%
-0.07% to 2.50%	470	33.38%	83.31%
2.50% to 5.06%	172	12.22%	95.53%
5.06% to 7.63%	42	2.98%	98.51%
7.63% to 10.19%	9	0.64%	99.15%
Greater than 10.19%	12	0.85%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.49%	3.35%	77.70%	68.27%
±2σ	-6.91%	6.77%	95.31%	95.45%
±3σ	-10.32%	10.19%	98.30%	99.73%

Descriptive Statistics

Mean	-0.067%
Standard Error	0.091%
Median	-0.062%
Mode	0.000%
Standard Deviation	3.419%
Sample Variance	11.690%
Kurtosis	6.42
Skewness	0.22
Range	45.488%
Minimum	-21.018%
Maximum	24.470%
Count	1408

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.353%	687	48.79%	1.148%
Negative	-2.396%	714	50.71%	-1.215%
Zero	0.000%	7	0.50%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	4.44%
20	1 Month	5.66%
60	1 Quarter	4.37%
250	1 Year	3.87%
750	3 Years	3.67%
1,250	5 Years	4.43%
2,500	10 Years	4.59%
5,000	20 Years	4.59%
12,500	50 Years	4.59%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.14. Further, an Excess Kurtosis of 18.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -4.43%	0	0.00%	0.00%
-4.43% to -2.21%	0	0.00%	0.00%
-2.21% to 0.02%	0	0.00%	0.00%
0.02% to 2.24%	232	16.47%	16.47%
2.24% to 4.47%	650	46.13%	62.60%
4.47% to 6.69%	316	22.43%	85.02%
6.69% to 8.91%	126	8.94%	93.97%
8.91% to 11.14%	40	2.84%	96.81%
11.14% to 13.36%	18	1.28%	98.08%
Greater than 13.36%	27	1.92%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.50%	7.43%	86.30%	68.27%
±2σ	-1.46%	10.40%	96.24%	95.45%
±3σ	-4.43%	13.36%	98.08%	99.73%

Descriptive Statistics

Mean	4.466%
Standard Error	0.079%
Median	3.688%
Mode	2.158%
Standard Deviation	2.965%
Sample Variance	8.789%
Kurtosis	18.13
Skewness	3.14
Range	34.699%
Minimum	0.906%
Maximum	35.605%
Count	1409

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.466%	1409	100.00%	4.466%
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 -0.10. Further, an Excess Kurtosis of 6.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -9.28%	12	0.85%	0.85%
-9.28% to -6.92%	9	0.64%	1.49%
-6.92% to -4.57%	52	3.69%	5.18%
-4.57% to -2.22%	153	10.86%	16.04%
-2.22% to 0.14%	506	35.91%	51.95%
0.14% to 2.49%	434	30.80%	82.75%
2.49% to 4.84%	163	11.57%	94.32%
4.84% to 7.19%	54	3.83%	98.15%
7.19% to 9.55%	15	1.06%	99.22%
Greater than 9.55%	11	0.78%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.00%	3.27%	77.71%	68.27%
±2σ	-6.14%	6.41%	95.32%	95.45%
±3σ	-9.28%	9.55%	98.37%	99.73%

Descriptive Statistics

Mean	0.135%
Standard Error	0.084%
Median	0.040%
Mode	0.000%
Standard Deviation	3.137%
Sample Variance	9.839%
Kurtosis	6.49
Skewness	-0.10
Range	41.567%
Minimum	-22.481%
Maximum	19.086%
Count	1409

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.250%	719	51.03%	1.148%
Negative	-2.083%	685	48.62%	-1.013%
Zero	0.000%	5	0.35%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.10. Further, an Excess Kurtosis of 1.66 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -20.95%	1	0.34%	0.34%
-20.95% to -15.79%	4	1.37%	1.71%
-15.79% to -10.62%	14	4.79%	6.51%
-10.62% to -5.46%	35	11.99%	18.49%
-5.46% to -0.29%	89	30.48%	48.97%
-0.29% to 4.87%	93	31.85%	80.82%
4.87% to 10.03%	36	12.33%	93.15%
10.03% to 15.20%	13	4.45%	97.60%
15.20% to 20.36%	6	2.05%	99.66%
Greater than 20.36%	1	0.34%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.18%	6.59%	75.34%	68.27%
±2σ	-14.06%	13.48%	94.52%	95.45%
±3σ	-20.95%	20.36%	99.32%	99.73%

Descriptive Statistics

Mean	-0.294%
Standard Error	0.403%
Median	-0.228%
Mode	-3.222%
Standard Deviation	6.885%
Sample Variance	47.400%
Kurtosis	1.66
Skewness	0.10
Range	51.766%
Minimum	-23.829%
Maximum	27.937%
Count	292

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.976%	138	47.26%	2.352%
Negative	-5.048%	153	52.40%	-2.645%
Zero	0.000%	1	0.34%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	14.01%
12	1 Quarter	10.56%
52	1 Year	8.93%
156	3 Years	8.64%
260	5 Years	10.31%
520	10 Years	10.57%
1,040	20 Years	10.57%
2,600	50 Years	10.57%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.11. Further, an Excess Kurtosis of 5.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -11.27%	0	0.00%	0.00%
-11.27% to -5.59%	0	0.00%	0.00%
-5.59% to 0.10%	0	0.00%	0.00%
0.10% to 5.78%	55	18.77%	18.77%
5.78% to 11.46%	129	44.03%	62.80%
11.46% to 17.15%	60	20.48%	83.28%
17.15% to 22.83%	31	10.58%	93.86%
22.83% to 28.52%	6	2.05%	95.90%
28.52% to 34.20%	2	0.68%	96.59%
Greater than 34.20%	10	3.41%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.88%	19.04%	84.98%	68.27%
±2σ	-3.70%	26.62%	95.90%	95.45%
±3σ	-11.27%	34.20%	96.59%	99.73%

Descriptive Statistics

Mean	11.463%
Standard Error	0.443%
Median	9.206%
Mode	8.186%
Standard Deviation	7.579%
Sample Variance	57.440%
Kurtosis	5.80
Skewness	2.11
Range	48.860%
Minimum	2.233%
Maximum	51.093%
Count	293

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	11.463%	293	100.00%	11.463%
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 2.32 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -20.54%	1	0.34%	0.34%
-20.54% to -15.20%	1	0.34%	0.68%
-15.20% to -9.87%	12	4.10%	4.78%
-9.87% to -4.53%	39	13.31%	18.09%
-4.53% to 0.81%	106	36.18%	54.27%
0.81% to 6.15%	86	29.35%	83.62%
6.15% to 11.49%	25	8.53%	92.15%
11.49% to 16.82%	16	5.46%	97.61%
16.82% to 22.16%	3	1.02%	98.63%
Greater than 22.16%	4	1.37%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.31%	7.93%	75.43%	68.27%
±2σ	-13.42%	15.04%	93.86%	95.45%
±3σ	-20.54%	22.16%	98.29%	99.73%

Descriptive Statistics

Mean	0.810%
Standard Error	0.416%
Median	0.391%
Mode	-6.256%
Standard Deviation	7.117%
Sample Variance	50.655%
Kurtosis	2.32
Skewness	0.73
Range	51.180%
Minimum	-21.079%
Maximum	30.101%
Count	293

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.574%	155	52.90%	2.949%
Negative	-4.575%	137	46.76%	-2.139%
Zero	0.000%	1	0.34%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.22. Further, an Excess Kurtosis of -0.28 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -34.98%	0	0.00%	0.00%
-34.98% to -26.68%	1	1.49%	1.49%
-26.68% to -18.38%	2	2.99%	4.48%
-18.38% to -10.08%	14	20.90%	25.37%
-10.08% to -1.78%	18	26.87%	52.24%
-1.78% to 6.52%	18	26.87%	79.10%
6.52% to 14.82%	8	11.94%	91.04%
14.82% to 23.12%	5	7.46%	98.51%
23.12% to 31.43%	1	1.49%	100.00%
Greater than 31.43%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.85%	9.29%	67.16%	68.27%
±2σ	-23.91%	20.36%	95.52%	95.45%
±3σ	-34.98%	31.43%	100.00%	99.73%

Descriptive Statistics

Mean	-1.779%
Standard Error	1.352%
Median	-1.993%
Mode	-26.838%
Standard Deviation	11.068%
Sample Variance	122.506%
Kurtosis	-0.28
Skewness	0.22
Range	52.106%
Minimum	-26.838%
Maximum	25.268%
Count	67

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.988%	27	40.30%	3.622%
Negative	-9.047%	40	59.70%	-5.401%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	21.32%
12	1 Year	19.94%
36	3 Years	19.53%
60	5 Years	21.40%
120	10 Years	21.80%
240	20 Years	21.80%
600	50 Years	21.80%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.86. Further, an Excess Kurtosis of 0.29 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -11.52%	0	0.00%	0.00%
-11.52% to -2.26%	0	0.00%	0.00%
-2.26% to 6.99%	0	0.00%	0.00%
6.99% to 16.25%	21	30.88%	30.88%
16.25% to 25.50%	17	25.00%	55.88%
25.50% to 34.75%	16	23.53%	79.41%
34.75% to 44.01%	8	11.76%	91.18%
44.01% to 53.26%	4	5.88%	97.06%
53.26% to 62.52%	1	1.47%	98.53%
Greater than 62.52%	1	1.47%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.16%	37.84%	66.18%	68.27%
±2σ	0.82%	50.18%	95.59%	95.45%
±3σ	-11.52%	62.52%	98.53%	99.73%

Descriptive Statistics

Mean	25.499%
Standard Error	1.496%
Median	23.386%
Mode	10.338%
Standard Deviation	12.339%
Sample Variance	152.245%
Kurtosis	0.29
Skewness	0.86
Range	52.193%
Minimum	10.338%
Maximum	62.531%
Count	68

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	25.499%	68	100.00%	25.499%
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 0.19. Further, an Excess Kurtosis of 0.09 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -33.78%	0	0.00%	0.00%
-33.78% to -24.66%	1	1.47%	1.47%
-24.66% to -15.55%	2	2.94%	4.41%
-15.55% to -6.44%	11	16.18%	20.59%
-6.44% to 2.67%	24	35.29%	55.88%
2.67% to 11.79%	14	20.59%	76.47%
11.79% to 20.90%	12	17.65%	94.12%
20.90% to 30.01%	3	4.41%	98.53%
30.01% to 39.12%	1	1.47%	100.00%
Greater than 39.12%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.48%	14.82%	66.18%	68.27%
±2σ	-21.63%	26.97%	97.06%	95.45%
±3σ	-33.78%	39.12%	100.00%	99.73%

Descriptive Statistics

Mean	2.674%
Standard Error	1.473%
Median	1.906%
Mode	-26.826%
Standard Deviation	12.150%
Sample Variance	147.611%
Kurtosis	0.09
Skewness	0.19
Range	64.022%
Minimum	-26.826%
Maximum	37.196%
Count	68

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.775%	39	57.35%	6.180%
Negative	-8.220%	29	42.65%	-3.506%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.25. Further, an Excess Kurtosis of -0.15 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -55.79%	0	0.00%	0.00%
-55.79% to -43.19%	0	0.00%	0.00%
-43.19% to -30.58%	2	8.70%	8.70%
-30.58% to -17.98%	3	13.04%	21.74%
-17.98% to -5.38%	8	34.78%	56.52%
-5.38% to 7.23%	4	17.39%	73.91%
7.23% to 19.83%	4	17.39%	91.30%
19.83% to 32.44%	2	8.70%	100.00%
32.44% to 45.04%	0	0.00%	100.00%
Greater than 45.04%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.18%	11.43%	60.87%	68.27%
±2σ	-38.99%	28.24%	95.65%	95.45%
±3σ	-55.79%	45.04%	100.00%	99.73%

Descriptive Statistics

Mean	-5.375%
Standard Error	3.504%
Median	-8.801%
Mode	-36.925%
Standard Deviation	16.806%
Sample Variance	282.429%
Kurtosis	-0.15
Skewness	0.25
Range	67.738%
Minimum	-36.925%
Maximum	30.813%
Count	23

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	15.055%	7	30.43%	4.582%
Negative	-14.312%	16	69.56%	-9.956%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	32.59%
12	3 Years	32.52%
20	5 Years	34.96%
40	10 Years	35.61%
80	20 Years	35.61%
200	50 Years	35.61%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.52. Further, an Excess Kurtosis of 2.88 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -9.36%	0	0.00%	0.00%
-9.36% to 4.41%	0	0.00%	0.00%
4.41% to 18.17%	0	0.00%	0.00%
18.17% to 31.93%	4	16.67%	16.67%
31.93% to 45.70%	12	50.00%	66.67%
45.70% to 59.46%	4	16.67%	83.33%
59.46% to 73.22%	2	8.33%	91.67%
73.22% to 86.99%	1	4.17%	95.83%
86.99% to 100.75%	0	0.00%	95.83%
Greater than 100.75%	1	4.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	27.35%	64.05%	83.33%	68.27%
±2σ	8.99%	82.40%	91.67%	95.45%
±3σ	-9.36%	100.75%	95.83%	99.73%

Descriptive Statistics

Mean	45.697%
Standard Error	3.746%
Median	40.781%
Mode	19.333%
Standard Deviation	18.352%
Sample Variance	336.813%
Kurtosis	2.88
Skewness	1.52
Range	81.759%
Minimum	19.333%
Maximum	101.092%
Count	24

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	45.697%	24	100.00%	45.697%
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 0.80 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -50.33%	0	0.00%	0.00%
-50.33% to -35.77%	0	0.00%	0.00%
-35.77% to -21.20%	1	4.17%	4.17%
-21.20% to -6.64%	6	25.00%	29.17%
-6.64% to 7.92%	4	16.67%	45.83%
7.92% to 22.48%	8	33.33%	79.17%
22.48% to 37.04%	2	8.33%	87.50%
37.04% to 51.60%	2	8.33%	95.83%
51.60% to 66.17%	1	4.17%	100.00%
Greater than 66.17%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.50%	27.34%	70.83%	68.27%
±2σ	-30.91%	46.75%	95.83%	95.45%
±3σ	-50.33%	66.17%	100.00%	99.73%

Descriptive Statistics

Mean	7.919%
Standard Error	3.963%
Median	9.198%
Mode	-24.080%
Standard Deviation	19.416%
Sample Variance	376.979%
Kurtosis	0.80
Skewness	0.73
Range	83.277%
Minimum	-24.080%
Maximum	59.197%
Count	24

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.953%	16	66.67%	11.969%
Negative	-12.148%	8	33.33%	-4.049%
Zero	0.000%	0	0.00%	0.000%

NCNO Deep Analytical Report