OCGN - 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	10.04%	10.81%	6.91%	8.58%	8.48%	8.37%	1.47	1.74	1.35	1.90
Weekly	45.60%	61.35%	30.13%	20.06%	18.67%	18.42%	1.33	1.93	1.10	2.32
Monthly	68.58%	155.77%	73.28%	43.67%	38.87%	38.34%	1.08	2.36	0.74	3.48
Quarterly	129.22%	310.94%	109.24%	76.61%	67.33%	66.41%	0.82	3.14	0.42	6.15
Annual	—	—	—	—	134.65%	132.81%	0.42	6.15	0.11	23.64
Option Time Horizon	—	—	—	—	51.79%	51.08%	0.95	2.69	0.57	4.51

Calculation Notes: Computed at 2026-02-22T14:22 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $1.60 | Strike (K): $2.00 (first OTM call ≥ spot) | Observed Mid-Price: $0.2000 (Bid $0.1500 / Ask $0.2500) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 134.65% (CRR binomial tree, American, n=20 steps) | BS IV: 133.32% (European Black-Scholes) | Yahoo IV (Annual): 132.81% → 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 9.09. Further, an Excess Kurtosis of 181.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -29.95%	8	0.28%	0.28%
-29.95% to -22.42%	7	0.25%	0.53%
-22.42% to -14.88%	22	0.78%	1.32%
-14.88% to -7.35%	173	6.15%	7.47%
-7.35% to 0.18%	1408	50.07%	57.54%
0.18% to 7.71%	976	34.71%	92.25%
7.71% to 15.24%	147	5.23%	97.48%
15.24% to 22.78%	39	1.39%	98.86%
22.78% to 30.31%	8	0.28%	99.15%
Greater than 30.31%	24	0.85%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.86%	10.22%	91.15%	68.27%
±2σ	-19.90%	20.27%	97.80%	95.45%
±3σ	-29.95%	30.31%	98.86%	99.73%

Descriptive Statistics

Mean	0.181%
Standard Error	0.189%
Median	-0.499%
Mode	0.000%
Standard Deviation	10.043%
Sample Variance	100.852%
Kurtosis	181.74
Skewness	9.09
Range	295.544%
Minimum	-72.563%
Maximum	222.981%
Count	2812

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.731%	1204	42.82%	2.454%
Negative	-4.332%	1475	52.45%	-2.272%
Zero	0.000%	133	4.73%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	6.80%
20	1 Month	6.23%
60	1 Quarter	7.34%
250	1 Year	7.83%
750	3 Years	7.77%
1,250	5 Years	8.58%
2,500	10 Years	9.78%
5,000	20 Years	9.67%
12,500	50 Years	9.67%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 13.21. Further, an Excess Kurtosis of 336.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -22.78%	0	0.00%	0.00%
-22.78% to -14.67%	0	0.00%	0.00%
-14.67% to -6.56%	0	0.00%	0.00%
-6.56% to 1.54%	21	0.75%	0.75%
1.54% to 9.65%	1874	66.62%	67.37%
9.65% to 17.75%	676	24.03%	91.40%
17.75% to 25.86%	147	5.23%	96.62%
25.86% to 33.97%	43	1.53%	98.15%
33.97% to 42.07%	17	0.60%	98.76%
Greater than 42.07%	35	1.24%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.16%	20.46%	93.89%	68.27%
±2σ	-11.97%	31.26%	97.83%	95.45%
±3σ	-22.78%	42.07%	98.76%	99.73%

Descriptive Statistics

Mean	9.648%
Standard Error	0.204%
Median	7.353%
Mode	5.263%
Standard Deviation	10.808%
Sample Variance	116.820%
Kurtosis	336.76
Skewness	13.21
Range	341.510%
Minimum	0.541%
Maximum	342.051%
Count	2813

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.648%	2813	100.00%	9.648%
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 5.54. Further, an Excess Kurtosis of 151.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -20.04%	22	0.78%	0.78%
-20.04% to -14.85%	14	0.50%	1.28%
-14.85% to -9.67%	73	2.60%	3.87%
-9.67% to -4.48%	249	8.85%	12.73%
-4.48% to 0.70%	1046	37.18%	49.91%
0.70% to 5.89%	1039	36.94%	86.85%
5.89% to 11.07%	279	9.92%	96.77%
11.07% to 16.26%	61	2.17%	98.93%
16.26% to 21.44%	16	0.57%	99.50%
Greater than 21.44%	14	0.50%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.21%	7.62%	83.43%	68.27%
±2σ	-13.13%	14.53%	96.94%	95.45%
±3σ	-20.04%	21.44%	98.72%	99.73%

Descriptive Statistics

Mean	0.702%
Standard Error	0.130%
Median	0.719%
Mode	0.000%
Standard Deviation	6.914%
Sample Variance	47.799%
Kurtosis	151.45
Skewness	5.54
Range	217.443%
Minimum	-41.303%
Maximum	176.140%
Count	2813

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.442%	1551	55.14%	2.449%
Negative	-4.283%	1147	40.77%	-1.746%
Zero	0.000%	115	4.09%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 13.71. Further, an Excess Kurtosis of 216.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -134.58%	0	0.00%	0.00%
-134.58% to -100.38%	0	0.00%	0.00%
-100.38% to -66.18%	3	0.51%	0.51%
-66.18% to -31.98%	10	1.71%	2.22%
-31.98% to 2.21%	371	63.42%	65.64%
2.21% to 36.41%	186	31.79%	97.44%
36.41% to 70.61%	9	1.54%	98.97%
70.61% to 104.81%	1	0.17%	99.15%
104.81% to 139.01%	1	0.17%	99.32%
Greater than 139.01%	4	0.68%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-43.38%	47.81%	97.09%	68.27%
±2σ	-88.98%	93.41%	99.15%	95.45%
±3σ	-134.58%	139.01%	99.32%	99.73%

Descriptive Statistics

Mean	2.215%
Standard Error	1.885%
Median	-0.840%
Mode	0.000%
Standard Deviation	45.597%
Sample Variance	2079.081%
Kurtosis	216.50
Skewness	13.71
Range	852.008%
Minimum	-78.527%
Maximum	773.481%
Count	585

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	16.824%	256	43.76%	7.362%
Negative	-9.560%	315	53.85%	-5.148%
Zero	0.000%	14	2.39%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	14.42%
12	1 Quarter	16.07%
52	1 Year	17.77%
156	3 Years	17.89%
260	5 Years	20.06%
520	10 Years	24.92%
1,040	20 Years	24.05%
2,600	50 Years	24.05%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 9.55. Further, an Excess Kurtosis of 106.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -154.48%	0	0.00%	0.00%
-154.48% to -108.47%	0	0.00%	0.00%
-108.47% to -62.45%	0	0.00%	0.00%
-62.45% to -16.44%	0	0.00%	0.00%
-16.44% to 29.58%	463	79.01%	79.01%
29.58% to 75.60%	94	16.04%	95.05%
75.60% to 121.61%	19	3.24%	98.29%
121.61% to 167.63%	2	0.34%	98.63%
167.63% to 213.64%	2	0.34%	98.98%
Greater than 213.64%	6	1.02%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.77%	90.93%	96.59%	68.27%
±2σ	-93.13%	152.29%	98.29%	95.45%
±3σ	-154.48%	213.64%	98.98%	99.73%

Descriptive Statistics

Mean	29.580%
Standard Error	2.535%
Median	17.940%
Mode	13.636%
Standard Deviation	61.354%
Sample Variance	3764.302%
Kurtosis	106.43
Skewness	9.55
Range	829.094%
Minimum	4.737%
Maximum	833.831%
Count	586

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	29.580%	586	100.00%	29.580%
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 8.74. Further, an Excess Kurtosis of 102.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -86.31%	1	0.17%	0.17%
-86.31% to -63.71%	1	0.17%	0.34%
-63.71% to -41.11%	4	0.68%	1.02%
-41.11% to -18.51%	23	3.92%	4.95%
-18.51% to 4.09%	325	55.46%	60.41%
4.09% to 26.69%	205	34.98%	95.39%
26.69% to 49.29%	18	3.07%	98.46%
49.29% to 71.89%	3	0.51%	98.98%
71.89% to 94.49%	2	0.34%	99.32%
Greater than 94.49%	4	0.68%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-26.05%	34.22%	93.69%	68.27%
±2σ	-56.18%	64.36%	98.12%	95.45%
±3σ	-86.31%	94.49%	99.15%	99.73%

Descriptive Statistics

Mean	4.088%
Standard Error	1.245%
Median	1.664%
Mode	0.000%
Standard Deviation	30.134%
Sample Variance	908.070%
Kurtosis	102.99
Skewness	8.74
Range	460.528%
Minimum	-86.844%
Maximum	373.684%
Count	586

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.189%	329	56.14%	7.966%
Negative	-9.315%	244	41.64%	-3.879%
Zero	0.000%	13	2.22%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.67. Further, an Excess Kurtosis of 38.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -199.78%	0	0.00%	0.00%
-199.78% to -148.34%	0	0.00%	0.00%
-148.34% to -96.90%	0	0.00%	0.00%
-96.90% to -45.46%	5	3.73%	3.73%
-45.46% to 5.97%	88	65.67%	69.40%
5.97% to 57.41%	30	22.39%	91.79%
57.41% to 108.85%	7	5.22%	97.01%
108.85% to 160.29%	2	1.49%	98.51%
160.29% to 211.72%	0	0.00%	98.51%
Greater than 211.72%	2	1.49%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-62.61%	74.56%	91.79%	68.27%
±2σ	-131.19%	143.14%	98.51%	95.45%
±3σ	-199.78%	211.72%	98.51%	99.73%

Descriptive Statistics

Mean	5.974%
Standard Error	5.925%
Median	-4.256%
Mode	-9.355%
Standard Deviation	68.583%
Sample Variance	4703.614%
Kurtosis	38.85
Skewness	5.67
Range	599.980%
Minimum	-81.336%
Maximum	518.644%
Count	134

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	43.110%	53	39.55%	17.051%
Negative	-18.555%	80	59.70%	-11.078%
Zero	0.000%	1	0.75%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	35.44%
12	1 Year	38.71%
36	3 Years	40.97%
60	5 Years	43.67%
120	10 Years	64.17%
240	20 Years	61.05%
600	50 Years	61.05%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.23. Further, an Excess Kurtosis of 19.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -376.22%	0	0.00%	0.00%
-376.22% to -259.39%	0	0.00%	0.00%
-259.39% to -142.56%	0	0.00%	0.00%
-142.56% to -25.73%	0	0.00%	0.00%
-25.73% to 91.10%	110	81.48%	81.48%
91.10% to 207.93%	17	12.59%	94.07%
207.93% to 324.76%	1	0.74%	94.81%
324.76% to 441.59%	1	0.74%	95.56%
441.59% to 558.42%	1	0.74%	96.30%
Greater than 558.42%	5	3.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-64.67%	246.88%	94.07%	68.27%
±2σ	-220.44%	402.65%	94.81%	95.45%
±3σ	-376.22%	558.42%	96.30%	99.73%

Descriptive Statistics

Mean	91.102%
Standard Error	13.407%
Median	44.203%
Mode	48.624%
Standard Deviation	155.773%
Sample Variance	24265.195%
Kurtosis	19.10
Skewness	4.23
Range	978.876%
Minimum	12.403%
Maximum	991.279%
Count	135

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	91.102%	135	100.00%	91.102%
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 4.38. Further, an Excess Kurtosis of 21.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -202.80%	0	0.00%	0.00%
-202.80% to -147.84%	0	0.00%	0.00%
-147.84% to -92.88%	0	0.00%	0.00%
-92.88% to -37.93%	10	7.41%	7.41%
-37.93% to 17.03%	86	63.70%	71.11%
17.03% to 71.99%	32	23.70%	94.81%
71.99% to 126.95%	3	2.22%	97.04%
126.95% to 181.91%	0	0.00%	97.04%
181.91% to 236.86%	0	0.00%	97.04%
Greater than 236.86%	4	2.96%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-56.25%	90.31%	91.85%	68.27%
±2σ	-129.52%	163.59%	97.04%	95.45%
±3σ	-202.80%	236.86%	97.04%	99.73%

Descriptive Statistics

Mean	17.032%
Standard Error	6.307%
Median	4.234%
Mode	0.000%
Standard Deviation	73.277%
Sample Variance	5369.565%
Kurtosis	21.73
Skewness	4.38
Range	526.416%
Minimum	-83.297%
Maximum	443.119%
Count	135

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	40.649%	81	60.00%	24.389%
Negative	-19.101%	52	38.52%	-7.358%
Zero	0.000%	2	1.48%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.82. Further, an Excess Kurtosis of 15.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -370.98%	0	0.00%	0.00%
-370.98% to -274.06%	0	0.00%	0.00%
-274.06% to -177.15%	0	0.00%	0.00%
-177.15% to -80.23%	1	2.22%	2.22%
-80.23% to 16.68%	33	73.33%	75.56%
16.68% to 113.60%	8	17.78%	93.33%
113.60% to 210.51%	1	2.22%	95.56%
210.51% to 307.43%	0	0.00%	95.56%
307.43% to 404.34%	0	0.00%	95.56%
Greater than 404.34%	2	4.44%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-112.54%	145.90%	93.33%	68.27%
±2σ	-241.76%	275.12%	95.56%	95.45%
±3σ	-370.98%	404.34%	95.56%	99.73%

Descriptive Statistics

Mean	16.681%
Standard Error	19.263%
Median	-13.866%
Mode	-85.000%
Standard Deviation	129.220%
Sample Variance	16697.928%
Kurtosis	15.37
Skewness	3.82
Range	700.819%
Minimum	-85.000%
Maximum	615.819%
Count	45

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	100.382%	17	37.78%	37.922%
Negative	-34.137%	28	62.22%	-21.241%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	65.85%
12	3 Years	79.47%
20	5 Years	76.61%
40	10 Years	127.85%
80	20 Years	118.90%
200	50 Years	118.90%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.52. Further, an Excess Kurtosis of 5.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -714.73%	0	0.00%	0.00%
-714.73% to -481.52%	0	0.00%	0.00%
-481.52% to -248.32%	0	0.00%	0.00%
-248.32% to -15.12%	0	0.00%	0.00%
-15.12% to 218.08%	37	80.43%	80.43%
218.08% to 451.28%	1	2.17%	82.61%
451.28% to 684.48%	4	8.70%	91.30%
684.48% to 917.68%	1	2.17%	93.48%
917.68% to 1150.88%	1	2.17%	95.65%
Greater than 1150.88%	2	4.35%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-92.85%	529.01%	89.13%	68.27%
±2σ	-403.79%	839.95%	93.48%	95.45%
±3σ	-714.73%	1150.88%	95.65%	99.73%

Descriptive Statistics

Mean	218.080%
Standard Error	45.845%
Median	90.882%
Mode	25.786%
Standard Deviation	310.935%
Sample Variance	96680.592%
Kurtosis	5.96
Skewness	2.52
Range	1300.443%
Minimum	25.786%
Maximum	1326.229%
Count	46

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	218.080%	46	100.00%	218.080%
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 2.95. Further, an Excess Kurtosis of 11.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -286.10%	0	0.00%	0.00%
-286.10% to -204.17%	0	0.00%	0.00%
-204.17% to -122.24%	0	0.00%	0.00%
-122.24% to -40.31%	4	8.70%	8.70%
-40.31% to 41.62%	27	58.70%	67.39%
41.62% to 123.55%	10	21.74%	89.13%
123.55% to 205.48%	1	2.17%	91.30%
205.48% to 287.41%	3	6.52%	97.83%
287.41% to 369.34%	0	0.00%	97.83%
Greater than 369.34%	1	2.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-67.62%	150.86%	84.78%	68.27%
±2σ	-176.86%	260.10%	97.83%	95.45%
±3σ	-286.10%	369.34%	97.83%	99.73%

Descriptive Statistics

Mean	41.619%
Standard Error	16.107%
Median	17.632%
Mode	-85.564%
Standard Deviation	109.240%
Sample Variance	11933.339%
Kurtosis	11.80
Skewness	2.95
Range	655.934%
Minimum	-85.564%
Maximum	570.370%
Count	46

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	83.878%	29	63.04%	52.879%
Negative	-30.472%	17	36.96%	-11.262%
Zero	0.000%	0	0.00%	0.000%

OCGN Deep Analytical Report