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%	2.73%	2.87%	76.55	80.85	74.49	83.09
Weekly	7.91%	8.15%	8.11%	7.66%	6.01%	6.32%	74.08	83.55	69.75	88.72
Monthly	15.80%	18.09%	17.18%	17.00%	12.52%	13.15%	69.41	89.16	61.24	101.05
Quarterly	30.56%	38.99%	37.42%	32.24%	21.68%	22.78%	63.33	97.72	50.99	121.38
Annual	—	—	—	—	43.37%	45.56%	50.99	121.38	33.05	187.28
Option Time Horizon	—	—	—	—	16.68%	17.52%	66.58	92.95	56.35	109.82

Calculation Notes: Computed at 2026-02-22T14:17 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $78.67 | Strike (K): $80.00 (first OTM call ≥ spot) | Observed Mid-Price: $4.8500 (Bid $4.7500 / Ask $4.9500) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 43.37% (CRR binomial tree, American, n=20 steps) | BS IV: 43.57% (European Black-Scholes) | Yahoo IV (Annual): 45.56% → 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 0.13. Further, an Excess Kurtosis of 19.33 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	2.26%	3.68%
-4.99% to -2.41%	625	10.46%	14.14%
-2.41% to 0.17%	2292	38.37%	52.51%
0.17% to 2.75%	1985	33.23%	85.74%
2.75% to 5.33%	574	9.61%	95.35%
5.33% to 7.91%	170	2.85%	98.19%
7.91% to 10.49%	50	0.84%	99.03%
Greater than 10.49%	58	0.97%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.27%	3.61%	81.52%	68.27%
±2σ	-6.71%	7.05%	95.98%	95.45%
±3σ	-10.15%	10.49%	98.43%	99.73%

Descriptive Statistics

Mean	0.168%
Standard Error	0.045%
Median	0.035%
Mode	0.000%
Standard Deviation	3.440%
Sample Variance	11.832%
Kurtosis	19.33
Skewness	0.13
Range	83.130%
Minimum	-40.906%
Maximum	42.224%
Count	5974

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.343%	3021	50.57%	1.185%
Negative	-2.068%	2936	49.15%	-1.016%
Zero	0.000%	17	0.28%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	2.81%
20	1 Month	3.01%
60	1 Quarter	2.83%
250	1 Year	2.86%
750	3 Years	2.76%
1,250	5 Years	3.22%
2,500	10 Years	3.23%
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 30.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.94%	0	0.00%	0.00%
-3.94% to -1.97%	0	0.00%	0.00%
-1.97% to -0.01%	0	0.00%	0.00%
-0.01% to 1.96%	956	16.00%	16.00%
1.96% to 3.92%	2792	46.73%	62.73%
3.92% to 5.89%	1328	22.23%	84.95%
5.89% to 7.86%	530	8.87%	93.82%
7.86% to 9.82%	187	3.13%	96.95%
9.82% to 11.79%	82	1.37%	98.33%
Greater than 11.79%	100	1.67%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.30%	6.54%	85.92%	68.27%
±2σ	-1.32%	9.17%	96.32%	95.45%
±3σ	-3.94%	11.79%	98.33%	99.73%

Descriptive Statistics

Mean	3.924%
Standard Error	0.034%
Median	3.257%
Mode	1.735%
Standard Deviation	2.621%
Sample Variance	6.868%
Kurtosis	30.12
Skewness	3.54
Range	50.935%
Minimum	0.611%
Maximum	51.546%
Count	5975

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.924%	5975	100.00%	3.924%
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 0.09. 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%	42	0.70%	0.70%
-8.20% to -6.15%	66	1.10%	1.81%
-6.15% to -4.10%	202	3.38%	5.19%
-4.10% to -2.05%	725	12.13%	17.32%
-2.05% to -0.00%	1908	31.93%	49.26%
-0.00% to 2.04%	2044	34.21%	83.46%
2.04% to 4.09%	681	11.40%	94.86%
4.09% to 6.14%	206	3.45%	98.31%
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	-2.74%	2.73%	77.77%	68.27%
±2σ	-5.47%	5.46%	94.88%	95.45%
±3σ	-8.20%	8.19%	98.53%	99.73%

Descriptive Statistics

Mean	-0.004%
Standard Error	0.035%
Median	0.028%
Mode	0.000%
Standard Deviation	2.732%
Sample Variance	7.466%
Kurtosis	6.48
Skewness	0.09
Range	45.880%
Minimum	-25.388%
Maximum	20.492%
Count	5975

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	1.900%	3012	50.41%	0.958%
Negative	-1.949%	2946	49.30%	-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 0.37. Further, an Excess Kurtosis of 7.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -22.88%	10	0.81%	0.81%
-22.88% to -16.95%	9	0.73%	1.53%
-16.95% to -11.02%	35	2.82%	4.36%
-11.02% to -5.09%	135	10.90%	15.25%
-5.09% to 0.84%	464	37.45%	52.70%
0.84% to 6.77%	398	32.12%	84.83%
6.77% to 12.69%	117	9.44%	94.27%
12.69% to 18.62%	44	3.55%	97.82%
18.62% to 24.55%	14	1.13%	98.95%
Greater than 24.55%	13	1.05%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.07%	8.74%	79.34%	68.27%
±2σ	-14.97%	16.65%	95.32%	95.45%
±3σ	-22.88%	24.55%	98.14%	99.73%

Descriptive Statistics

Mean	0.837%
Standard Error	0.225%
Median	0.557%
Mode	-10.366%
Standard Deviation	7.905%
Sample Variance	62.486%
Kurtosis	7.47
Skewness	0.37
Range	106.840%
Minimum	-43.373%
Maximum	63.467%
Count	1239

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.644%	676	54.56%	3.079%
Negative	-4.944%	562	45.36%	-2.243%
Zero	0.000%	1	0.08%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	6.45%
12	1 Quarter	6.17%
52	1 Year	6.55%
156	3 Years	6.49%
260	5 Years	7.66%
520	10 Years	7.66%
1,040	20 Years	9.08%
2,600	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 3.84. Further, an Excess Kurtosis of 24.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -14.01%	0	0.00%	0.00%
-14.01% to -7.90%	0	0.00%	0.00%
-7.90% to -1.79%	0	0.00%	0.00%
-1.79% to 4.32%	140	11.29%	11.29%
4.32% to 10.43%	662	53.39%	64.68%
10.43% to 16.54%	274	22.10%	86.77%
16.54% to 22.65%	97	7.82%	94.60%
22.65% to 28.76%	31	2.50%	97.10%
28.76% to 34.87%	16	1.29%	98.39%
Greater than 34.87%	20	1.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.28%	18.58%	89.52%	68.27%
±2σ	-5.87%	26.72%	96.53%	95.45%
±3σ	-14.01%	34.87%	98.39%	99.73%

Descriptive Statistics

Mean	10.428%
Standard Error	0.231%
Median	8.412%
Mode	5.904%
Standard Deviation	8.147%
Sample Variance	66.374%
Kurtosis	24.15
Skewness	3.84
Range	83.787%
Minimum	2.009%
Maximum	85.796%
Count	1240

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.428%	1240	100.00%	10.428%
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 2.41. Further, an Excess Kurtosis of 20.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -24.46%	3	0.24%	0.24%
-24.46% to -18.38%	10	0.81%	1.05%
-18.38% to -12.30%	33	2.66%	3.71%
-12.30% to -6.22%	133	10.73%	14.44%
-6.22% to -0.14%	479	38.63%	53.06%
-0.14% to 5.95%	416	33.55%	86.61%
5.95% to 12.03%	115	9.27%	95.89%
12.03% to 18.11%	27	2.18%	98.06%
18.11% to 24.19%	11	0.89%	98.95%
Greater than 24.19%	13	1.05%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.25%	7.97%	81.53%	68.27%
±2σ	-16.36%	16.08%	96.53%	95.45%
±3σ	-24.46%	24.19%	98.71%	99.73%

Descriptive Statistics

Mean	-0.137%
Standard Error	0.230%
Median	-0.511%
Mode	-5.677%
Standard Deviation	8.109%
Sample Variance	65.752%
Kurtosis	20.48
Skewness	2.41
Range	120.494%
Minimum	-38.529%
Maximum	81.965%
Count	1240

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.504%	565	45.56%	2.508%
Negative	-4.873%	673	54.27%	-2.645%
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 4.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -43.85%	2	0.70%	0.70%
-43.85% to -32.00%	2	0.70%	1.40%
-32.00% to -20.15%	10	3.51%	4.91%
-20.15% to -8.30%	34	11.93%	16.84%
-8.30% to 3.56%	98	34.39%	51.23%
3.56% to 15.41%	91	31.93%	83.16%
15.41% to 27.26%	32	11.23%	94.39%
27.26% to 39.11%	11	3.86%	98.25%
39.11% 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	-12.25%	19.36%	77.54%	68.27%
±2σ	-28.05%	35.16%	95.79%	95.45%
±3σ	-43.85%	50.96%	98.25%	99.73%

Descriptive Statistics

Mean	3.556%
Standard Error	0.936%
Median	2.930%
Mode	1.129%
Standard Deviation	15.802%
Sample Variance	249.714%
Kurtosis	4.27
Skewness	0.59
Range	130.266%
Minimum	-51.802%
Maximum	78.464%
Count	285

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	12.535%	171	60.00%	7.521%
Negative	-9.913%	114	40.00%	-3.965%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	14.09%
12	1 Year	14.18%
36	3 Years	14.90%
60	5 Years	17.00%
120	10 Years	17.10%
240	20 Years	20.67%
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 8.66 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -28.21%	0	0.00%	0.00%
-28.21% to -14.65%	0	0.00%	0.00%
-14.65% to -1.08%	0	0.00%	0.00%
-1.08% to 12.48%	46	16.08%	16.08%
12.48% to 26.05%	135	47.20%	63.29%
26.05% to 39.61%	64	22.38%	85.66%
39.61% to 53.17%	26	9.09%	94.76%
53.17% to 66.74%	3	1.05%	95.80%
66.74% to 80.30%	4	1.40%	97.20%
Greater than 80.30%	8	2.80%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.96%	44.13%	87.41%	68.27%
±2σ	-10.13%	62.22%	95.80%	95.45%
±3σ	-28.21%	80.30%	97.20%	99.73%

Descriptive Statistics

Mean	26.046%
Standard Error	1.069%
Median	21.416%
Mode	29.251%
Standard Deviation	18.086%
Sample Variance	327.086%
Kurtosis	8.66
Skewness	2.55
Range	116.631%
Minimum	4.962%
Maximum	121.593%
Count	286

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	26.046%	286	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 2.36. Further, an Excess Kurtosis of 11.54 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 -39.47%	3	1.05%	1.05%
-39.47% to -26.59%	2	0.70%	1.75%
-26.59% to -13.70%	36	12.59%	14.34%
-13.70% to -0.82%	124	43.36%	57.69%
-0.82% to 12.06%	82	28.67%	86.36%
12.06% to 24.94%	26	9.09%	95.45%
24.94% to 37.82%	4	1.40%	96.85%
37.82% to 50.70%	5	1.75%	98.60%
Greater than 50.70%	4	1.40%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.00%	16.35%	83.57%	68.27%
±2σ	-35.17%	33.53%	95.45%	95.45%
±3σ	-52.35%	50.70%	98.60%	99.73%

Descriptive Statistics

Mean	-0.822%
Standard Error	1.016%
Median	-2.827%
Mode	-42.381%
Standard Deviation	17.175%
Sample Variance	294.968%
Kurtosis	11.54
Skewness	2.36
Range	149.435%
Minimum	-42.381%
Maximum	107.054%
Count	286

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	13.439%	112	39.16%	5.263%
Negative	-10.001%	174	60.84%	-6.085%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.46. Further, an Excess Kurtosis of 1.86 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -79.91%	0	0.00%	0.00%
-79.91% to -56.99%	1	1.05%	1.05%
-56.99% to -34.07%	3	3.16%	4.21%
-34.07% to -11.15%	13	13.68%	17.89%
-11.15% to 11.77%	28	29.47%	47.37%
11.77% to 34.70%	34	35.79%	83.16%
34.70% to 57.62%	10	10.53%	93.68%
57.62% to 80.54%	4	4.21%	97.89%
80.54% to 103.46%	0	0.00%	97.89%
Greater than 103.46%	2	2.11%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.79%	42.34%	73.68%	68.27%
±2σ	-49.35%	72.90%	94.74%	95.45%
±3σ	-79.91%	103.46%	97.89%	99.73%

Descriptive Statistics

Mean	11.774%
Standard Error	3.136%
Median	12.499%
Mode	-69.142%
Standard Deviation	30.562%
Sample Variance	934.043%
Kurtosis	1.86
Skewness	0.46
Range	187.844%
Minimum	-69.142%
Maximum	118.702%
Count	95

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	27.836%	62	65.26%	18.167%
Negative	-18.405%	33	34.74%	-6.393%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	19.85%
12	3 Years	28.02%
20	5 Years	32.24%
40	10 Years	31.15%
80	20 Years	39.27%
200	50 Years	43.03%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.64. Further, an Excess Kurtosis of 9.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -62.28%	0	0.00%	0.00%
-62.28% to -33.03%	0	0.00%	0.00%
-33.03% to -3.79%	0	0.00%	0.00%
-3.79% to 25.46%	12	12.50%	12.50%
25.46% to 54.70%	53	55.21%	67.71%
54.70% to 83.95%	16	16.67%	84.38%
83.95% to 113.20%	8	8.33%	92.71%
113.20% to 142.44%	3	3.12%	95.83%
142.44% to 171.69%	2	2.08%	97.92%
Greater than 171.69%	2	2.08%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	15.71%	93.70%	84.38%	68.27%
±2σ	-23.28%	132.69%	94.79%	95.45%
±3σ	-62.28%	171.69%	97.92%	99.73%

Descriptive Statistics

Mean	54.705%
Standard Error	3.980%
Median	43.925%
Mode	11.037%
Standard Deviation	38.995%
Sample Variance	1520.585%
Kurtosis	9.45
Skewness	2.64
Range	251.926%
Minimum	11.037%
Maximum	262.963%
Count	96

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	54.705%	96	100.00%	54.705%
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 3.20. Further, an Excess Kurtosis of 15.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -113.96%	0	0.00%	0.00%
-113.96% to -85.89%	0	0.00%	0.00%
-85.89% to -57.83%	0	0.00%	0.00%
-57.83% to -29.76%	11	11.46%	11.46%
-29.76% to -1.70%	48	50.00%	61.46%
-1.70% to 26.37%	25	26.04%	87.50%
26.37% to 54.43%	8	8.33%	95.83%
54.43% to 82.50%	1	1.04%	96.88%
82.50% to 110.56%	1	1.04%	97.92%
Greater than 110.56%	2	2.08%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-39.12%	35.72%	85.42%	68.27%
±2σ	-76.54%	73.14%	96.88%	95.45%
±3σ	-113.96%	110.56%	97.92%	99.73%

Descriptive Statistics

Mean	-1.698%
Standard Error	3.819%
Median	-10.362%
Mode	-54.764%
Standard Deviation	37.420%
Sample Variance	1400.283%
Kurtosis	15.53
Skewness	3.20
Range	281.933%
Minimum	-54.764%
Maximum	227.169%
Count	96

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	31.201%	34	35.42%	11.050%
Negative	-19.739%	62	64.58%	-12.748%
Zero	0.000%	0	0.00%	0.000%

NFLX Deep Analytical Report