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	10.03%	10.78%	6.92%	8.54%	7.71%	7.55%	1.89	2.21	1.75	2.39
Weekly	45.48%	61.16%	30.08%	20.04%	16.98%	16.63%	1.73	2.42	1.46	2.87
Monthly	68.35%	155.15%	73.09%	43.87%	35.35%	34.62%	1.44	2.91	1.01	4.15
Quarterly	129.26%	310.05%	109.47%	80.29%	61.22%	59.96%	1.11	3.77	0.60	6.96
Annual	—	—	—	—	122.44%	119.92%	0.60	6.96	0.18	23.67
Option Time Horizon	—	—	—	—	46.21%	45.26%	1.29	3.25	0.81	5.15

Calculation Notes: Computed at 2026-03-23T16:38 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $2.05 | Strike (K): $2.50 (first OTM call ≥ spot) | Observed Mid-Price: $0.2250 (Bid $0.2000 / Ask $0.2500) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 122.44% (CRR binomial tree, American, n=20 steps) | BS IV: 121.13% (European Black-Scholes) | Yahoo IV (Annual): 119.92% → 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 9.06. Further, an Excess Kurtosis of 181.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -29.91%	8	0.28%	0.28%
-29.91% to -22.38%	7	0.25%	0.53%
-22.38% to -14.86%	23	0.81%	1.34%
-14.86% to -7.33%	175	6.18%	7.52%
-7.33% to 0.19%	1414	49.91%	57.43%
0.19% to 7.71%	986	34.80%	92.23%
7.71% to 15.24%	148	5.22%	97.46%
15.24% to 22.76%	39	1.38%	98.84%
22.76% to 30.29%	9	0.32%	99.15%
Greater than 30.29%	24	0.85%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.84%	10.22%	91.14%	68.27%
±2σ	-19.87%	20.25%	97.78%	95.45%
±3σ	-29.91%	30.29%	98.87%	99.73%

Descriptive Statistics

Mean	0.191%
Standard Error	0.188%
Median	-0.494%
Mode	0.000%
Standard Deviation	10.032%
Sample Variance	100.651%
Kurtosis	181.10
Skewness	9.06
Range	295.544%
Minimum	-72.563%
Maximum	222.981%
Count	2833

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.741%	1216	42.92%	2.464%
Negative	-4.340%	1484	52.38%	-2.273%
Zero	0.000%	133	4.70%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	12.17%
20	1 Month	12.10%
60	1 Quarter	9.24%
250	1 Year	8.12%
750	3 Years	7.91%
1,250	5 Years	8.54%
2,500	10 Years	9.79%
5,000	20 Years	9.69%
12,500	50 Years	9.69%

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 337.71 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -22.67%	0	0.00%	0.00%
-22.67% to -14.59%	0	0.00%	0.00%
-14.59% to -6.50%	0	0.00%	0.00%
-6.50% to 1.58%	24	0.85%	0.85%
1.58% to 9.67%	1884	66.48%	67.33%
9.67% to 17.75%	682	24.06%	91.39%
17.75% to 25.84%	148	5.22%	96.61%
25.84% to 33.92%	44	1.55%	98.17%
33.92% to 42.01%	17	0.60%	98.76%
Greater than 42.01%	35	1.24%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.11%	20.45%	93.90%	68.27%
±2σ	-11.89%	31.23%	97.85%	95.45%
±3σ	-22.67%	42.01%	98.76%	99.73%

Descriptive Statistics

Mean	9.666%
Standard Error	0.202%
Median	7.378%
Mode	5.263%
Standard Deviation	10.780%
Sample Variance	116.207%
Kurtosis	337.71
Skewness	13.21
Range	341.510%
Minimum	0.541%
Maximum	342.051%
Count	2834

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.666%	2834	100.00%	9.666%
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 5.47. Further, an Excess Kurtosis of 149.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -20.08%	22	0.78%	0.78%
-20.08% to -14.88%	15	0.53%	1.31%
-14.88% to -9.69%	75	2.65%	3.95%
-9.69% to -4.50%	250	8.82%	12.77%
-4.50% to 0.69%	1053	37.16%	49.93%
0.69% to 5.88%	1043	36.80%	86.73%
5.88% to 11.08%	284	10.02%	96.75%
11.08% to 16.27%	62	2.19%	98.94%
16.27% to 21.46%	16	0.56%	99.51%
Greater than 21.46%	14	0.49%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.23%	7.62%	83.17%	68.27%
±2σ	-13.15%	14.54%	96.93%	95.45%
±3σ	-20.08%	21.46%	98.73%	99.73%

Descriptive Statistics

Mean	0.693%
Standard Error	0.130%
Median	0.710%
Mode	0.000%
Standard Deviation	6.923%
Sample Variance	47.932%
Kurtosis	149.52
Skewness	5.47
Range	217.443%
Minimum	-41.303%
Maximum	176.140%
Count	2834

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.452%	1561	55.08%	2.452%
Negative	-4.306%	1158	40.86%	-1.759%
Zero	0.000%	115	4.06%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 13.72. Further, an Excess Kurtosis of 217.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -134.20%	0	0.00%	0.00%
-134.20% to -100.08%	0	0.00%	0.00%
-100.08% to -65.97%	3	0.51%	0.51%
-65.97% to -31.86%	10	1.70%	2.21%
-31.86% to 2.26%	374	63.50%	65.70%
2.26% to 36.37%	186	31.58%	97.28%
36.37% to 70.48%	10	1.70%	98.98%
70.48% to 104.60%	1	0.17%	99.15%
104.60% to 138.71%	1	0.17%	99.32%
Greater than 138.71%	4	0.68%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-43.23%	47.74%	97.11%	68.27%
±2σ	-88.71%	93.23%	99.15%	95.45%
±3σ	-134.20%	138.71%	99.32%	99.73%

Descriptive Statistics

Mean	2.257%
Standard Error	1.874%
Median	-0.840%
Mode	0.000%
Standard Deviation	45.485%
Sample Variance	2068.865%
Kurtosis	217.10
Skewness	13.72
Range	852.008%
Minimum	-78.527%
Maximum	773.481%
Count	589

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	16.932%	258	43.80%	7.417%
Negative	-9.588%	317	53.82%	-5.160%
Zero	0.000%	14	2.38%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	33.76%
12	1 Quarter	22.47%
52	1 Year	19.17%
156	3 Years	18.44%
260	5 Years	20.04%
520	10 Years	25.03%
1,040	20 Years	24.13%
2,600	50 Years	24.13%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 9.57. Further, an Excess Kurtosis of 107.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -153.84%	0	0.00%	0.00%
-153.84% to -107.97%	0	0.00%	0.00%
-107.97% to -62.10%	0	0.00%	0.00%
-62.10% to -16.23%	0	0.00%	0.00%
-16.23% to 29.64%	464	78.64%	78.64%
29.64% to 75.51%	97	16.44%	95.08%
75.51% to 121.38%	19	3.22%	98.31%
121.38% to 167.25%	2	0.34%	98.64%
167.25% to 213.12%	2	0.34%	98.98%
Greater than 213.12%	6	1.02%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.52%	90.80%	96.61%	68.27%
±2σ	-92.68%	151.96%	98.31%	95.45%
±3σ	-153.84%	213.12%	98.98%	99.73%

Descriptive Statistics

Mean	29.641%
Standard Error	2.518%
Median	17.995%
Mode	13.636%
Standard Deviation	61.159%
Sample Variance	3740.452%
Kurtosis	107.03
Skewness	9.57
Range	829.094%
Minimum	4.737%
Maximum	833.831%
Count	590

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	29.641%	590	100.00%	29.641%
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 8.72. Further, an Excess Kurtosis of 103.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -86.21%	1	0.17%	0.17%
-86.21% to -63.65%	1	0.17%	0.34%
-63.65% to -41.08%	4	0.68%	1.02%
-41.08% to -18.52%	24	4.07%	5.08%
-18.52% to 4.04%	325	55.08%	60.17%
4.04% to 26.61%	208	35.25%	95.42%
26.61% to 49.17%	18	3.05%	98.47%
49.17% to 71.73%	3	0.51%	98.98%
71.73% to 94.30%	2	0.34%	99.32%
Greater than 94.30%	4	0.68%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-26.04%	34.13%	93.56%	68.27%
±2σ	-56.12%	64.21%	98.14%	95.45%
±3σ	-86.21%	94.30%	99.15%	99.73%

Descriptive Statistics

Mean	4.043%
Standard Error	1.239%
Median	1.664%
Mode	0.000%
Standard Deviation	30.084%
Sample Variance	905.074%
Kurtosis	103.02
Skewness	8.72
Range	460.528%
Minimum	-86.844%
Maximum	373.684%
Count	590

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.210%	331	56.10%	7.972%
Negative	-9.422%	246	41.70%	-3.929%
Zero	0.000%	13	2.20%	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 39.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -198.92%	0	0.00%	0.00%
-198.92% to -147.66%	0	0.00%	0.00%
-147.66% to -96.40%	0	0.00%	0.00%
-96.40% to -45.14%	5	3.70%	3.70%
-45.14% to 6.12%	88	65.19%	68.89%
6.12% to 57.38%	31	22.96%	91.85%
57.38% to 108.64%	7	5.19%	97.04%
108.64% to 159.90%	2	1.48%	98.52%
159.90% to 211.16%	0	0.00%	98.52%
Greater than 211.16%	2	1.48%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-62.23%	74.47%	91.85%	68.27%
±2σ	-130.57%	142.81%	98.52%	95.45%
±3σ	-198.92%	211.16%	98.52%	99.73%

Descriptive Statistics

Mean	6.121%
Standard Error	5.882%
Median	-4.219%
Mode	-9.355%
Standard Deviation	68.347%
Sample Variance	4671.366%
Kurtosis	39.04
Skewness	5.67
Range	599.980%
Minimum	-81.336%
Maximum	518.644%
Count	135

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	42.791%	54	40.00%	17.116%
Negative	-18.555%	80	59.26%	-10.996%
Zero	0.000%	1	0.74%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	53.34%
12	1 Year	42.55%
36	3 Years	42.81%
60	5 Years	43.87%
120	10 Years	64.71%
240	20 Years	61.26%
600	50 Years	61.26%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.25. Further, an Excess Kurtosis of 19.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -374.28%	0	0.00%	0.00%
-374.28% to -257.92%	0	0.00%	0.00%
-257.92% to -141.56%	0	0.00%	0.00%
-141.56% to -25.20%	0	0.00%	0.00%
-25.20% to 91.16%	111	81.62%	81.62%
91.16% to 207.51%	17	12.50%	94.12%
207.51% to 323.87%	1	0.74%	94.85%
323.87% to 440.23%	1	0.74%	95.59%
440.23% to 556.59%	1	0.74%	96.32%
Greater than 556.59%	5	3.68%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-63.99%	246.30%	94.12%	68.27%
±2σ	-219.13%	401.45%	94.85%	95.45%
±3σ	-374.28%	556.59%	96.32%	99.73%

Descriptive Statistics

Mean	91.156%
Standard Error	13.304%
Median	47.030%
Mode	48.624%
Standard Deviation	155.145%
Sample Variance	24069.857%
Kurtosis	19.29
Skewness	4.25
Range	978.876%
Minimum	12.403%
Maximum	991.279%
Count	136

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	91.156%	136	100.00%	91.156%
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 4.39. Further, an Excess Kurtosis of 21.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -202.57%	0	0.00%	0.00%
-202.57% to -147.75%	0	0.00%	0.00%
-147.75% to -92.93%	0	0.00%	0.00%
-92.93% to -38.11%	9	6.62%	6.62%
-38.11% to 16.71%	88	64.71%	71.32%
16.71% to 71.53%	32	23.53%	94.85%
71.53% to 126.35%	3	2.21%	97.06%
126.35% to 181.17%	0	0.00%	97.06%
181.17% to 235.99%	0	0.00%	97.06%
Greater than 235.99%	4	2.94%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-56.38%	89.81%	91.91%	68.27%
±2σ	-129.47%	162.90%	97.06%	95.45%
±3σ	-202.57%	235.99%	97.06%	99.73%

Descriptive Statistics

Mean	16.713%
Standard Error	6.268%
Median	4.099%
Mode	0.000%
Standard Deviation	73.093%
Sample Variance	5342.647%
Kurtosis	21.87
Skewness	4.39
Range	526.416%
Minimum	-83.297%
Maximum	443.119%
Count	136

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	40.649%	81	59.56%	24.210%
Negative	-19.238%	53	38.97%	-7.497%
Zero	0.000%	2	1.47%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.81. Further, an Excess Kurtosis of 15.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -370.46%	0	0.00%	0.00%
-370.46% to -273.52%	0	0.00%	0.00%
-273.52% to -176.57%	0	0.00%	0.00%
-176.57% to -79.63%	1	2.22%	2.22%
-79.63% to 17.32%	32	71.11%	73.33%
17.32% to 114.26%	9	20.00%	93.33%
114.26% to 211.21%	1	2.22%	95.56%
211.21% to 308.15%	0	0.00%	95.56%
308.15% to 405.09%	0	0.00%	95.56%
Greater than 405.09%	2	4.44%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-111.94%	146.58%	95.56%	68.27%
±2σ	-241.20%	275.83%	95.56%	95.45%
±3σ	-370.46%	405.09%	95.56%	99.73%

Descriptive Statistics

Mean	17.317%
Standard Error	19.269%
Median	-13.866%
Mode	-85.000%
Standard Deviation	129.259%
Sample Variance	16707.889%
Kurtosis	15.27
Skewness	3.81
Range	700.819%
Minimum	-85.000%
Maximum	615.819%
Count	45

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	102.066%	17	37.78%	38.558%
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	84.23%
12	3 Years	85.59%
20	5 Years	80.29%
40	10 Years	129.69%
80	20 Years	120.54%
200	50 Years	120.54%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.53. Further, an Excess Kurtosis of 6.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -710.31%	0	0.00%	0.00%
-710.31% to -477.77%	0	0.00%	0.00%
-477.77% to -245.23%	0	0.00%	0.00%
-245.23% to -12.69%	0	0.00%	0.00%
-12.69% to 219.85%	37	80.43%	80.43%
219.85% to 452.39%	1	2.17%	82.61%
452.39% to 684.93%	4	8.70%	91.30%
684.93% to 917.47%	1	2.17%	93.48%
917.47% to 1150.01%	1	2.17%	95.65%
Greater than 1150.01%	2	4.35%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-90.20%	529.90%	89.13%	68.27%
±2σ	-400.26%	839.95%	93.48%	95.45%
±3σ	-710.31%	1150.01%	95.65%	99.73%

Descriptive Statistics

Mean	219.849%
Standard Error	45.715%
Median	94.806%
Mode	25.786%
Standard Deviation	310.052%
Sample Variance	96132.182%
Kurtosis	6.00
Skewness	2.53
Range	1300.443%
Minimum	25.786%
Maximum	1326.229%
Count	46

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	219.849%	46	100.00%	219.849%
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 2.94. Further, an Excess Kurtosis of 11.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -287.19%	0	0.00%	0.00%
-287.19% to -205.09%	0	0.00%	0.00%
-205.09% to -122.99%	0	0.00%	0.00%
-122.99% to -40.89%	4	8.70%	8.70%
-40.89% to 41.21%	27	58.70%	67.39%
41.21% to 123.31%	10	21.74%	89.13%
123.31% to 205.41%	1	2.17%	91.30%
205.41% to 287.52%	3	6.52%	97.83%
287.52% to 369.62%	0	0.00%	97.83%
Greater than 369.62%	1	2.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-68.25%	150.68%	84.78%	68.27%
±2σ	-177.72%	260.15%	97.83%	95.45%
±3σ	-287.19%	369.62%	97.83%	99.73%

Descriptive Statistics

Mean	41.213%
Standard Error	16.140%
Median	17.632%
Mode	-85.564%
Standard Deviation	109.468%
Sample Variance	11983.214%
Kurtosis	11.73
Skewness	2.94
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	-31.570%	17	36.96%	-11.667%
Zero	0.000%	0	0.00%	0.000%

OCGN Deep Analytical Report