NIO - 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	5.50%	4.57%	4.42%	6.26%	4.27%	4.29%	4.86	5.29	4.66	5.52
Weekly	12.11%	13.24%	11.47%	15.16%	9.40%	9.45%	4.62	5.57	4.20	6.12
Monthly	28.41%	27.94%	27.31%	32.17%	19.57%	19.68%	4.17	6.17	3.43	7.50
Quarterly	70.97%	80.40%	50.70%	55.96%	33.89%	34.08%	3.61	7.12	2.57	9.99
Annual	—	—	—	—	67.78%	68.16%	2.57	9.99	1.31	19.67
Option Time Horizon	—	—	—	—	22.16%	22.28%	4.06	6.33	3.26	7.90

Calculation Notes: Computed at 2026-02-22T14:24 UTC | Reference Contract: Call option expiring 2026-04-02 (39 days) | Spot Price (S): $5.07 | Strike (K): $5.50 (first OTM call ≥ spot) | Observed Mid-Price: $0.2900 (Bid $0.2700 / Ask $0.3100) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 67.78% (CRR binomial tree, American, n=20 steps) | BS IV: 67.92% (European Black-Scholes) | Yahoo IV (Annual): 68.16% → 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 Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.41. Further, an Excess Kurtosis of 25.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.39%	3	0.16%	0.16%
-16.39% to -12.26%	12	0.64%	0.80%
-12.26% to -8.13%	50	2.68%	3.48%
-8.13% to -4.00%	270	14.45%	17.92%
-4.00% to 0.13%	653	34.94%	52.86%
0.13% to 4.26%	574	30.71%	83.57%
4.26% to 8.39%	207	11.08%	94.65%
8.39% to 12.51%	68	3.64%	98.29%
12.51% to 16.64%	14	0.75%	99.04%
Greater than 16.64%	18	0.96%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.38%	5.63%	76.89%	68.27%
±2σ	-10.88%	11.14%	96.09%	95.45%
±3σ	-16.39%	16.64%	98.88%	99.73%

Descriptive Statistics

Mean	0.128%
Standard Error	0.127%
Median	-0.224%
Mode	0.000%
Standard Deviation	5.505%
Sample Variance	30.301%
Kurtosis	25.54
Skewness	2.41
Range	96.919%
Minimum	-21.161%
Maximum	75.758%
Count	1869

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.115%	890	47.62%	1.960%
Negative	-3.576%	957	51.20%	-1.831%
Zero	0.000%	22	1.18%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	3.47%
20	1 Month	4.87%
60	1 Quarter	4.51%
250	1 Year	5.44%
750	3 Years	5.76%
1,250	5 Years	6.26%
2,500	10 Years	7.05%
5,000	20 Years	7.05%
12,500	50 Years	7.05%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.83. Further, an Excess Kurtosis of 98.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -7.08%	0	0.00%	0.00%
-7.08% to -3.65%	0	0.00%	0.00%
-3.65% to -0.22%	0	0.00%	0.00%
-0.22% to 3.21%	201	10.75%	10.75%
3.21% to 6.64%	963	51.50%	62.25%
6.64% to 10.07%	469	25.08%	87.33%
10.07% to 13.50%	146	7.81%	95.13%
13.50% to 16.93%	46	2.46%	97.59%
16.93% to 20.36%	24	1.28%	98.88%
Greater than 20.36%	21	1.12%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.07%	11.22%	89.30%	68.27%
±2σ	-2.50%	15.79%	97.22%	95.45%
±3σ	-7.08%	20.36%	98.88%	99.73%

Descriptive Statistics

Mean	6.643%
Standard Error	0.106%
Median	5.637%
Mode	4.000%
Standard Deviation	4.573%
Sample Variance	20.913%
Kurtosis	98.87
Skewness	6.83
Range	93.628%
Minimum	1.004%
Maximum	94.632%
Count	1870

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.643%	1870	100.00%	6.643%
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 -0.46. Further, an Excess Kurtosis of 7.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.99%	9	0.48%	0.48%
-12.99% to -9.68%	19	1.02%	1.50%
-9.68% to -6.37%	76	4.06%	5.56%
-6.37% to -3.05%	241	12.89%	18.45%
-3.05% to 0.26%	566	30.27%	48.72%
0.26% to 3.57%	613	32.78%	81.50%
3.57% to 6.89%	241	12.89%	94.39%
6.89% to 10.20%	74	3.96%	98.34%
10.20% to 13.51%	20	1.07%	99.41%
Greater than 13.51%	11	0.59%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.16%	4.68%	75.51%	68.27%
±2σ	-8.58%	9.10%	95.61%	95.45%
±3σ	-12.99%	13.51%	98.93%	99.73%

Descriptive Statistics

Mean	0.260%
Standard Error	0.102%
Median	0.377%
Mode	0.000%
Standard Deviation	4.418%
Sample Variance	19.520%
Kurtosis	7.43
Skewness	-0.46
Range	70.810%
Minimum	-42.931%
Maximum	27.879%
Count	1870

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.250%	995	53.21%	1.729%
Negative	-3.290%	835	44.65%	-1.469%
Zero	0.000%	40	2.14%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.79. Further, an Excess Kurtosis of 2.37 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -35.77%	1	0.26%	0.26%
-35.77% to -26.68%	2	0.52%	0.77%
-26.68% to -17.60%	10	2.58%	3.35%
-17.60% to -8.51%	70	18.04%	21.39%
-8.51% to 0.57%	137	35.31%	56.70%
0.57% to 9.65%	102	26.29%	82.99%
9.65% to 18.74%	35	9.02%	92.01%
18.74% to 27.82%	19	4.90%	96.91%
27.82% to 36.91%	7	1.80%	98.71%
Greater than 36.91%	5	1.29%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.54%	12.68%	75.26%	68.27%
±2σ	-23.65%	24.80%	94.33%	95.45%
±3σ	-35.77%	36.91%	98.45%	99.73%

Descriptive Statistics

Mean	0.571%
Standard Error	0.615%
Median	-0.516%
Mode	0.000%
Standard Deviation	12.112%
Sample Variance	146.690%
Kurtosis	2.37
Skewness	0.79
Range	101.845%
Minimum	-42.647%
Maximum	59.198%
Count	388

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.344%	175	45.10%	4.665%
Negative	-7.638%	208	53.61%	-4.095%
Zero	0.000%	5	1.29%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	11.15%
12	1 Quarter	9.81%
52	1 Year	13.22%
156	3 Years	14.12%
260	5 Years	15.16%
520	10 Years	17.09%
1,040	20 Years	17.09%
2,600	50 Years	17.09%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.53. Further, an Excess Kurtosis of 36.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -20.85%	0	0.00%	0.00%
-20.85% to -10.92%	0	0.00%	0.00%
-10.92% to -0.99%	0	0.00%	0.00%
-0.99% to 8.94%	41	10.54%	10.54%
8.94% to 18.86%	212	54.50%	65.04%
18.86% to 28.79%	81	20.82%	85.86%
28.79% to 38.72%	33	8.48%	94.34%
38.72% to 48.65%	13	3.34%	97.69%
48.65% to 58.58%	4	1.03%	98.71%
Greater than 58.58%	5	1.29%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.63%	32.10%	87.66%	68.27%
±2σ	-7.61%	45.34%	96.66%	95.45%
±3σ	-20.85%	58.58%	98.71%	99.73%

Descriptive Statistics

Mean	18.864%
Standard Error	0.671%
Median	15.318%
Mode	7.928%
Standard Deviation	13.238%
Sample Variance	175.257%
Kurtosis	36.56
Skewness	4.53
Range	153.614%
Minimum	4.330%
Maximum	157.944%
Count	389

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	18.864%	389	100.00%	18.864%
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 0.22. Further, an Excess Kurtosis of 1.61 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -33.27%	2	0.51%	0.51%
-33.27% to -24.67%	5	1.29%	1.80%
-24.67% to -16.07%	19	4.88%	6.68%
-16.07% to -7.46%	34	8.74%	15.42%
-7.46% to 1.14%	142	36.50%	51.93%
1.14% to 9.75%	111	28.53%	80.46%
9.75% to 18.35%	52	13.37%	93.83%
18.35% to 26.96%	17	4.37%	98.20%
26.96% to 35.56%	3	0.77%	98.97%
Greater than 35.56%	4	1.03%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.33%	12.62%	73.78%	68.27%
±2σ	-21.80%	24.09%	95.12%	95.45%
±3σ	-33.28%	35.56%	98.46%	99.73%

Descriptive Statistics

Mean	1.144%
Standard Error	0.582%
Median	0.841%
Mode	0.000%
Standard Deviation	11.473%
Sample Variance	131.634%
Kurtosis	1.61
Skewness	0.22
Range	86.069%
Minimum	-37.359%
Maximum	48.710%
Count	389

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.046%	208	53.47%	4.837%
Negative	-8.116%	177	45.50%	-3.693%
Zero	0.000%	4	1.03%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.90. Further, an Excess Kurtosis of 0.69 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -82.01%	0	0.00%	0.00%
-82.01% to -60.70%	0	0.00%	0.00%
-60.70% to -39.39%	2	2.25%	2.25%
-39.39% to -18.08%	18	20.22%	22.47%
-18.08% to 3.23%	33	37.08%	59.55%
3.23% to 24.53%	18	20.22%	79.78%
24.53% to 45.84%	10	11.24%	91.01%
45.84% to 67.15%	6	6.74%	97.75%
67.15% to 88.46%	1	1.12%	98.88%
Greater than 88.46%	1	1.12%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.19%	31.64%	77.53%	68.27%
±2σ	-53.60%	60.05%	95.51%	95.45%
±3σ	-82.01%	88.46%	98.88%	99.73%

Descriptive Statistics

Mean	3.225%
Standard Error	3.012%
Median	-3.107%
Mode	-46.708%
Standard Deviation	28.412%
Sample Variance	807.268%
Kurtosis	0.69
Skewness	0.90
Range	140.678%
Minimum	-46.708%
Maximum	93.970%
Count	89

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	28.384%	39	43.82%	12.438%
Negative	-16.400%	50	56.18%	-9.214%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	18.40%
12	1 Year	30.14%
36	3 Years	31.44%
60	5 Years	32.17%
120	10 Years	38.65%
240	20 Years	38.65%
600	50 Years	38.65%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.57. Further, an Excess Kurtosis of 2.64 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -34.91%	0	0.00%	0.00%
-34.91% to -13.95%	0	0.00%	0.00%
-13.95% to 7.00%	0	0.00%	0.00%
7.00% to 27.96%	22	24.44%	24.44%
27.96% to 48.92%	35	38.89%	63.33%
48.92% to 69.88%	17	18.89%	82.22%
69.88% to 90.84%	7	7.78%	90.00%
90.84% to 111.79%	4	4.44%	94.44%
111.79% to 132.75%	4	4.44%	98.89%
Greater than 132.75%	1	1.11%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	20.98%	76.86%	78.89%	68.27%
±2σ	-6.97%	104.81%	94.44%	95.45%
±3σ	-34.91%	132.75%	98.89%	99.73%

Descriptive Statistics

Mean	48.920%
Standard Error	2.946%
Median	42.433%
Mode	17.365%
Standard Deviation	27.944%
Sample Variance	780.875%
Kurtosis	2.64
Skewness	1.57
Range	140.579%
Minimum	17.365%
Maximum	157.944%
Count	90

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	48.920%	90	100.00%	48.920%
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 0.63. Further, an Excess Kurtosis of 0.66 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -77.41%	0	0.00%	0.00%
-77.41% to -56.93%	0	0.00%	0.00%
-56.93% to -36.44%	3	3.33%	3.33%
-36.44% to -15.96%	20	22.22%	25.56%
-15.96% to 4.53%	26	28.89%	54.44%
4.53% to 25.01%	22	24.44%	78.89%
25.01% to 45.49%	13	14.44%	93.33%
45.49% to 65.98%	4	4.44%	97.78%
65.98% to 86.47%	1	1.11%	98.89%
Greater than 86.47%	1	1.11%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.79%	31.84%	68.89%	68.27%
±2σ	-50.10%	59.15%	96.67%	95.45%
±3σ	-77.41%	86.46%	98.89%	99.73%

Descriptive Statistics

Mean	4.526%
Standard Error	2.879%
Median	4.110%
Mode	-48.187%
Standard Deviation	27.313%
Sample Variance	746.002%
Kurtosis	0.66
Skewness	0.63
Range	140.736%
Minimum	-48.187%
Maximum	92.549%
Count	90

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	22.966%	51	56.67%	13.014%
Negative	-19.588%	39	43.33%	-8.488%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.86. Further, an Excess Kurtosis of 3.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -198.18%	0	0.00%	0.00%
-198.18% to -144.95%	0	0.00%	0.00%
-144.95% to -91.72%	0	0.00%	0.00%
-91.72% to -38.49%	3	10.00%	10.00%
-38.49% to 14.73%	16	53.33%	63.33%
14.73% to 67.96%	6	20.00%	83.33%
67.96% to 121.19%	2	6.67%	90.00%
121.19% to 174.42%	2	6.67%	96.67%
174.42% to 227.65%	0	0.00%	96.67%
Greater than 227.65%	1	3.33%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-56.24%	85.71%	80.00%	68.27%
±2σ	-127.21%	156.68%	93.33%	95.45%
±3σ	-198.18%	227.65%	96.67%	99.73%

Descriptive Statistics

Mean	14.735%
Standard Error	12.957%
Median	-8.019%
Mode	-58.213%
Standard Deviation	70.971%
Sample Variance	5036.870%
Kurtosis	3.53
Skewness	1.86
Range	308.360%
Minimum	-58.213%
Maximum	250.147%
Count	30

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	71.406%	13	43.33%	30.942%
Negative	-28.602%	17	56.67%	-16.208%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	45.67%
12	3 Years	56.10%
20	5 Years	55.96%
40	10 Years	82.01%
80	20 Years	82.01%
200	50 Years	82.01%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.39. Further, an Excess Kurtosis of 7.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -127.20%	0	0.00%	0.00%
-127.20% to -66.90%	0	0.00%	0.00%
-66.90% to -6.60%	0	0.00%	0.00%
-6.60% to 53.70%	5	16.13%	16.13%
53.70% to 114.00%	14	45.16%	61.29%
114.00% to 174.30%	9	29.03%	90.32%
174.30% to 234.60%	1	3.23%	93.55%
234.60% to 294.90%	1	3.23%	96.77%
294.90% to 355.20%	0	0.00%	96.77%
Greater than 355.20%	1	3.23%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	33.60%	194.40%	87.10%	68.27%
±2σ	-46.80%	274.80%	93.55%	95.45%
±3σ	-127.20%	355.20%	96.77%	99.73%

Descriptive Statistics

Mean	113.998%
Standard Error	14.440%
Median	102.998%
Mode	19.178%
Standard Deviation	80.400%
Sample Variance	6464.108%
Kurtosis	7.89
Skewness	2.39
Range	414.588%
Minimum	19.178%
Maximum	433.766%
Count	31

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	113.998%	31	100.00%	113.998%
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 0.55. Further, an Excess Kurtosis of 0.11 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -139.28%	0	0.00%	0.00%
-139.28% to -101.25%	0	0.00%	0.00%
-101.25% to -63.22%	1	3.23%	3.23%
-63.22% to -25.20%	5	16.13%	19.35%
-25.20% to 12.83%	11	35.48%	54.84%
12.83% to 50.86%	7	22.58%	77.42%
50.86% to 88.89%	4	12.90%	90.32%
88.89% to 126.92%	2	6.45%	96.77%
126.92% to 164.95%	1	3.23%	100.00%
Greater than 164.95%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-37.87%	63.54%	74.19%	68.27%
±2σ	-88.58%	114.24%	96.77%	95.45%
±3σ	-139.28%	164.95%	100.00%	99.73%

Descriptive Statistics

Mean	12.834%
Standard Error	9.107%
Median	3.812%
Mode	-72.362%
Standard Deviation	50.705%
Sample Variance	2571.040%
Kurtosis	0.11
Skewness	0.55
Range	210.293%
Minimum	-72.362%
Maximum	137.931%
Count	31

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	45.308%	18	58.06%	26.308%
Negative	-32.130%	13	41.94%	-13.474%
Zero	0.000%	0	0.00%	0.000%

NIO Deep Analytical Report