Markets Data Volatility Heatmap Portfolio Calculator

NI Deep Analytical Report

NiSource Inc. | Category: Equity Large Cap | Ann. Div Yield: 2.53% ($1.14) | Last Updated: 2026-03-24 | Data Range: 1973-05-01 → 2026-03-01 (635 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 1.46% 1.31% 1.33% 1.88% 1.56% 1.80% 44.93 46.36 44.23 47.09
Weekly 3.10% 3.07% 3.13% 4.27% 3.44% 3.97% 44.10 47.24 42.60 48.89
Monthly 6.09% 6.17% 6.10% 8.85% 7.17% 8.26% 42.48 49.03 39.54 52.68
Quarterly 8.74% 9.83% 8.89% 14.52% 12.42% 14.31% 40.31 51.67 35.60 58.50
Annual — — — — 24.83% 28.61% 35.60 58.50 27.78 74.99
Option Time Horizon — — — — 9.37% 10.80% 41.56 50.12 37.84 55.05
Calculation Notes: Computed at 2026-03-23T16:34 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $45.64  |  Strike (K): $50.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $0.4000 (Bid $0.2000 / Ask $0.6000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.53%  |  Binomial IV (Annual): 24.83% (CRR binomial tree, American, n=20 steps)  |  BS IV: 24.75% (European Black-Scholes)  |  Yahoo IV (Annual): 28.61% → 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
2026-02-03 $0.3000
2025-10-31 $0.2800
2025-07-31 $0.2800
2025-04-30 $0.2800
2025-02-03 $0.2800
2024-10-31 $0.2650
2024-07-31 $0.2650
2024-04-29 $0.2650
2024-02-02 $0.2650
2023-10-30 $0.2500
2023-07-28 $0.2500
2023-04-27 $0.2500
2023-02-06 $0.2500
2022-10-28 $0.2350
2022-07-28 $0.2350
2022-04-28 $0.2350
2022-02-07 $0.2350
2021-10-28 $0.2200
2021-07-29 $0.2200
2021-04-29 $0.2200
2021-02-08 $0.2200
2020-10-29 $0.2100
2020-07-30 $0.2100
2020-04-29 $0.2100
2020-02-10 $0.2100
2019-10-30 $0.2000
2019-07-30 $0.2000
2019-04-29 $0.2000
2019-02-08 $0.2000
2018-10-30 $0.1950
2018-07-30 $0.1950
2018-04-27 $0.1950
2018-02-08 $0.1950
2017-10-30 $0.1750
2017-07-27 $0.1750
2017-04-26 $0.1750
2017-02-08 $0.1750
2016-10-27 $0.1650
2016-07-27 $0.1650
2016-04-27 $0.1550
2016-02-04 $0.1550
2015-10-28 $0.1550
2015-07-29 $0.1550
2015-04-28 $0.1022
2015-02-05 $0.1022
2014-10-29 $0.1022
2014-07-29 $0.1022
2014-04-28 $0.0982
2014-02-06 $0.0982
2013-10-29 $0.0982
2013-07-29 $0.0982
2013-04-26 $0.0943
2013-01-31 $0.0943
2012-10-31 $0.0943
2012-07-27 $0.0943
2012-04-26 $0.0904
2012-02-02 $0.0904
2011-10-27 $0.0904
2011-07-27 $0.0904
2011-04-27 $0.0904
2011-01-27 $0.0904
2010-10-27 $0.0904
2010-07-28 $0.0904
2010-04-28 $0.0904
2010-01-27 $0.0904
2009-10-28 $0.0904
2009-07-29 $0.0904
2009-04-28 $0.0904
2009-01-28 $0.0904
2008-10-29 $0.0904
2008-07-29 $0.0904
2008-04-28 $0.0904
2008-01-29 $0.0904
2007-10-29 $0.0904
2007-07-27 $0.0904
2007-04-26 $0.0904
2007-01-29 $0.0904
2006-10-27 $0.0904
2006-07-27 $0.0904
2006-04-26 $0.0904
2006-01-27 $0.0904
2005-10-27 $0.0904
2005-07-27 $0.0904
2005-04-27 $0.0904
2005-01-27 $0.0904
2004-10-27 $0.0904
2004-07-28 $0.0904
2004-04-28 $0.0904
2004-01-28 $0.0904
2003-10-29 $0.0904
2003-07-29 $0.1139
2003-04-28 $0.1139
2003-01-29 $0.1139
2002-10-29 $0.1139
2002-07-29 $0.1139
2002-04-26 $0.1139
2002-01-29 $0.1139
2001-10-29 $0.1139
2001-07-27 $0.1139
2001-04-26 $0.1139
2001-01-29 $0.1139
2000-10-27 $0.1061
2000-07-27 $0.1061
2000-04-26 $0.1061
2000-01-27 $0.1061
1999-10-27 $0.1002
1999-07-28 $0.1002
1999-04-28 $0.1002
1999-01-27 $0.1002
1998-10-28 $0.0943
1998-07-29 $0.0943
1998-04-28 $0.0943
1998-01-28 $0.0943
1997-10-29 $0.0884
1997-07-29 $0.0884
1997-04-28 $0.0884
1997-01-29 $0.0884
1996-10-29 $0.0825
1996-07-29 $0.0825
1996-04-26 $0.0825
1996-01-29 $0.0825
1995-10-27 $0.0766
1995-07-27 $0.0766
1995-04-24 $0.0766
1995-01-25 $0.0766
1994-10-25 $0.0707
1994-07-25 $0.0707
1994-04-25 $0.0707
1994-01-25 $0.0707
1993-10-25 $0.0648
1993-07-26 $0.0648
1993-04-26 $0.0648
1993-01-25 $0.0648
1992-10-26 $0.0609
1992-07-27 $0.0609
1992-04-24 $0.0609
1992-01-27 $0.0609
1991-10-25 $0.0570
1991-07-25 $0.0570
1991-04-24 $0.0570
1991-01-25 $0.0570
1990-10-25 $0.0511
1990-07-25 $0.0511
1990-04-24 $0.0511
1990-01-25 $0.0511
1989-10-25 $0.0413
1989-07-25 $0.0413
1989-04-24 $0.0413
1989-01-25 $0.0413
1988-10-25 $0.0295
1988-07-25 $0.0295
1988-04-25 $0.0295
1988-01-25 $0.0295
1987-10-26 $0.0295
1985-10-25 $0.0766
1985-07-25 $0.0766
1985-04-24 $0.0766
1985-01-25 $0.0766
1984-10-25 $0.0766
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.27. Further, an Excess Kurtosis of 12.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.32%950.71%0.71%
-4.32% to -3.23%1331.00%1.71%
-3.23% to -2.14%4183.14%4.85%
-2.14% to -1.05%152511.45%16.31%
-1.05% to 0.04%524139.36%55.67%
0.04% to 1.13%376528.28%83.95%
1.13% to 2.22%150611.31%95.26%
2.22% to 3.32%4163.12%98.39%
3.32% to 4.41%1160.87%99.26%
Greater than 4.41%990.74%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.41%1.50% 79.25%68.27%
±2σ -2.87%2.95% 95.30%95.45%
±3σ -4.32%4.41% 98.55%99.73%
Descriptive Statistics
Mean0.042%
Standard Error0.013%
Median0.000%
Mode0.000%
Standard Deviation1.455%
Sample Variance2.118%
Kurtosis12.00
Skewness-0.27
Range34.174%
Minimum-16.839%
Maximum17.335%
Count13314
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.141% 5947 44.67% 0.510%
Negative -1.142% 5447 40.91% -0.467%
Zero 0.000% 1920 14.42% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.16%
20 1 Month 2.06%
60 1 Quarter 1.88%
250 1 Year 1.93%
750 3 Years 1.79%
1,250 5 Years 1.88%
2,500 10 Years 1.95%
5,000 20 Years 1.99%
12,500 50 Years 1.92%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.21. Further, an Excess Kurtosis of 37.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.06%00.00%0.00%
-2.06% to -1.08%00.00%0.00%
-1.08% to -0.10%00.00%0.00%
-0.10% to 0.89%185013.89%13.89%
0.89% to 1.87%641948.21%62.10%
1.87% to 2.85%323724.31%86.41%
2.85% to 3.83%10708.04%94.45%
3.83% to 4.82%3542.66%97.11%
4.82% to 5.80%1731.30%98.41%
Greater than 5.80%2121.59%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.56%3.18% 87.22%68.27%
±2σ -0.75%4.49% 96.40%95.45%
±3σ -2.06%5.80% 98.41%99.73%
Descriptive Statistics
Mean1.868%
Standard Error0.011%
Median1.562%
Mode2.326%
Standard Deviation1.311%
Sample Variance1.719%
Kurtosis37.99
Skewness4.21
Range24.492%
Minimum0.227%
Maximum24.719%
Count13315
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.868% 13315 100.00% 1.868%
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 0.49. Further, an Excess Kurtosis of 11.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.03%950.71%0.71%
-4.03% to -3.03%1270.95%1.67%
-3.03% to -2.03%4273.21%4.87%
-2.03% to -1.03%157411.82%16.70%
-1.03% to -0.03%364727.39%44.09%
-0.03% to 0.97%521339.15%83.24%
0.97% to 1.97%151811.40%94.64%
1.97% to 2.97%4723.54%98.18%
2.97% to 3.97%1481.11%99.29%
Greater than 3.97%940.71%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.36%1.30% 78.91%68.27%
±2σ -2.70%2.63% 95.21%95.45%
±3σ -4.03%3.97% 98.58%99.73%
Descriptive Statistics
Mean-0.031%
Standard Error0.012%
Median0.000%
Mode0.000%
Standard Deviation1.333%
Sample Variance1.778%
Kurtosis11.85
Skewness0.49
Range31.836%
Minimum-12.658%
Maximum19.178%
Count13315
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.089% 5314 39.91% 0.435%
Negative -1.055% 5882 44.18% -0.466%
Zero 0.000% 2119 15.91% 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 6.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.10%140.51%0.51%
-9.10% to -6.77%331.20%1.70%
-6.77% to -4.45%1033.73%5.44%
-4.45% to -2.12%34512.50%17.94%
-2.12% to 0.20%91032.98%50.92%
0.20% to 2.52%87731.79%82.71%
2.52% to 4.85%33912.29%95.00%
4.85% to 7.17%933.37%98.37%
7.17% to 9.49%250.91%99.28%
Greater than 9.49%200.72%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.90%3.30% 76.59%68.27%
±2σ -6.00%6.39% 94.96%95.45%
±3σ -9.10%9.49% 98.77%99.73%
Descriptive Statistics
Mean0.199%
Standard Error0.059%
Median0.099%
Mode0.000%
Standard Deviation3.098%
Sample Variance9.600%
Kurtosis6.32
Skewness-0.10
Range49.401%
Minimum-24.377%
Maximum25.024%
Count2759
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.378% 1392 50.45% 1.200%
Negative -2.369% 1165 42.23% -1.000%
Zero 0.000% 202 7.32% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.83%
12 1 Quarter 3.92%
52 1 Year 4.38%
156 3 Years 4.08%
260 5 Years 4.27%
520 10 Years 4.36%
1,040 20 Years 4.49%
2,600 50 Years 4.35%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.87. Further, an Excess Kurtosis of 29.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.70%00.00%0.00%
-4.70% to -2.39%00.00%0.00%
-2.39% to -0.09%00.00%0.00%
-0.09% to 2.21%39414.28%14.28%
2.21% to 4.51%136949.60%63.88%
4.51% to 6.82%60521.92%85.80%
6.82% to 9.12%2328.41%94.20%
9.12% to 11.42%812.93%97.14%
11.42% to 13.72%311.12%98.26%
Greater than 13.72%481.74%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.44%7.58% 86.99%68.27%
±2σ -1.63%10.65% 96.38%95.45%
±3σ -4.70%13.72% 98.26%99.73%
Descriptive Statistics
Mean4.514%
Standard Error0.058%
Median3.742%
Mode4.348%
Standard Deviation3.070%
Sample Variance9.426%
Kurtosis29.61
Skewness3.87
Range45.682%
Minimum0.637%
Maximum46.319%
Count2760
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.514% 2760 100.00% 4.514%
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 1.14. Further, an Excess Kurtosis of 11.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.44%100.36%0.36%
-9.44% to -7.09%321.16%1.52%
-7.09% to -4.74%802.90%4.42%
-4.74% to -2.39%34812.61%17.03%
-2.39% to -0.04%90232.68%49.71%
-0.04% to 2.31%93033.70%83.41%
2.31% to 4.67%30711.12%94.53%
4.67% to 7.02%933.37%97.90%
7.02% to 9.37%401.45%99.35%
Greater than 9.37%180.65%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.17%3.10% 77.07%68.27%
±2σ -6.31%6.23% 94.93%95.45%
±3σ -9.44%9.37% 98.99%99.73%
Descriptive Statistics
Mean-0.037%
Standard Error0.060%
Median0.000%
Mode0.000%
Standard Deviation3.135%
Sample Variance9.829%
Kurtosis11.38
Skewness1.14
Range51.001%
Minimum-17.715%
Maximum33.286%
Count2760
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.465% 1201 43.51% 1.073%
Negative -2.231% 1373 49.75% -1.110%
Zero 0.000% 186 6.74% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.20. Further, an Excess Kurtosis of 2.35 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.45%10.16%0.16%
-17.45% to -12.88%71.10%1.26%
-12.88% to -8.31%294.57%5.84%
-8.31% to -3.74%9214.51%20.35%
-3.74% to 0.83%18629.34%49.68%
0.83% to 5.40%20131.70%81.39%
5.40% to 9.97%8914.04%95.43%
9.97% to 14.54%162.52%97.95%
14.54% to 19.11%71.10%99.05%
Greater than 19.11%60.95%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.26%6.93% 71.14%68.27%
±2σ -11.35%13.02% 95.58%95.45%
±3σ -17.45%19.11% 98.90%99.73%
Descriptive Statistics
Mean0.834%
Standard Error0.242%
Median0.903%
Mode0.000%
Standard Deviation6.093%
Sample Variance37.129%
Kurtosis2.35
Skewness0.20
Range60.027%
Minimum-29.592%
Maximum30.435%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.973% 349 55.05% 2.737%
Negative -4.661% 259 40.85% -1.904%
Zero 0.000% 26 4.10% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 8.58%
12 1 Year 8.52%
36 3 Years 8.21%
60 5 Years 8.85%
120 10 Years 9.14%
240 20 Years 9.32%
600 50 Years 9.29%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.71. Further, an Excess Kurtosis of 12.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.40%00.00%0.00%
-8.40% to -3.77%00.00%0.00%
-3.77% to 0.85%00.00%0.00%
0.85% to 5.48%11017.32%17.32%
5.48% to 10.10%29245.98%63.31%
10.10% to 14.73%13721.57%84.88%
14.73% to 19.35%507.87%92.76%
19.35% to 23.97%274.25%97.01%
23.97% to 28.60%71.10%98.11%
Greater than 28.60%121.89%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.94%16.27% 84.57%68.27%
±2σ -2.23%22.43% 96.06%95.45%
±3σ -8.40%28.60% 98.11%99.73%
Descriptive Statistics
Mean10.101%
Standard Error0.245%
Median8.511%
Mode10.000%
Standard Deviation6.166%
Sample Variance38.015%
Kurtosis12.49
Skewness2.71
Range54.122%
Minimum2.251%
Maximum56.373%
Count635
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.101% 635 100.00% 10.101%
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 0.71. Further, an Excess Kurtosis of 4.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.54%30.47%0.47%
-18.54% to -13.96%50.79%1.26%
-13.96% to -9.38%172.68%3.94%
-9.38% to -4.80%10015.75%19.69%
-4.80% to -0.23%21233.39%53.07%
-0.23% to 4.35%17427.40%80.47%
4.35% to 8.93%7712.13%92.60%
8.93% to 13.51%335.20%97.80%
13.51% to 18.08%121.89%99.69%
Greater than 18.08%20.31%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.33%5.88% 72.60%68.27%
±2σ -12.43%11.98% 95.43%95.45%
±3σ -18.53%18.08% 99.21%99.73%
Descriptive Statistics
Mean-0.226%
Standard Error0.242%
Median-0.725%
Mode0.000%
Standard Deviation6.103%
Sample Variance37.247%
Kurtosis4.49
Skewness0.71
Range66.441%
Minimum-22.963%
Maximum43.478%
Count635
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.152% 267 42.05% 2.166%
Negative -4.468% 340 53.54% -2.392%
Zero 0.000% 28 4.41% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.21. Further, an Excess Kurtosis of 0.50 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -23.78%00.00%0.00%
-23.78% to -17.23%41.90%1.90%
-17.23% to -10.67%125.69%7.58%
-10.67% to -4.12%2913.74%21.33%
-4.12% to 2.43%4822.75%44.08%
2.43% to 8.99%7334.60%78.67%
8.99% to 15.54%3416.11%94.79%
15.54% to 22.09%83.79%98.58%
22.09% to 28.65%20.95%99.53%
Greater than 28.65%10.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.30%11.17% 71.09%68.27%
±2σ -15.04%19.91% 95.73%95.45%
±3σ -23.78%28.65% 99.53%99.73%
Descriptive Statistics
Mean2.434%
Standard Error0.602%
Median2.941%
Mode-2.273%
Standard Deviation8.738%
Sample Variance76.361%
Kurtosis0.50
Skewness-0.21
Range53.484%
Minimum-23.728%
Maximum29.756%
Count211
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.466% 137 64.93% 4.848%
Negative -6.884% 74 35.07% -2.414%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 12.48%
12 3 Years 13.44%
20 5 Years 14.52%
40 10 Years 14.73%
80 20 Years 15.44%
200 50 Years 15.72%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.88. Further, an Excess Kurtosis of 4.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.78%00.00%0.00%
-11.78% to -4.41%00.00%0.00%
-4.41% to 2.96%00.00%0.00%
2.96% to 10.33%3516.51%16.51%
10.33% to 17.70%10348.58%65.09%
17.70% to 25.07%3416.04%81.13%
25.07% to 32.44%2210.38%91.51%
32.44% to 39.81%104.72%96.23%
39.81% to 47.18%31.42%97.64%
Greater than 47.18%52.36%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 7.87%27.52% 79.72%68.27%
±2σ -1.96%37.35% 95.75%95.45%
±3σ -11.78%47.18% 97.64%99.73%
Descriptive Statistics
Mean17.697%
Standard Error0.675%
Median14.558%
Mode13.333%
Standard Deviation9.827%
Sample Variance96.570%
Kurtosis4.44
Skewness1.88
Range58.288%
Minimum5.556%
Maximum63.844%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.697% 212 100.00% 17.697%
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 0.92. Further, an Excess Kurtosis of 1.77 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -27.49%00.00%0.00%
-27.49% to -20.82%10.47%0.47%
-20.82% to -14.14%73.30%3.77%
-14.14% to -7.47%3717.45%21.23%
-7.47% to -0.80%7937.26%58.49%
-0.80% to 5.87%4621.70%80.19%
5.87% to 12.54%2612.26%92.45%
12.54% to 19.21%115.19%97.64%
19.21% to 25.88%10.47%98.11%
Greater than 25.88%41.89%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.70%8.09% 73.58%68.27%
±2σ -18.59%16.99% 94.81%95.45%
±3σ -27.49%25.88% 98.11%99.73%
Descriptive Statistics
Mean-0.801%
Standard Error0.611%
Median-2.128%
Mode-2.273%
Standard Deviation8.895%
Sample Variance79.125%
Kurtosis1.77
Skewness0.92
Range55.157%
Minimum-22.306%
Maximum32.851%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.548% 85 40.09% 3.026%
Negative -6.389% 127 59.91% -3.827%
Zero 0.000% 0 0.00% 0.000%