NFLX - 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	3.44%	2.62%	2.73%	3.22%	2.44%	2.52%	90.86	95.39	88.67	97.74
Weekly	7.93%	8.16%	8.12%	7.71%	5.36%	5.55%	88.24	98.22	83.63	103.63
Monthly	15.79%	18.06%	17.16%	17.20%	11.16%	11.55%	83.27	104.09	74.47	116.37
Quarterly	30.51%	38.82%	37.42%	33.15%	19.33%	20.01%	76.73	112.94	63.25	137.03
Annual	—	—	—	—	38.66%	40.02%	63.25	137.03	42.97	201.69
Option Time Horizon	—	—	—	—	14.59%	15.10%	80.46	107.72	69.53	124.64

Calculation Notes: Computed at 2026-03-23T16:31 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $93.10 | Strike (K): $94.00 (first OTM call ≥ spot) | Observed Mid-Price: $5.2250 (Bid $5.1500 / Ask $5.3000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 38.66% (CRR binomial tree, American, n=20 steps) | BS IV: 38.66% (European Black-Scholes) | Yahoo IV (Annual): 40.02% → 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 0.14. Further, an Excess Kurtosis of 19.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.15%	36	0.60%	0.60%
-10.15% to -7.57%	49	0.82%	1.42%
-7.57% to -4.99%	135	2.25%	3.67%
-4.99% to -2.41%	627	10.46%	14.13%
-2.41% to 0.17%	2302	38.40%	52.53%
0.17% to 2.75%	1993	33.24%	85.77%
2.75% to 5.33%	573	9.56%	95.33%
5.33% to 7.91%	172	2.87%	98.20%
7.91% to 10.49%	49	0.82%	99.02%
Greater than 10.49%	59	0.98%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.27%	3.61%	81.50%	68.27%
±2σ	-6.71%	7.05%	95.98%	95.45%
±3σ	-10.15%	10.49%	98.42%	99.73%

Descriptive Statistics

Mean	0.171%
Standard Error	0.044%
Median	0.036%
Mode	0.000%
Standard Deviation	3.440%
Sample Variance	11.835%
Kurtosis	19.28
Skewness	0.14
Range	83.130%
Minimum	-40.906%
Maximum	42.224%
Count	5995

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.344%	3033	50.59%	1.186%
Negative	-2.066%	2945	49.12%	-1.015%
Zero	0.000%	17	0.28%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	2.54%
20	1 Month	3.36%
60	1 Quarter	2.93%
250	1 Year	2.82%
750	3 Years	2.76%
1,250	5 Years	3.22%
2,500	10 Years	3.24%
5,000	20 Years	3.77%
12,500	50 Years	4.13%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.54. Further, an Excess Kurtosis of 30.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.93%	0	0.00%	0.00%
-3.93% to -1.97%	0	0.00%	0.00%
-1.97% to -0.01%	0	0.00%	0.00%
-0.01% to 1.96%	962	16.04%	16.04%
1.96% to 3.92%	2802	46.73%	62.78%
3.92% to 5.88%	1331	22.20%	84.97%
5.88% to 7.85%	531	8.86%	93.83%
7.85% to 9.81%	188	3.14%	96.96%
9.81% to 11.78%	81	1.35%	98.32%
Greater than 11.78%	101	1.68%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.30%	6.54%	85.92%	68.27%
±2σ	-1.31%	9.16%	96.30%	95.45%
±3σ	-3.93%	11.77%	98.32%	99.73%

Descriptive Statistics

Mean	3.921%
Standard Error	0.034%
Median	3.256%
Mode	1.735%
Standard Deviation	2.618%
Sample Variance	6.854%
Kurtosis	30.16
Skewness	3.54
Range	50.935%
Minimum	0.611%
Maximum	51.546%
Count	5996

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.921%	5996	100.00%	3.921%
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 6.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -8.20%	43	0.72%	0.72%
-8.20% to -6.15%	65	1.08%	1.80%
-6.15% to -4.10%	202	3.37%	5.17%
-4.10% to -2.05%	727	12.12%	17.29%
-2.05% to -0.01%	1918	31.99%	49.28%
-0.01% to 2.04%	2048	34.16%	83.44%
2.04% to 4.09%	683	11.39%	94.83%
4.09% to 6.14%	209	3.49%	98.32%
6.14% to 8.19%	55	0.92%	99.23%
Greater than 8.19%	46	0.77%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.73%	2.73%	77.74%	68.27%
±2σ	-5.46%	5.46%	94.88%	95.45%
±3σ	-8.20%	8.18%	98.52%	99.73%

Descriptive Statistics

Mean	-0.005%
Standard Error	0.035%
Median	0.026%
Mode	0.000%
Standard Deviation	2.730%
Sample Variance	7.450%
Kurtosis	6.48
Skewness	0.10
Range	45.880%
Minimum	-25.388%
Maximum	20.492%
Count	5996

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	1.898%	3020	50.37%	0.956%
Negative	-1.948%	2959	49.35%	-0.961%
Zero	0.000%	17	0.28%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.39. Further, an Excess Kurtosis of 7.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -22.94%	10	0.80%	0.80%
-22.94% to -16.99%	9	0.72%	1.53%
-16.99% to -11.04%	35	2.82%	4.34%
-11.04% to -5.10%	135	10.86%	15.21%
-5.10% to 0.85%	469	37.73%	52.94%
0.85% to 6.80%	397	31.94%	84.88%
6.80% to 12.75%	116	9.33%	94.21%
12.75% to 18.69%	44	3.54%	97.75%
18.69% to 24.64%	14	1.13%	98.87%
Greater than 24.64%	14	1.13%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.08%	8.78%	79.49%	68.27%
±2σ	-15.01%	16.71%	95.25%	95.45%
±3σ	-22.94%	24.64%	98.07%	99.73%

Descriptive Statistics

Mean	0.851%
Standard Error	0.225%
Median	0.553%
Mode	-2.096%
Standard Deviation	7.930%
Sample Variance	62.888%
Kurtosis	7.41
Skewness	0.39
Range	106.840%
Minimum	-43.373%
Maximum	63.467%
Count	1243

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.675%	677	54.47%	3.091%
Negative	-4.929%	565	45.45%	-2.240%
Zero	0.000%	1	0.08%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	11.48%
12	1 Quarter	7.79%
52	1 Year	6.72%
156	3 Years	6.55%
260	5 Years	7.71%
520	10 Years	7.71%
1,040	20 Years	9.09%
2,600	50 Years	9.97%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.83. Further, an Excess Kurtosis of 23.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -14.04%	0	0.00%	0.00%
-14.04% to -7.92%	0	0.00%	0.00%
-7.92% to -1.80%	0	0.00%	0.00%
-1.80% to 4.32%	140	11.25%	11.25%
4.32% to 10.43%	665	53.46%	64.71%
10.43% to 16.55%	275	22.11%	86.82%
16.55% to 22.67%	96	7.72%	94.53%
22.67% to 28.79%	31	2.49%	97.03%
28.79% to 34.90%	17	1.37%	98.39%
Greater than 34.90%	20	1.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.28%	18.59%	89.47%	68.27%
±2σ	-5.88%	26.75%	96.46%	95.45%
±3σ	-14.04%	34.90%	98.39%	99.73%

Descriptive Statistics

Mean	10.433%
Standard Error	0.231%
Median	8.402%
Mode	5.904%
Standard Deviation	8.157%
Sample Variance	66.539%
Kurtosis	23.95
Skewness	3.83
Range	83.787%
Minimum	2.009%
Maximum	85.796%
Count	1244

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.433%	1244	100.00%	10.433%
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 2.38. Further, an Excess Kurtosis of 20.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -24.51%	3	0.24%	0.24%
-24.51% to -18.42%	10	0.80%	1.05%
-18.42% to -12.33%	34	2.73%	3.78%
-12.33% to -6.24%	133	10.69%	14.47%
-6.24% to -0.15%	478	38.42%	52.89%
-0.15% to 5.94%	419	33.68%	86.58%
5.94% to 12.03%	116	9.32%	95.90%
12.03% to 18.12%	27	2.17%	98.07%
18.12% to 24.21%	11	0.88%	98.95%
Greater than 24.21%	13	1.05%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.27%	7.97%	81.51%	68.27%
±2σ	-16.39%	16.09%	96.46%	95.45%
±3σ	-24.51%	24.21%	98.71%	99.73%

Descriptive Statistics

Mean	-0.149%
Standard Error	0.230%
Median	-0.499%
Mode	-5.677%
Standard Deviation	8.120%
Sample Variance	65.938%
Kurtosis	20.33
Skewness	2.38
Range	120.494%
Minimum	-38.529%
Maximum	81.965%
Count	1244

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.486%	568	45.66%	2.505%
Negative	-4.898%	674	54.18%	-2.654%
Zero	0.000%	2	0.16%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.59. Further, an Excess Kurtosis of 4.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -43.75%	2	0.70%	0.70%
-43.75% to -31.91%	3	1.05%	1.75%
-31.91% to -20.07%	9	3.15%	4.90%
-20.07% to -8.23%	34	11.89%	16.78%
-8.23% to 3.61%	98	34.27%	51.05%
3.61% to 15.45%	92	32.17%	83.22%
15.45% to 27.28%	32	11.19%	94.41%
27.28% to 39.12%	11	3.85%	98.25%
39.12% to 50.96%	2	0.70%	98.95%
Greater than 50.96%	3	1.05%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.18%	19.39%	77.62%	68.27%
±2σ	-27.96%	35.18%	95.80%	95.45%
±3σ	-43.75%	50.96%	98.25%	99.73%

Descriptive Statistics

Mean	3.606%
Standard Error	0.933%
Median	2.950%
Mode	1.129%
Standard Deviation	15.785%
Sample Variance	249.169%
Kurtosis	4.26
Skewness	0.59
Range	130.266%
Minimum	-51.802%
Maximum	78.464%
Count	286

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	12.551%	172	60.14%	7.548%
Negative	-9.890%	114	39.86%	-3.942%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	16.32%
12	1 Year	14.95%
36	3 Years	15.04%
60	5 Years	17.20%
120	10 Years	17.20%
240	20 Years	20.70%
600	50 Years	22.60%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.55. Further, an Excess Kurtosis of 8.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -28.14%	0	0.00%	0.00%
-28.14% to -14.60%	0	0.00%	0.00%
-14.60% to -1.05%	0	0.00%	0.00%
-1.05% to 12.50%	47	16.38%	16.38%
12.50% to 26.05%	134	46.69%	63.07%
26.05% to 39.59%	65	22.65%	85.71%
39.59% to 53.14%	26	9.06%	94.77%
53.14% to 66.69%	3	1.05%	95.82%
66.69% to 80.23%	4	1.39%	97.21%
Greater than 80.23%	8	2.79%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.98%	44.11%	87.46%	68.27%
±2σ	-10.08%	62.17%	95.82%	95.45%
±3σ	-28.14%	80.23%	97.21%	99.73%

Descriptive Statistics

Mean	26.046%
Standard Error	1.066%
Median	21.428%
Mode	29.251%
Standard Deviation	18.063%
Sample Variance	326.256%
Kurtosis	8.68
Skewness	2.55
Range	116.631%
Minimum	4.962%
Maximum	121.593%
Count	287

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	26.046%	287	100.00%	26.046%
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 2.37. Further, an Excess Kurtosis of 11.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -52.35%	0	0.00%	0.00%
-52.35% to -39.48%	3	1.05%	1.05%
-39.48% to -26.61%	2	0.70%	1.74%
-26.61% to -13.75%	36	12.54%	14.29%
-13.75% to -0.88%	125	43.55%	57.84%
-0.88% to 11.99%	82	28.57%	86.41%
11.99% to 24.86%	26	9.06%	95.47%
24.86% to 37.72%	4	1.39%	96.86%
37.72% to 50.59%	5	1.74%	98.61%
Greater than 50.59%	4	1.39%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.04%	16.28%	83.62%	68.27%
±2σ	-35.19%	33.43%	95.47%	95.45%
±3σ	-52.35%	50.59%	98.61%	99.73%

Descriptive Statistics

Mean	-0.879%
Standard Error	1.013%
Median	-2.837%
Mode	-42.381%
Standard Deviation	17.156%
Sample Variance	294.331%
Kurtosis	11.58
Skewness	2.37
Range	149.435%
Minimum	-42.381%
Maximum	107.054%
Count	287

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	13.403%	112	39.02%	5.230%
Negative	-10.019%	175	60.98%	-6.109%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.45. Further, an Excess Kurtosis of 1.88 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -79.57%	0	0.00%	0.00%
-79.57% to -56.69%	1	1.05%	1.05%
-56.69% to -33.80%	3	3.16%	4.21%
-33.80% to -10.92%	14	14.74%	18.95%
-10.92% to 11.96%	28	29.47%	48.42%
11.96% to 34.84%	33	34.74%	83.16%
34.84% to 57.72%	10	10.53%	93.68%
57.72% to 80.60%	4	4.21%	97.89%
80.60% to 103.48%	0	0.00%	97.89%
Greater than 103.48%	2	2.11%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.55%	42.47%	73.68%	68.27%
±2σ	-49.06%	72.97%	94.74%	95.45%
±3σ	-79.57%	103.48%	97.89%	99.73%

Descriptive Statistics

Mean	11.957%
Standard Error	3.130%
Median	12.499%
Mode	-69.142%
Standard Deviation	30.508%
Sample Variance	930.733%
Kurtosis	1.88
Skewness	0.45
Range	187.844%
Minimum	-69.142%
Maximum	118.702%
Count	95

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	27.579%	63	66.32%	18.289%
Negative	-18.800%	32	33.68%	-6.333%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	24.38%
12	3 Years	29.53%
20	5 Years	33.15%
40	10 Years	31.60%
80	20 Years	39.50%
200	50 Years	43.22%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.67. Further, an Excess Kurtosis of 9.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -61.55%	0	0.00%	0.00%
-61.55% to -32.44%	0	0.00%	0.00%
-32.44% to -3.32%	0	0.00%	0.00%
-3.32% to 25.80%	11	11.46%	11.46%
25.80% to 54.92%	55	57.29%	68.75%
54.92% to 84.03%	15	15.62%	84.38%
84.03% to 113.15%	8	8.33%	92.71%
113.15% to 142.27%	3	3.12%	95.83%
142.27% to 171.38%	2	2.08%	97.92%
Greater than 171.38%	2	2.08%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.09%	93.74%	85.42%	68.27%
±2σ	-22.73%	132.56%	94.79%	95.45%
±3σ	-61.55%	171.38%	97.92%	99.73%

Descriptive Statistics

Mean	54.916%
Standard Error	3.962%
Median	43.925%
Mode	11.037%
Standard Deviation	38.823%
Sample Variance	1507.236%
Kurtosis	9.60
Skewness	2.67
Range	251.926%
Minimum	11.037%
Maximum	262.963%
Count	96

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	54.916%	96	100.00%	54.916%
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 3.22. Further, an Excess Kurtosis of 15.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -114.14%	0	0.00%	0.00%
-114.14% to -86.07%	0	0.00%	0.00%
-86.07% to -58.00%	0	0.00%	0.00%
-58.00% to -29.94%	11	11.46%	11.46%
-29.94% to -1.87%	49	51.04%	62.50%
-1.87% to 26.20%	24	25.00%	87.50%
26.20% to 54.26%	8	8.33%	95.83%
54.26% to 82.33%	1	1.04%	96.88%
82.33% to 110.40%	1	1.04%	97.92%
Greater than 110.40%	2	2.08%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-39.29%	35.55%	85.42%	68.27%
±2σ	-76.71%	72.97%	96.88%	95.45%
±3σ	-114.14%	110.40%	97.92%	99.73%

Descriptive Statistics

Mean	-1.870%
Standard Error	3.819%
Median	-10.410%
Mode	-54.764%
Standard Deviation	37.422%
Sample Variance	1400.394%
Kurtosis	15.58
Skewness	3.22
Range	281.933%
Minimum	-54.764%
Maximum	227.169%
Count	96

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	31.959%	33	34.38%	10.986%
Negative	-19.590%	63	65.62%	-12.856%
Zero	0.000%	0	0.00%	0.000%

NFLX Deep Analytical Report