Markets Data Volatility Heatmap Portfolio Calculator

PEG Deep Analytical Report

Public Service Enterprise Group Incorporated | Category: Equity Large Cap | Ann. Div Yield: 3.17% ($2.52) | Last Updated: 2026-03-24 | Data Range: 1980-01-01 → 2026-03-01 (555 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 1.40% 1.22% 1.27% 1.91% 1.91% 2.19% 78.17 81.21 76.70 82.78
Weekly 3.05% 2.93% 3.07% 4.33% 4.20% 4.82% 76.40 83.10 73.26 86.66
Monthly 5.72% 6.06% 5.71% 8.98% 8.74% 10.04% 73.01 86.96 66.90 94.90
Quarterly 9.37% 11.88% 9.34% 15.27% 15.14% 17.39% 68.49 92.70 58.87 107.85
Annual — — — — 30.28% 34.78% 58.87 107.85 43.49 145.99
Option Time Horizon — — — — 11.43% 13.13% 71.08 89.33 63.40 100.14
Calculation Notes: Computed at 2026-03-23T16:33 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $79.68  |  Strike (K): $80.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $3.4750 (Bid $2.8500 / Ask $4.1000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.17%  |  Binomial IV (Annual): 30.28% (CRR binomial tree, American, n=20 steps)  |  BS IV: 30.12% (European Black-Scholes)  |  Yahoo IV (Annual): 34.78% → 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
2026-03-10 $0.6700
2025-12-10 $0.6300
2025-09-09 $0.6300
2025-06-09 $0.6300
2025-03-10 $0.6300
2024-12-10 $0.6000
2024-09-09 $0.6000
2024-06-07 $0.6000
2024-03-07 $0.6000
2023-12-07 $0.5700
2023-09-07 $0.5700
2023-06-08 $0.5700
2023-03-09 $0.5700
2022-12-08 $0.5400
2022-09-08 $0.5400
2022-06-08 $0.5400
2022-03-09 $0.5400
2021-12-08 $0.5100
2021-09-07 $0.5100
2021-06-07 $0.5100
2021-03-08 $0.5100
2020-12-09 $0.4900
2020-09-08 $0.4900
2020-06-08 $0.4900
2020-03-09 $0.4900
2019-12-09 $0.4700
2019-09-06 $0.4700
2019-06-06 $0.4700
2019-03-07 $0.4700
2018-12-06 $0.4500
2018-09-06 $0.4500
2018-06-07 $0.4500
2018-03-07 $0.4500
2017-12-07 $0.4300
2017-09-07 $0.4300
2017-06-07 $0.4300
2017-03-08 $0.4300
2016-12-07 $0.4100
2016-09-07 $0.4100
2016-06-07 $0.4100
2016-03-08 $0.4100
2015-12-07 $0.3900
2015-09-04 $0.3900
2015-06-05 $0.3900
2015-03-06 $0.3900
2014-12-08 $0.3700
2014-09-03 $0.3700
2014-06-04 $0.3700
2014-03-05 $0.3700
2013-12-04 $0.3600
2013-09-04 $0.3600
2013-06-05 $0.3600
2013-03-06 $0.3600
2012-12-05 $0.3550
2012-09-05 $0.3550
2012-06-06 $0.3550
2012-03-07 $0.3550
2011-12-07 $0.3430
2011-09-07 $0.3430
2011-06-07 $0.3430
2011-03-08 $0.3430
2010-12-06 $0.3430
2010-09-07 $0.3430
2010-06-07 $0.3430
2010-03-08 $0.3430
2009-12-07 $0.3330
2009-09-04 $0.3330
2009-06-05 $0.3330
2009-03-06 $0.3330
2008-12-04 $0.3230
2008-09-04 $0.3230
2008-06-05 $0.3230
2008-03-06 $0.3230
2007-12-05 $0.2925
2007-09-06 $0.2925
2007-06-06 $0.2925
2007-03-07 $0.2925
2006-12-06 $0.2850
2006-09-06 $0.2850
2006-06-06 $0.2850
2006-03-06 $0.2850
2005-12-06 $0.2800
2005-09-06 $0.2800
2005-06-06 $0.2800
2005-03-07 $0.2800
2004-12-07 $0.2750
2004-09-07 $0.2750
2004-06-04 $0.2750
2004-03-04 $0.2750
2003-12-04 $0.2700
2003-09-04 $0.2700
2003-06-05 $0.2700
2003-03-06 $0.2700
2002-12-05 $0.2700
2002-09-05 $0.2700
2002-06-05 $0.2700
2002-03-06 $0.2700
2001-12-05 $0.2700
2001-09-05 $0.2700
2001-06-06 $0.2700
2001-03-07 $0.2700
2000-12-06 $0.2700
2000-09-06 $0.2700
2000-06-07 $0.2700
2000-03-08 $0.2700
1999-12-08 $0.2700
1999-09-07 $0.2700
1999-06-07 $0.2700
1999-03-08 $0.2700
1998-12-08 $0.2700
1998-09-04 $0.2700
1998-06-05 $0.2700
1998-03-06 $0.2700
1997-12-08 $0.2700
1997-09-05 $0.2700
1997-06-05 $0.2700
1997-03-06 $0.2700
1996-12-06 $0.2700
1996-09-05 $0.2700
1996-06-05 $0.2700
1996-03-06 $0.2700
1995-12-05 $0.2700
1995-09-06 $0.2700
1995-06-01 $0.2700
1995-03-01 $0.2700
1994-12-01 $0.2700
1994-09-01 $0.2700
1994-06-01 $0.2700
1994-03-01 $0.2700
1993-12-01 $0.2700
1993-09-01 $0.2700
1993-06-01 $0.2700
1993-03-02 $0.2700
1992-12-01 $0.2700
1992-09-01 $0.2700
1992-06-01 $0.2700
1992-03-02 $0.2700
1991-12-02 $0.2700
1991-09-03 $0.2650
1991-06-03 $0.2650
1991-03-01 $0.2650
1990-12-03 $0.2650
1990-09-04 $0.2600
1990-06-01 $0.2600
1990-03-01 $0.1300
1989-12-01 $0.2600
1989-09-01 $0.2550
1989-06-01 $0.2550
1989-03-01 $0.2550
1988-12-01 $0.2550
1988-09-01 $0.2500
1988-06-01 $0.2500
1988-03-01 $0.2500
1987-12-01 $0.2500
1987-09-01 $0.2500
1987-06-01 $0.2500
1987-03-02 $0.2467
1986-12-01 $0.2467
1986-09-02 $0.2467
1986-06-02 $0.2467
1986-03-03 $0.2367
1985-12-02 $0.2367
1985-09-03 $0.2367
1985-06-03 $0.2367
1985-03-01 $0.2267
1984-12-03 $0.2267
1984-09-04 $0.2267
1984-06-01 $0.2267
1984-02-29 $0.2200
1983-11-30 $0.2200
1983-08-31 $0.2200
1983-05-31 $0.2200
1983-02-28 $0.2133
1982-12-01 $0.2133
1982-08-31 $0.2133
1982-05-28 $0.2133
1982-03-01 $0.2033
1981-12-01 $0.2033
1981-09-01 $0.2033
1981-06-01 $0.2033
1981-03-02 $0.2033
1980-12-01 $0.1933
1980-09-02 $0.1933
1980-05-27 $0.1933
1980-02-25 $0.1833
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.07. Further, an Excess Kurtosis of 9.78 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.14%830.71%0.71%
-4.14% to -3.10%1150.99%1.70%
-3.10% to -2.04%4073.49%5.19%
-2.04% to -0.99%138211.86%17.06%
-0.99% to 0.06%415635.68%52.73%
0.06% to 1.10%353130.31%83.05%
1.10% to 2.15%142912.27%95.31%
2.15% to 3.21%3673.15%98.46%
3.21% to 4.25%1070.92%99.38%
Greater than 4.25%720.62%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.34%1.45% 77.01%68.27%
±2σ -2.74%2.85% 95.46%95.45%
±3σ -4.14%4.25% 98.67%99.73%
Descriptive Statistics
Mean0.055%
Standard Error0.013%
Median0.000%
Mode0.000%
Standard Deviation1.400%
Sample Variance1.959%
Kurtosis9.78
Skewness0.07
Range32.671%
Minimum-15.544%
Maximum17.127%
Count11649
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.070% 5618 48.23% 0.516%
Negative -1.070% 5014 43.04% -0.461%
Zero 0.000% 1017 8.73% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.24%
20 1 Month 2.12%
60 1 Quarter 2.00%
250 1 Year 2.00%
750 3 Years 1.89%
1,250 5 Years 1.91%
2,500 10 Years 1.90%
5,000 20 Years 2.02%
12,500 50 Years 1.96%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.47. Further, an Excess Kurtosis of 42.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -1.77%00.00%0.00%
-1.77% to -0.86%00.00%0.00%
-0.86% to 0.06%00.00%0.00%
0.06% to 0.97%162413.94%13.94%
0.97% to 1.89%568448.79%62.73%
1.89% to 2.81%279824.02%86.75%
2.81% to 3.72%9157.85%94.60%
3.72% to 4.64%3232.77%97.37%
4.64% to 5.56%1311.12%98.50%
Greater than 5.56%1751.50%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.67%3.11% 87.92%68.27%
±2σ -0.55%4.33% 96.67%95.45%
±3σ -1.77%5.56% 98.50%99.73%
Descriptive Statistics
Mean1.891%
Standard Error0.011%
Median1.604%
Mode1.389%
Standard Deviation1.222%
Sample Variance1.493%
Kurtosis42.03
Skewness4.47
Range25.653%
Minimum0.347%
Maximum26.000%
Count11650
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.891% 11650 100.00% 1.891%
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 0.26. Further, an Excess Kurtosis of 7.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.85%660.57%0.57%
-3.85% to -2.90%990.85%1.42%
-2.90% to -1.94%3963.40%4.82%
-1.94% to -0.99%151713.02%17.84%
-0.99% to -0.04%341529.31%47.15%
-0.04% to 0.92%406734.91%82.06%
0.92% to 1.87%144612.41%94.47%
1.87% to 2.82%4433.80%98.27%
2.82% to 3.77%1201.03%99.30%
Greater than 3.77%810.70%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.31%1.23% 76.27%68.27%
±2σ -2.58%2.50% 95.27%95.45%
±3σ -3.85%3.77% 98.74%99.73%
Descriptive Statistics
Mean-0.038%
Standard Error0.012%
Median0.000%
Mode0.000%
Standard Deviation1.271%
Sample Variance1.615%
Kurtosis7.99
Skewness0.26
Range28.831%
Minimum-12.880%
Maximum15.951%
Count11650
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.001% 4996 42.88% 0.429%
Negative -0.980% 5550 47.64% -0.467%
Zero 0.000% 1104 9.48% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.09. Further, an Excess Kurtosis of 5.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.89%140.58%0.58%
-8.89% to -6.60%200.83%1.41%
-6.60% to -4.31%933.86%5.27%
-4.31% to -2.02%31312.98%18.25%
-2.02% to 0.27%76531.73%49.98%
0.27% to 2.56%75431.27%81.25%
2.56% to 4.85%32713.56%94.82%
4.85% to 7.14%863.57%98.38%
7.14% to 9.43%251.04%99.42%
Greater than 9.43%140.58%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.79%3.32% 75.82%68.27%
±2σ -5.84%6.37% 95.48%95.45%
±3σ -8.89%9.43% 98.84%99.73%
Descriptive Statistics
Mean0.267%
Standard Error0.062%
Median0.271%
Mode0.000%
Standard Deviation3.053%
Sample Variance9.318%
Kurtosis5.03
Skewness-0.09
Range41.400%
Minimum-20.646%
Maximum20.754%
Count2411
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.357% 1268 52.59% 1.240%
Negative -2.221% 1056 43.80% -0.973%
Zero 0.000% 87 3.61% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.81%
12 1 Quarter 4.32%
52 1 Year 4.45%
156 3 Years 4.29%
260 5 Years 4.33%
520 10 Years 4.31%
1,040 20 Years 4.59%
2,600 50 Years 4.45%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.32. Further, an Excess Kurtosis of 35.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.24%00.00%0.00%
-4.24% to -2.04%00.00%0.00%
-2.04% to 0.16%00.00%0.00%
0.16% to 2.36%32813.60%13.60%
2.36% to 4.56%118949.30%62.89%
4.56% to 6.76%57023.63%86.53%
6.76% to 8.96%2068.54%95.07%
8.96% to 11.16%532.20%97.26%
11.16% to 13.36%281.16%98.42%
Greater than 13.36%381.58%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.63%7.49% 88.35%68.27%
±2σ -1.30%10.42% 96.97%95.45%
±3σ -4.24%13.36% 98.42%99.73%
Descriptive Statistics
Mean4.559%
Standard Error0.060%
Median3.883%
Mode4.167%
Standard Deviation2.932%
Sample Variance8.595%
Kurtosis35.39
Skewness4.32
Range43.764%
Minimum0.736%
Maximum44.500%
Count2412
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.559% 2412 100.00% 4.559%
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 0.96. Further, an Excess Kurtosis of 7.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.27%100.41%0.41%
-9.27% to -6.97%170.70%1.12%
-6.97% to -4.67%843.48%4.60%
-4.67% to -2.37%33113.72%18.33%
-2.37% to -0.07%79532.96%51.29%
-0.07% to 2.23%75131.14%82.42%
2.23% to 4.54%29212.11%94.53%
4.54% to 6.84%883.65%98.18%
6.84% to 9.14%210.87%99.05%
Greater than 9.14%230.95%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.14%3.00% 76.33%68.27%
±2σ -6.21%6.07% 95.48%95.45%
±3σ -9.27%9.14% 98.63%99.73%
Descriptive Statistics
Mean-0.067%
Standard Error0.062%
Median-0.238%
Mode0.000%
Standard Deviation3.069%
Sample Variance9.421%
Kurtosis7.93
Skewness0.96
Range42.358%
Minimum-13.982%
Maximum28.376%
Count2412
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.383% 1085 44.98% 1.072%
Negative -2.193% 1252 51.91% -1.138%
Zero 0.000% 75 3.11% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.05. Further, an Excess Kurtosis of 1.41 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.01%20.36%0.36%
-16.01% to -11.72%91.62%1.99%
-11.72% to -7.44%203.61%5.60%
-7.44% to -3.15%7613.72%19.31%
-3.15% to 1.14%17631.77%51.08%
1.14% to 5.42%15628.16%79.24%
5.42% to 9.71%8014.44%93.68%
9.71% to 14.00%285.05%98.74%
14.00% to 18.29%20.36%99.10%
Greater than 18.29%50.90%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.58%6.85% 73.83%68.27%
±2σ -10.29%12.57% 95.13%95.45%
±3σ -16.01%18.29% 98.74%99.73%
Descriptive Statistics
Mean1.138%
Standard Error0.243%
Median0.984%
Mode0.000%
Standard Deviation5.716%
Sample Variance32.677%
Kurtosis1.41
Skewness0.05
Range45.299%
Minimum-20.208%
Maximum25.091%
Count554
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.669% 329 59.39% 2.773%
Negative -4.173% 217 39.17% -1.635%
Zero 0.000% 8 1.44% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 8.23%
12 1 Year 8.16%
36 3 Years 8.98%
60 5 Years 8.98%
120 10 Years 8.97%
240 20 Years 9.40%
600 50 Years 9.35%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.97. Further, an Excess Kurtosis of 25.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.22%00.00%0.00%
-8.22% to -3.67%00.00%0.00%
-3.67% to 0.87%00.00%0.00%
0.87% to 5.41%6812.25%12.25%
5.41% to 9.95%28350.99%63.24%
9.95% to 14.50%13223.78%87.03%
14.50% to 19.04%447.93%94.95%
19.04% to 23.58%142.52%97.48%
23.58% to 28.12%50.90%98.38%
Greater than 28.12%91.62%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.90%16.01% 88.29%68.27%
±2σ -2.16%22.07% 96.76%95.45%
±3σ -8.22%28.12% 98.38%99.73%
Descriptive Statistics
Mean9.953%
Standard Error0.257%
Median8.571%
Mode6.075%
Standard Deviation6.057%
Sample Variance36.683%
Kurtosis25.16
Skewness3.97
Range57.438%
Minimum2.591%
Maximum60.029%
Count555
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.953% 555 100.00% 9.953%
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 0.58. Further, an Excess Kurtosis of 2.02 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.64%10.18%0.18%
-17.64% to -13.36%50.90%1.08%
-13.36% to -9.07%203.60%4.68%
-9.07% to -4.79%9016.22%20.90%
-4.79% to -0.50%18232.79%53.69%
-0.50% to 3.78%15728.29%81.98%
3.78% to 8.06%6311.35%93.33%
8.06% to 12.35%223.96%97.30%
12.35% to 16.63%111.98%99.28%
Greater than 16.63%40.72%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.21%5.21% 74.05%68.27%
±2σ -11.93%10.92% 94.95%95.45%
±3σ -17.64%16.63% 99.10%99.73%
Descriptive Statistics
Mean-0.503%
Standard Error0.242%
Median-0.825%
Mode0.000%
Standard Deviation5.712%
Sample Variance32.621%
Kurtosis2.02
Skewness0.58
Range44.813%
Minimum-18.909%
Maximum25.904%
Count555
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.591% 231 41.62% 1.911%
Negative -4.280% 313 56.40% -2.414%
Zero 0.000% 11 1.98% 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 1.08 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.73%10.54%0.54%
-24.73% to -17.70%10.54%1.08%
-17.70% to -10.68%84.32%5.41%
-10.68% to -3.65%2412.97%18.38%
-3.65% to 3.38%6334.05%52.43%
3.38% to 10.41%4524.32%76.76%
10.41% to 17.44%3116.76%93.51%
17.44% to 24.47%73.78%97.30%
24.47% to 31.50%52.70%100.00%
Greater than 31.50%00.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.99%12.75% 74.05%68.27%
±2σ -15.36%22.13% 95.14%95.45%
±3σ -24.73%31.50% 99.46%99.73%
Descriptive Statistics
Mean3.383%
Standard Error0.689%
Median3.046%
Mode-32.097%
Standard Deviation9.372%
Sample Variance87.834%
Kurtosis1.08
Skewness-0.10
Range62.098%
Minimum-32.097%
Maximum30.001%
Count185
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.245% 123 66.49% 5.482%
Negative -6.261% 62 33.51% -2.098%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 12.38%
12 3 Years 15.15%
20 5 Years 15.27%
40 10 Years 14.76%
80 20 Years 15.76%
200 50 Years 15.87%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.54. Further, an Excess Kurtosis of 16.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.80%00.00%0.00%
-17.80% to -8.90%00.00%0.00%
-8.90% to 0.01%00.00%0.00%
0.01% to 8.92%158.06%8.06%
8.92% to 17.82%10958.60%66.67%
17.82% to 26.73%4222.58%89.25%
26.73% to 35.64%105.38%94.62%
35.64% to 44.55%52.69%97.31%
44.55% to 53.45%10.54%97.85%
Greater than 53.45%42.15%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 5.95%29.70% 91.40%68.27%
±2σ -5.93%41.58% 96.77%95.45%
±3σ -17.80%53.45% 97.85%99.73%
Descriptive Statistics
Mean17.825%
Standard Error0.871%
Median15.184%
Mode16.432%
Standard Deviation11.876%
Sample Variance141.048%
Kurtosis16.65
Skewness3.54
Range87.088%
Minimum5.759%
Maximum92.847%
Count186
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.825% 186 100.00% 17.825%
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 1.01. Further, an Excess Kurtosis of 3.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -28.96%00.00%0.00%
-28.96% to -21.96%10.54%0.54%
-21.96% to -14.96%84.30%4.84%
-14.96% to -7.95%3317.74%22.58%
-7.95% to -0.95%5227.96%50.54%
-0.95% to 6.05%6132.80%83.33%
6.05% to 13.06%1910.22%93.55%
13.06% to 20.06%84.30%97.85%
20.06% to 27.07%21.08%98.92%
Greater than 27.07%21.08%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.29%8.39% 73.66%68.27%
±2σ -19.62%17.73% 96.24%95.45%
±3σ -28.96%27.06% 98.92%99.73%
Descriptive Statistics
Mean-0.949%
Standard Error0.685%
Median-1.383%
Mode0.000%
Standard Deviation9.338%
Sample Variance87.200%
Kurtosis3.76
Skewness1.01
Range69.035%
Minimum-22.499%
Maximum46.536%
Count186
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.369% 75 40.32% 2.971%
Negative -6.815% 107 57.53% -3.920%
Zero 0.000% 4 2.15% 0.000%