Markets Data Volatility Heatmap Portfolio Calculator

PEG Deep Analytical Report

Public Service Enterprise Group Incorporated | Category: Equity Mega Cap | Ann. Div Yield: 2.91% ($2.49) | Last Updated: 2026-02-22 | Data Range: 1980-01-01 → 2026-02-01 (554 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% 1.54% 1.80% 84.26 86.90 82.97 88.25
Weekly 3.05% 2.93% 3.07% 4.32% 3.39% 3.96% 82.72 88.52 79.96 91.58
Monthly 5.71% 6.06% 5.71% 9.05% 7.06% 8.25% 79.73 91.83 74.30 98.55
Quarterly 9.36% 11.88% 9.34% 15.24% 12.23% 14.29% 75.72 96.71 67.00 109.29
Annual — — — — 24.47% 28.58% 67.00 109.29 52.46 139.58
Option Time Horizon — — — — 11.60% 13.55% 76.20 96.09 67.86 107.91
Calculation Notes: Computed at 2026-02-22T14:18 UTC  |  Reference Contract: Call option expiring 2026-05-15 (82 days)  |  Spot Price (S): $85.57  |  Strike (K): $87.50 (first OTM call ≥ spot)  |  Observed Mid-Price: $3.2000 (Bid $2.6000 / Ask $3.8000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.91%  |  Binomial IV (Annual): 24.47% (CRR binomial tree, American, n=20 steps)  |  BS IV: 24.76% (European Black-Scholes)  |  Yahoo IV (Annual): 28.58% → 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
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 -3.09%1140.98%1.69%
-3.09% to -2.04%4093.52%5.21%
-2.04% to -0.99%138211.89%17.10%
-0.99% to 0.06%414135.61%52.71%
0.06% to 1.11%353130.37%83.08%
1.11% to 2.16%142212.23%95.30%
2.16% to 3.21%3673.16%98.46%
3.21% to 4.26%1070.92%99.38%
Greater than 4.26%720.62%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.34%1.46% 77.03%68.27%
±2σ -2.74%2.86% 95.45%95.45%
±3σ -4.14%4.26% 98.67%99.73%
Descriptive Statistics
Mean0.056%
Standard Error0.013%
Median0.000%
Mode0.000%
Standard Deviation1.400%
Sample Variance1.960%
Kurtosis9.78
Skewness0.07
Range32.671%
Minimum-15.544%
Maximum17.127%
Count11628
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.071% 5611 48.25% 0.517%
Negative -1.071% 5000 43.00% -0.461%
Zero 0.000% 1017 8.75% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.21%
20 1 Month 2.18%
60 1 Quarter 1.86%
250 1 Year 2.04%
750 3 Years 1.90%
1,250 5 Years 1.91%
2,500 10 Years 1.89%
5,000 20 Years 2.02%
12,500 50 Years 1.95%
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 42.05 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%162313.96%13.96%
0.97% to 1.89%567148.77%62.72%
1.89% to 2.81%279424.03%86.75%
2.81% to 3.72%9147.86%94.61%
3.72% to 4.64%3222.77%97.38%
4.64% to 5.56%1301.12%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 Variance1.494%
Kurtosis42.05
Skewness4.47
Range25.653%
Minimum0.347%
Maximum26.000%
Count11629
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.891% 11629 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 8.00 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%3963.41%4.82%
-1.94% to -0.99%151713.04%17.87%
-0.99% to -0.04%340629.29%47.16%
-0.04% to 0.92%405934.90%82.06%
0.92% to 1.87%144312.41%94.47%
1.87% to 2.82%4433.81%98.28%
2.82% to 3.77%1201.03%99.31%
Greater than 3.77%800.69%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.31%1.23% 76.24%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 Variance1.616%
Kurtosis8.00
Skewness0.26
Range28.831%
Minimum-12.880%
Maximum15.951%
Count11629
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.001% 4985 42.87% 0.429%
Negative -0.981% 5540 47.64% -0.467%
Zero 0.000% 1104 9.49% 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 5.05 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%923.82%5.23%
-4.31% to -2.02%31212.96%18.20%
-2.02% to 0.27%76431.74%49.94%
0.27% to 2.56%75431.33%81.26%
2.56% to 4.85%32613.54%94.81%
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 -2.78%3.32% 75.82%68.27%
±2σ -5.83%6.37% 95.51%95.45%
±3σ -8.89%9.43% 98.84%99.73%
Descriptive Statistics
Mean0.270%
Standard Error0.062%
Median0.272%
Mode0.000%
Standard Deviation3.052%
Sample Variance9.313%
Kurtosis5.05
Skewness-0.09
Range41.400%
Minimum-20.646%
Maximum20.754%
Count2407
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.358% 1267 52.64% 1.241%
Negative -2.219% 1053 43.75% -0.971%
Zero 0.000% 87 3.61% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 5.04%
12 1 Quarter 3.69%
52 1 Year 4.54%
156 3 Years 4.31%
260 5 Years 4.32%
520 10 Years 4.30%
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%32513.50%13.50%
2.36% to 4.56%118949.38%62.87%
4.56% to 6.76%57023.67%86.54%
6.76% to 8.96%2058.51%95.06%
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 1.62%7.49% 88.37%68.27%
±2σ -1.31%10.42% 96.97%95.45%
±3σ -4.24%13.36% 98.42%99.73%
Descriptive Statistics
Mean4.558%
Standard Error0.060%
Median3.883%
Mode4.167%
Standard Deviation2.933%
Sample Variance8.602%
Kurtosis35.39
Skewness4.32
Range43.764%
Minimum0.736%
Maximum44.500%
Count2408
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.558% 2408 100.00% 4.558%
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 7.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.27%100.42%0.42%
-9.27% to -6.97%170.71%1.12%
-6.97% to -4.67%843.49%4.61%
-4.67% to -2.37%33113.75%18.36%
-2.37% to -0.07%79132.85%51.20%
-0.07% to 2.23%75231.23%82.43%
2.23% to 4.53%29212.13%94.56%
4.53% to 6.83%883.65%98.21%
6.83% to 9.13%200.83%99.04%
Greater than 9.13%230.96%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.14%3.00% 76.29%68.27%
±2σ -6.21%6.07% 95.51%95.45%
±3σ -9.27%9.13% 98.63%99.73%
Descriptive Statistics
Mean-0.069%
Standard Error0.063%
Median-0.238%
Mode0.000%
Standard Deviation3.068%
Sample Variance9.412%
Kurtosis7.96
Skewness0.96
Range42.358%
Minimum-13.982%
Maximum28.376%
Count2408
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.379% 1083 44.98% 1.070%
Negative -2.194% 1250 51.91% -1.139%
Zero 0.000% 75 3.12% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.04. Further, an Excess Kurtosis of 1.43 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.98%20.36%0.36%
-15.98% to -11.70%91.63%1.99%
-11.70% to -7.42%203.62%5.61%
-7.42% to -3.13%7513.56%19.17%
-3.13% to 1.15%17732.01%51.18%
1.15% to 5.44%15628.21%79.39%
5.44% to 9.72%7914.29%93.67%
9.72% to 14.00%285.06%98.73%
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 -4.56%6.86% 73.78%68.27%
±2σ -10.27%12.58% 95.12%95.45%
±3σ -15.98%18.29% 98.73%99.73%
Descriptive Statistics
Mean1.152%
Standard Error0.243%
Median0.989%
Mode0.000%
Standard Deviation5.712%
Sample Variance32.630%
Kurtosis1.43
Skewness0.04
Range45.299%
Minimum-20.208%
Maximum25.091%
Count553
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.669% 329 59.49% 2.778%
Negative -4.162% 216 39.06% -1.626%
Zero 0.000% 8 1.45% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 7.65%
12 1 Year 8.24%
36 3 Years 9.04%
60 5 Years 9.05%
120 10 Years 9.01%
240 20 Years 9.41%
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 25.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.23%00.00%0.00%
-8.23% to -3.69%00.00%0.00%
-3.69% to 0.86%00.00%0.00%
0.86% to 5.41%6812.27%12.27%
5.41% to 9.95%28250.90%63.18%
9.95% to 14.50%13223.83%87.00%
14.50% to 19.05%447.94%94.95%
19.05% to 23.59%152.71%97.65%
23.59% to 28.14%40.72%98.38%
Greater than 28.14%91.62%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.89%16.02% 88.27%68.27%
±2σ -2.17%22.08% 96.75%95.45%
±3σ -8.23%28.14% 98.38%99.73%
Descriptive Statistics
Mean9.954%
Standard Error0.258%
Median8.566%
Mode6.075%
Standard Deviation6.062%
Sample Variance36.748%
Kurtosis25.11
Skewness3.97
Range57.438%
Minimum2.591%
Maximum60.029%
Count554
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.954% 554 100.00% 9.954%
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 0.59. Further, an Excess Kurtosis of 2.05 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.63%10.18%0.18%
-17.63% to -13.35%50.90%1.08%
-13.35% to -9.07%203.61%4.69%
-9.07% to -4.80%9016.25%20.94%
-4.80% to -0.52%18032.49%53.43%
-0.52% to 3.76%15828.52%81.95%
3.76% to 8.04%6211.19%93.14%
8.04% to 12.32%234.15%97.29%
12.32% to 16.60%111.99%99.28%
Greater than 16.60%40.72%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.22%5.19% 74.19%68.27%
±2σ -11.93%10.89% 94.95%95.45%
±3σ -17.63%16.60% 99.10%99.73%
Descriptive Statistics
Mean-0.517%
Standard Error0.242%
Median-0.834%
Mode0.000%
Standard Deviation5.705%
Sample Variance32.549%
Kurtosis2.05
Skewness0.59
Range44.813%
Minimum-18.909%
Maximum25.904%
Count554
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.578% 230 41.52% 1.901%
Negative -4.278% 313 56.50% -2.417%
Zero 0.000% 11 1.99% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.11. Further, an Excess Kurtosis of 1.10 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.66%10.54%0.54%
-24.66% to -17.64%10.54%1.08%
-17.64% to -10.62%84.32%5.41%
-10.62% to -3.60%2412.97%18.38%
-3.60% to 3.42%6233.51%51.89%
3.42% to 10.44%4624.86%76.76%
10.44% to 17.46%3116.76%93.51%
17.46% to 24.48%73.78%97.30%
24.48% 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 -5.94%12.78% 74.05%68.27%
±2σ -15.30%22.14% 95.14%95.45%
±3σ -24.66%31.50% 99.46%99.73%
Descriptive Statistics
Mean3.421%
Standard Error0.688%
Median3.053%
Mode-32.097%
Standard Deviation9.360%
Sample Variance87.603%
Kurtosis1.10
Skewness-0.11
Range62.098%
Minimum-32.097%
Maximum30.001%
Count185
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.210% 124 67.03% 5.503%
Negative -6.312% 61 32.97% -2.081%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 12.23%
12 3 Years 15.10%
20 5 Years 15.24%
40 10 Years 14.74%
80 20 Years 15.75%
200 50 Years 15.86%
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 16.64 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.82%00.00%0.00%
-17.82% to -8.91%00.00%0.00%
-8.91% to 0.00%00.00%0.00%
0.00% to 8.91%158.06%8.06%
8.91% 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 53.46%10.54%97.85%
Greater than 53.46%42.15%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 5.94%29.70% 91.40%68.27%
±2σ -5.94%41.58% 96.77%95.45%
±3σ -17.82%53.46% 97.85%99.73%
Descriptive Statistics
Mean17.822%
Standard Error0.871%
Median15.184%
Mode16.432%
Standard Deviation11.879%
Sample Variance141.101%
Kurtosis16.64
Skewness3.54
Range87.088%
Minimum5.759%
Maximum92.847%
Count186
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.822% 186 100.00% 17.822%
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 1.02. Further, an Excess Kurtosis of 3.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -28.99%00.00%0.00%
-28.99% to -21.99%10.54%0.54%
-21.99% to -14.99%84.30%4.84%
-14.99% to -7.99%3317.74%22.58%
-7.99% to -0.99%5328.49%51.08%
-0.99% to 6.02%6032.26%83.33%
6.02% to 13.02%1910.22%93.55%
13.02% to 20.02%84.30%97.85%
20.02% to 27.02%21.08%98.92%
Greater than 27.02%21.08%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.32%8.35% 73.66%68.27%
±2σ -19.66%17.69% 96.24%95.45%
±3σ -28.99%27.02% 98.92%99.73%
Descriptive Statistics
Mean-0.986%
Standard Error0.685%
Median-1.552%
Mode0.000%
Standard Deviation9.336%
Sample Variance87.169%
Kurtosis3.79
Skewness1.02
Range69.035%
Minimum-22.499%
Maximum46.536%
Count186
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.429% 74 39.78% 2.956%
Negative -6.789% 108 58.06% -3.942%
Zero 0.000% 4 2.15% 0.000%