Markets Data Volatility Heatmap Portfolio Calculator

NI Deep Analytical Report

NiSource Inc. | Category: Equity Large Cap | Ann. Div Yield: 2.49% ($1.14) | Last Updated: 2026-02-22 | Data Range: 1973-05-01 → 2026-02-01 (634 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% 1.29% 1.41% 45.78 46.97 45.19 47.58
Weekly 3.10% 3.07% 3.14% 4.28% 2.84% 3.11% 45.07 47.70 43.81 49.08
Monthly 6.09% 6.17% 6.10% 8.98% 5.91% 6.48% 43.71 49.19 41.20 52.19
Quarterly 8.74% 9.84% 8.90% 14.42% 10.23% 11.23% 41.86 51.37 37.79 56.90
Annual — — — — 20.46% 22.46% 37.79 56.90 30.80 69.82
Option Time Horizon — — — — 7.87% 8.64% 42.86 50.17 39.62 54.28
Calculation Notes: Computed at 2026-02-22T14:18 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $46.37  |  Strike (K): $50.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $0.3500 (Bid $0.2500 / Ask $0.4500)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.49%  |  Binomial IV (Annual): 20.46% (CRR binomial tree, American, n=20 steps)  |  BS IV: 20.35% (European Black-Scholes)  |  Yahoo IV (Annual): 22.46% → 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 12.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.33%950.71%0.71%
-4.33% to -3.23%1320.99%1.71%
-3.23% to -2.14%4183.14%4.85%
-2.14% to -1.05%152111.44%16.29%
-1.05% to 0.04%523639.39%55.68%
0.04% to 1.13%376128.29%83.98%
1.13% to 2.23%149911.28%95.25%
2.23% to 3.32%4163.13%98.38%
3.32% to 4.41%1170.88%99.26%
Greater than 4.41%980.74%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 -4.33%4.41% 98.55%99.73%
Descriptive Statistics
Mean0.042%
Standard Error0.013%
Median0.000%
Mode0.000%
Standard Deviation1.456%
Sample Variance2.118%
Kurtosis12.01
Skewness-0.27
Range34.174%
Minimum-16.839%
Maximum17.335%
Count13293
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.141% 5936 44.66% 0.510%
Negative -1.142% 5437 40.90% -0.467%
Zero 0.000% 1920 14.44% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.20%
20 1 Month 1.89%
60 1 Quarter 1.75%
250 1 Year 1.92%
750 3 Years 1.81%
1,250 5 Years 1.88%
2,500 10 Years 1.94%
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 -2.07%00.00%0.00%
-2.07% to -1.08%00.00%0.00%
-1.08% to -0.10%00.00%0.00%
-0.10% to 0.88%184813.90%13.90%
0.88% to 1.87%641048.22%62.12%
1.87% to 2.85%323124.30%86.42%
2.85% to 3.84%10688.03%94.46%
3.84% to 4.82%3542.66%97.12%
4.82% to 5.80%1711.29%98.41%
Greater than 5.80%2121.59%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.56%3.18% 87.23%68.27%
±2σ -0.76%4.49% 96.41%95.45%
±3σ -2.07%5.80% 98.41%99.73%
Descriptive Statistics
Mean1.868%
Standard Error0.011%
Median1.562%
Mode2.326%
Standard Deviation1.312%
Sample Variance1.720%
Kurtosis37.99
Skewness4.21
Range24.492%
Minimum0.227%
Maximum24.719%
Count13294
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.868% 13294 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 11.86 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%1270.96%1.67%
-3.03% to -2.03%4253.20%4.87%
-2.03% to -1.03%157211.82%16.69%
-1.03% to -0.03%364027.38%44.07%
-0.03% to 0.97%520939.18%83.26%
0.97% to 1.97%151411.39%94.64%
1.97% to 2.97%4713.54%98.19%
2.97% to 3.97%1471.11%99.29%
Greater than 3.97%940.71%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.36%1.30% 78.92%68.27%
±2σ -2.70%2.64% 95.22%95.45%
±3σ -4.03%3.97% 98.58%99.73%
Descriptive Statistics
Mean-0.031%
Standard Error0.012%
Median0.000%
Mode0.000%
Standard Deviation1.334%
Sample Variance1.779%
Kurtosis11.86
Skewness0.49
Range31.836%
Minimum-12.658%
Maximum19.178%
Count13294
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.090% 5304 39.90% 0.435%
Negative -1.055% 5871 44.16% -0.466%
Zero 0.000% 2119 15.94% 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 6.31 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%1.71%
-6.77% to -4.45%1033.74%5.44%
-4.45% to -2.12%34412.49%17.93%
-2.12% to 0.20%91033.03%50.96%
0.20% to 2.52%87431.72%82.69%
2.52% to 4.85%34012.34%95.03%
4.85% to 7.17%923.34%98.37%
7.17% to 9.50%250.91%99.27%
Greater than 9.50%200.73%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.90%3.30% 76.62%68.27%
±2σ -6.00%6.40% 94.95%95.45%
±3σ -9.10%9.50% 98.77%99.73%
Descriptive Statistics
Mean0.200%
Standard Error0.059%
Median0.099%
Mode0.000%
Standard Deviation3.099%
Sample Variance9.607%
Kurtosis6.31
Skewness-0.10
Range49.401%
Minimum-24.377%
Maximum25.024%
Count2755
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.378% 1391 50.49% 1.201%
Negative -2.372% 1162 42.18% -1.000%
Zero 0.000% 202 7.33% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 3.48%
12 1 Quarter 3.30%
52 1 Year 4.40%
156 3 Years 4.09%
260 5 Years 4.28%
520 10 Years 4.35%
1,040 20 Years 4.48%
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 29.58 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 -2.40%00.00%0.00%
-2.40% to -0.09%00.00%0.00%
-0.09% to 2.21%39414.30%14.30%
2.21% to 4.51%136649.56%63.86%
4.51% to 6.82%60521.95%85.81%
6.82% to 9.12%2318.38%94.19%
9.12% to 11.43%812.94%97.13%
11.43% to 13.73%311.12%98.26%
Greater than 13.73%481.74%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.44%7.59% 86.97%68.27%
±2σ -1.63%10.66% 96.37%95.45%
±3σ -4.70%13.73% 98.26%99.73%
Descriptive Statistics
Mean4.514%
Standard Error0.059%
Median3.738%
Mode4.348%
Standard Deviation3.072%
Sample Variance9.438%
Kurtosis29.58
Skewness3.87
Range45.682%
Minimum0.637%
Maximum46.319%
Count2756
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.514% 2756 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 11.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.45%100.36%0.36%
-9.45% to -7.09%321.16%1.52%
-7.09% to -4.74%802.90%4.43%
-4.74% to -2.39%34712.59%17.02%
-2.39% to -0.04%90032.66%49.67%
-0.04% to 2.31%93033.74%83.42%
2.31% to 4.67%30611.10%94.52%
4.67% to 7.02%943.41%97.93%
7.02% to 9.37%391.42%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%6.24% 94.92%95.45%
±3σ -9.45%9.37% 98.98%99.73%
Descriptive Statistics
Mean-0.037%
Standard Error0.060%
Median0.000%
Mode0.000%
Standard Deviation3.136%
Sample Variance9.833%
Kurtosis11.39
Skewness1.14
Range51.001%
Minimum-17.715%
Maximum33.286%
Count2756
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.463% 1200 43.54% 1.072%
Negative -2.232% 1370 49.71% -1.110%
Zero 0.000% 186 6.75% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.19. 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 -17.44%10.16%0.16%
-17.44% to -12.87%71.11%1.26%
-12.87% to -8.30%294.58%5.85%
-8.30% to -3.73%9214.53%20.38%
-3.73% to 0.84%18529.23%49.61%
0.84% to 5.41%20231.91%81.52%
5.41% to 9.98%8813.90%95.42%
9.98% to 14.55%162.53%97.95%
14.55% to 19.12%71.11%99.05%
Greater than 19.12%60.95%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.26%6.93% 71.25%68.27%
±2σ -11.35%13.02% 95.58%95.45%
±3σ -17.44%19.12% 98.89%99.73%
Descriptive Statistics
Mean0.837%
Standard Error0.242%
Median0.912%
Mode0.000%
Standard Deviation6.093%
Sample Variance37.122%
Kurtosis2.35
Skewness0.19
Range60.027%
Minimum-29.592%
Maximum30.435%
Count633
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.967% 349 55.13% 2.739%
Negative -4.666% 258 40.76% -1.902%
Zero 0.000% 26 4.11% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 8.59%
12 1 Year 8.57%
36 3 Years 8.24%
60 5 Years 8.98%
120 10 Years 9.19%
240 20 Years 9.32%
600 50 Years 9.30%
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 12.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.41%00.00%0.00%
-8.41% to -3.78%00.00%0.00%
-3.78% to 0.85%00.00%0.00%
0.85% to 5.48%11017.35%17.35%
5.48% to 10.10%29145.90%63.25%
10.10% to 14.73%13721.61%84.86%
14.73% to 19.36%507.89%92.74%
19.36% to 23.99%274.26%97.00%
23.99% to 28.61%71.10%98.11%
Greater than 28.61%121.89%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.93%16.27% 84.54%68.27%
±2σ -2.24%22.44% 96.06%95.45%
±3σ -8.41%28.61% 98.11%99.73%
Descriptive Statistics
Mean10.104%
Standard Error0.245%
Median8.511%
Mode10.000%
Standard Deviation6.170%
Sample Variance38.066%
Kurtosis12.46
Skewness2.71
Range54.122%
Minimum2.251%
Maximum56.373%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.104% 634 100.00% 10.104%
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 4.50 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 -4.81%9915.62%19.56%
-4.81% to -0.23%21333.60%53.15%
-0.23% to 4.35%17327.29%80.44%
4.35% to 8.93%7712.15%92.59%
8.93% to 13.51%335.21%97.79%
13.51% to 18.08%121.89%99.68%
Greater than 18.08%20.32%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.33%5.88% 72.56%68.27%
±2σ -12.44%11.98% 95.43%95.45%
±3σ -18.54%18.08% 99.21%99.73%
Descriptive Statistics
Mean-0.228%
Standard Error0.242%
Median-0.727%
Mode0.000%
Standard Deviation6.104%
Sample Variance37.261%
Kurtosis4.50
Skewness0.71
Range66.441%
Minimum-22.963%
Maximum43.478%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.161% 266 41.96% 2.165%
Negative -4.463% 340 53.63% -2.393%
Zero 0.000% 28 4.42% 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 -17.22%41.90%1.90%
-17.22% to -10.67%125.69%7.58%
-10.67% to -4.11%2913.74%21.33%
-4.11% to 2.44%4822.75%44.08%
2.44% to 9.00%7334.60%78.67%
9.00% to 15.55%3416.11%94.79%
15.55% to 22.11%83.79%98.58%
22.11% to 28.66%20.95%99.53%
Greater than 28.66%10.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.30%11.18% 71.09%68.27%
±2σ -15.04%19.92% 95.73%95.45%
±3σ -23.78%28.66% 99.53%99.73%
Descriptive Statistics
Mean2.441%
Standard Error0.602%
Median2.941%
Mode-2.273%
Standard Deviation8.740%
Sample Variance76.392%
Kurtosis0.50
Skewness-0.21
Range53.484%
Minimum-23.728%
Maximum29.756%
Count211
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.477% 137 64.93% 4.855%
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 11.97%
12 3 Years 13.27%
20 5 Years 14.42%
40 10 Years 14.68%
80 20 Years 15.41%
200 50 Years 15.71%
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 4.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.82%00.00%0.00%
-11.82% to -4.44%00.00%0.00%
-4.44% to 2.93%00.00%0.00%
2.93% to 10.31%3616.98%16.98%
10.31% to 17.69%10248.11%65.09%
17.69% to 25.06%3416.04%81.13%
25.06% to 32.44%2210.38%91.51%
32.44% to 39.82%104.72%96.23%
39.82% to 47.19%31.42%97.64%
Greater than 47.19%52.36%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 7.85%27.52% 79.72%68.27%
±2σ -1.98%37.36% 95.75%95.45%
±3σ -11.82%47.19% 97.64%99.73%
Descriptive Statistics
Mean17.687%
Standard Error0.675%
Median14.558%
Mode13.333%
Standard Deviation9.835%
Sample Variance96.734%
Kurtosis4.42
Skewness1.88
Range58.288%
Minimum5.556%
Maximum63.844%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.687% 212 100.00% 17.687%
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 -27.50%00.00%0.00%
-27.50% to -20.82%10.47%0.47%
-20.82% to -14.15%73.30%3.77%
-14.15% to -7.48%3717.45%21.23%
-7.48% to -0.81%7937.26%58.49%
-0.81% 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 -18.60%16.99% 94.81%95.45%
±3σ -27.50%25.88% 98.11%99.73%
Descriptive Statistics
Mean-0.807%
Standard Error0.611%
Median-2.128%
Mode-2.273%
Standard Deviation8.897%
Sample Variance79.161%
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 -6.400% 127 59.91% -3.834%
Zero 0.000% 0 0.00% 0.000%