Markets Data Volatility Heatmap Portfolio Calculator

PG Deep Analytical Report

The Procter & Gamble Company | Category: Equity Mega Cap | Ann. Div Yield: 2.63% ($4.18) | Last Updated: 2026-02-22 | Data Range: 1962-01-01 → 2026-02-01 (770 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 1.34% 1.19% 1.14% 1.57% 1.20% 1.24% 158.87 162.72 156.97 164.68
Weekly 2.97% 2.92% 2.89% 3.56% 2.64% 2.74% 156.60 165.08 152.52 169.49
Monthly 5.44% 5.83% 5.57% 7.59% 5.49% 5.70% 152.19 169.85 144.06 179.43
Quarterly 8.37% 9.59% 8.69% 12.26% 9.51% 9.87% 146.20 176.82 132.94 194.45
Annual — — — — 19.01% 19.74% 132.94 194.45 109.92 235.17
Option Time Horizon — — — — 7.31% 7.59% 149.44 172.98 138.90 186.10
Calculation Notes: Computed at 2026-02-22T14:17 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $160.78  |  Strike (K): $165.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $3.0350 (Bid $2.9200 / Ask $3.1500)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.63%  |  Binomial IV (Annual): 19.01% (CRR binomial tree, American, n=20 steps)  |  BS IV: 19.09% (European Black-Scholes)  |  Yahoo IV (Annual): 19.74% → 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
2026-01-23 $1.0570
2025-10-24 $1.0570
2025-07-18 $1.0570
2025-04-21 $1.0570
2025-01-24 $1.0070
2024-10-18 $1.0070
2024-07-19 $1.0070
2024-04-18 $1.0070
2024-01-18 $0.9410
2023-10-19 $0.9410
2023-07-20 $0.9410
2023-04-20 $0.9410
2023-01-19 $0.9130
2022-10-20 $0.9130
2022-07-21 $0.9130
2022-04-21 $0.9130
2022-01-20 $0.8700
2021-10-21 $0.8700
2021-07-22 $0.8700
2021-04-22 $0.8700
2021-01-21 $0.7910
2020-10-22 $0.7910
2020-07-23 $0.7910
2020-04-23 $0.7910
2020-01-23 $0.7460
2019-10-17 $0.7460
2019-07-18 $0.7460
2019-04-17 $0.7460
2019-01-17 $0.7170
2018-10-18 $0.7170
2018-07-19 $0.7170
2018-04-19 $0.7170
2018-01-18 $0.6900
2017-10-19 $0.6900
2017-07-19 $0.6900
2017-04-19 $0.6900
2017-01-18 $0.6700
2016-10-19 $0.6700
2016-07-20 $0.6700
2016-04-14 $0.6700
2016-01-20 $0.6630
2015-10-21 $0.6630
2015-07-22 $0.6630
2015-04-23 $0.6630
2015-01-21 $0.6440
2014-10-22 $0.6440
2014-07-16 $0.6440
2014-04-23 $0.6440
2014-01-22 $0.6020
2013-10-16 $0.6020
2013-07-17 $0.6020
2013-04-24 $0.6020
2013-01-16 $0.5620
2012-10-17 $0.5620
2012-07-18 $0.5620
2012-04-25 $0.5620
2012-01-18 $0.5250
2011-10-19 $0.5250
2011-07-20 $0.5250
2011-04-27 $0.5250
2011-01-19 $0.4820
2010-10-20 $0.4820
2010-07-21 $0.4820
2010-04-28 $0.4820
2010-01-20 $0.4400
2009-10-21 $0.4400
2009-07-22 $0.4400
2009-04-22 $0.4400
2009-01-21 $0.4000
2008-10-22 $0.4000
2008-07-16 $0.4000
2008-04-16 $0.4000
2008-01-16 $0.3500
2007-10-17 $0.3500
2007-07-18 $0.3500
2007-04-25 $0.3500
2007-01-17 $0.3100
2006-10-18 $0.3100
2006-07-19 $0.3100
2006-04-19 $0.3100
2006-01-18 $0.2800
2005-10-19 $0.2800
2005-07-20 $0.2800
2005-04-20 $0.2800
2005-01-19 $0.2500
2004-10-20 $0.2500
2004-07-21 $0.2500
2004-04-21 $0.2500
2004-01-21 $0.2275
2003-10-22 $0.2275
2003-07-16 $0.2275
2003-04-15 $0.2050
2003-01-22 $0.2050
2002-10-16 $0.2050
2002-07-17 $0.2050
2002-06-03 $0.3450
2002-04-17 $0.1900
2002-01-16 $0.1900
2001-10-17 $0.1900
2001-07-18 $0.1900
2001-04-18 $0.1750
2001-01-17 $0.1750
2000-10-18 $0.1750
2000-07-19 $0.1750
2000-04-18 $0.1600
2000-01-19 $0.1600
1999-10-20 $0.1600
1999-07-21 $0.1600
1999-04-21 $0.1425
1999-01-20 $0.1425
1998-10-21 $0.1425
1998-07-22 $0.1425
1998-04-22 $0.1260
1998-01-21 $0.1260
1997-10-22 $0.1260
1997-07-16 $0.1263
1997-04-16 $0.1125
1997-01-22 $0.1125
1996-10-16 $0.1125
1996-07-17 $0.1125
1996-04-17 $0.1000
1996-01-17 $0.1000
1995-10-18 $0.1000
1995-07-19 $0.1000
1995-04-17 $0.0875
1995-01-13 $0.0875
1994-10-17 $0.0875
1994-07-18 $0.0875
1994-04-18 $0.0775
1994-01-14 $0.0775
1993-10-18 $0.0775
1993-07-19 $0.0775
1993-04-19 $0.0688
1993-01-15 $0.0688
1992-10-19 $0.0688
1992-07-20 $0.0688
1992-04-20 $0.0688
1992-01-17 $0.0625
1991-10-11 $0.0625
1991-07-15 $0.0625
1991-04-15 $0.0625
1991-01-14 $0.0625
1990-10-15 $0.0625
1990-07-16 $0.0563
1990-04-16 $0.0563
1990-01-12 $0.0563
1989-10-16 $0.0563
1989-07-17 $0.0500
1989-04-17 $0.0500
1989-01-13 $0.0500
1988-10-17 $0.0437
1988-07-18 $0.0437
1988-04-18 $0.0437
1988-01-15 $0.0437
1987-10-19 $0.0422
1987-07-20 $0.0422
1987-04-20 $0.0422
1987-01-16 $0.0422
1986-10-20 $0.0422
1986-07-14 $0.0422
1986-04-14 $0.0422
1986-01-17 $0.0406
1985-10-11 $0.0406
1985-07-15 $0.0406
1985-04-15 $0.0406
1985-01-14 $0.0406
1984-10-15 $0.0406
1984-07-16 $0.0406
1984-04-13 $0.0375
1984-01-16 $0.0375
1983-10-17 $0.0375
1983-07-18 $0.0375
1983-04-18 $0.0375
1983-01-17 $0.0187
1982-10-18 $0.0328
1982-07-19 $0.0328
1982-04-19 $0.0328
1982-01-18 $0.0328
1981-10-19 $0.0328
1981-07-20 $0.0297
1981-04-20 $0.0297
1981-01-19 $0.0297
1980-10-20 $0.0297
1980-07-14 $0.0297
1980-04-14 $0.0266
1980-01-14 $0.0266
1979-10-15 $0.0266
1979-07-16 $0.0266
1979-04-16 $0.0266
1979-01-15 $0.0234
1978-10-16 $0.0234
1978-07-17 $0.0234
1978-04-17 $0.0234
1978-01-16 $0.0203
1977-10-17 $0.0203
1977-07-18 $0.0203
1977-04-18 $0.0203
1977-01-17 $0.0203
1976-10-18 $0.0172
1976-07-19 $0.0172
1976-04-19 $0.0172
1976-01-19 $0.0156
1975-10-20 $0.0156
1975-07-14 $0.0156
1975-04-14 $0.0156
1975-01-20 $0.0156
1974-10-11 $0.0141
1974-07-15 $0.0141
1974-04-15 $0.0141
1974-01-14 $0.0141
1973-10-15 $0.0141
1973-07-16 $0.0141
1973-04-13 $0.0122
1973-01-15 $0.0122
1972-10-16 $0.0122
1972-07-17 $0.0122
1972-04-17 $0.0117
1972-01-17 $0.0117
1971-10-18 $0.0117
1971-07-19 $0.0117
1971-04-19 $0.0109
1971-01-18 $0.0109
1970-10-19 $0.0109
1970-07-20 $0.0109
1970-04-20 $0.0109
1970-01-19 $0.0102
1969-10-20 $0.0102
1969-07-14 $0.0102
1969-04-14 $0.0102
1969-01-20 $0.0102
1968-10-14 $0.0094
1968-07-15 $0.0094
1968-04-15 $0.0094
1968-01-16 $0.0094
1967-10-17 $0.0086
1967-07-18 $0.0086
1967-04-18 $0.0086
1967-01-17 $0.0086
1966-10-18 $0.0078
1966-07-19 $0.0078
1966-04-19 $0.0078
1966-01-18 $0.0078
1965-10-19 $0.0072
1965-07-20 $0.0072
1965-04-20 $0.0072
1965-01-19 $0.0072
1964-10-20 $0.0068
1964-07-21 $0.0068
1964-04-21 $0.0068
1964-01-21 $0.0068
1963-10-15 $0.0063
1963-07-16 $0.0063
1963-04-16 $0.0063
1963-01-15 $0.0063
1962-10-16 $0.0059
1962-07-17 $0.0059
1962-04-16 $0.0059
1962-01-16 $0.0059
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Left Skewed (Negative Asymmetry) with a Skewness factor of -0.83. Further, an Excess Kurtosis of 35.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.97%820.51%0.51%
-3.97% to -2.96%1530.95%1.46%
-2.96% to -1.96%5303.28%4.74%
-1.96% to -0.95%185511.49%16.23%
-0.95% to 0.05%575035.63%51.86%
0.05% to 1.05%509831.59%83.44%
1.05% to 2.06%182811.33%94.77%
2.06% to 3.06%5603.47%98.24%
3.06% to 4.07%1721.07%99.31%
Greater than 4.07%1120.69%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.29%1.39% 77.80%68.27%
±2σ -2.63%2.73% 95.29%95.45%
±3σ -3.97%4.07% 98.79%99.73%
Descriptive Statistics
Mean0.049%
Standard Error0.011%
Median0.000%
Mode0.000%
Standard Deviation1.339%
Sample Variance1.794%
Kurtosis35.57
Skewness-0.83
Range52.436%
Minimum-30.236%
Maximum22.200%
Count16140
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.983% 7900 48.95% 0.481%
Negative -0.930% 7498 46.46% -0.432%
Zero 0.000% 742 4.60% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.00%
20 1 Month 1.87%
60 1 Quarter 1.69%
250 1 Year 1.68%
750 3 Years 1.48%
1,250 5 Years 1.57%
2,500 10 Years 1.54%
5,000 20 Years 1.54%
12,500 50 Years 1.76%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 11.81. Further, an Excess Kurtosis of 424.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -1.94%00.00%0.00%
-1.94% to -1.05%00.00%0.00%
-1.05% to -0.16%00.00%0.00%
-0.16% to 0.73%166610.32%10.32%
0.73% to 1.63%849852.65%62.97%
1.63% to 2.52%386223.93%86.90%
2.52% to 3.41%12998.05%94.94%
3.41% to 4.30%4582.84%97.78%
4.30% to 5.20%1711.06%98.84%
Greater than 5.20%1871.16%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.44%2.82% 89.61%68.27%
±2σ -0.75%4.01% 96.97%95.45%
±3σ -1.94%5.20% 98.84%99.73%
Descriptive Statistics
Mean1.628%
Standard Error0.009%
Median1.359%
Mode1.786%
Standard Deviation1.190%
Sample Variance1.417%
Kurtosis424.62
Skewness11.81
Range59.035%
Minimum0.147%
Maximum59.182%
Count16141
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.628% 16141 100.00% 1.628%
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 0.22. Further, an Excess Kurtosis of 6.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.44%1070.66%0.66%
-3.44% to -2.59%1911.18%1.85%
-2.59% to -1.74%5863.63%5.48%
-1.74% to -0.89%187811.63%17.11%
-0.89% to -0.04%499030.92%48.03%
-0.04% to 0.81%566835.12%83.14%
0.81% to 1.66%187711.63%94.77%
1.66% to 2.52%5813.60%98.37%
2.52% to 3.37%1460.90%99.28%
Greater than 3.37%1170.72%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.17%1.10% 76.81%68.27%
±2σ -2.31%2.23% 94.91%95.45%
±3σ -3.44%3.37% 98.61%99.73%
Descriptive Statistics
Mean-0.039%
Standard Error0.009%
Median0.000%
Mode0.000%
Standard Deviation1.135%
Sample Variance1.288%
Kurtosis6.85
Skewness0.22
Range24.035%
Minimum-9.982%
Maximum14.053%
Count16141
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.833% 7345 45.51% 0.379%
Negative -0.859% 7854 48.66% -0.418%
Zero 0.000% 942 5.84% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Left Skewed (Negative Asymmetry) with a Skewness factor of -0.70. Further, an Excess Kurtosis of 17.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.66%170.51%0.51%
-8.66% to -6.44%320.96%1.46%
-6.44% to -4.21%952.84%4.30%
-4.21% to -1.99%41712.46%16.77%
-1.99% to 0.24%114534.22%50.99%
0.24% to 2.47%102630.66%81.65%
2.47% to 4.69%44313.24%94.89%
4.69% to 6.92%1173.50%98.39%
6.92% to 9.14%391.17%99.55%
Greater than 9.14%150.45%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.73%3.21% 76.84%68.27%
±2σ -5.70%6.18% 95.79%95.45%
±3σ -8.66%9.14% 99.04%99.73%
Descriptive Statistics
Mean0.241%
Standard Error0.051%
Median0.168%
Mode0.000%
Standard Deviation2.968%
Sample Variance8.807%
Kurtosis17.29
Skewness-0.70
Range66.078%
Minimum-36.547%
Maximum29.531%
Count3346
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.218% 1752 52.36% 1.161%
Negative -1.986% 1551 46.35% -0.921%
Zero 0.000% 43 1.28% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.47%
12 1 Quarter 4.36%
52 1 Year 3.88%
156 3 Years 3.39%
260 5 Years 3.56%
520 10 Years 3.49%
1,040 20 Years 3.46%
2,600 50 Years 4.04%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 7.12. Further, an Excess Kurtosis of 110.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.68%00.00%0.00%
-4.68% to -2.50%00.00%0.00%
-2.50% to -0.31%00.00%0.00%
-0.31% to 1.88%36510.91%10.91%
1.88% to 4.07%171451.21%62.12%
4.07% to 6.25%85525.55%87.66%
6.25% to 8.44%2647.89%95.55%
8.44% to 10.63%812.42%97.97%
10.63% to 12.82%230.69%98.66%
Greater than 12.82%451.34%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.15%6.98% 90.17%68.27%
±2σ -1.77%9.90% 97.52%95.45%
±3σ -4.68%12.82% 98.66%99.73%
Descriptive Statistics
Mean4.067%
Standard Error0.050%
Median3.483%
Mode2.128%
Standard Deviation2.917%
Sample Variance8.506%
Kurtosis110.17
Skewness7.12
Range64.672%
Minimum0.745%
Maximum65.417%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.067% 3347 100.00% 4.067%
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 3.02. Further, an Excess Kurtosis of 56.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.79%80.24%0.24%
-8.79% to -6.62%270.81%1.05%
-6.62% to -4.45%1183.53%4.57%
-4.45% to -2.28%44513.30%17.87%
-2.28% to -0.11%109332.66%50.52%
-0.11% to 2.06%109332.66%83.18%
2.06% to 4.23%40912.22%95.40%
4.23% to 6.40%922.75%98.15%
6.40% to 8.57%381.14%99.28%
Greater than 8.57%240.72%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.00%2.78% 77.62%68.27%
±2σ -5.90%5.68% 95.91%95.45%
±3σ -8.79%8.57% 99.04%99.73%
Descriptive Statistics
Mean-0.110%
Standard Error0.050%
Median-0.142%
Mode0.000%
Standard Deviation2.893%
Sample Variance8.367%
Kurtosis56.70
Skewness3.02
Range75.059%
Minimum-15.385%
Maximum59.674%
Count3347
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.027% 1552 46.37% 0.940%
Negative -2.029% 1732 51.75% -1.050%
Zero 0.000% 63 1.88% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.26. Further, an Excess Kurtosis of 3.00 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.32%10.13%0.13%
-15.32% to -11.24%131.69%1.82%
-11.24% to -7.16%354.55%6.37%
-7.16% to -3.07%9412.22%18.60%
-3.07% to 1.01%25933.68%52.28%
1.01% to 5.09%20426.53%78.80%
5.09% to 9.17%11815.34%94.15%
9.17% to 13.25%364.68%98.83%
13.25% to 17.33%70.91%99.74%
Greater than 17.33%20.26%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.43%6.45% 72.04%68.27%
±2σ -9.88%11.89% 94.93%95.45%
±3σ -15.32%17.33% 99.61%99.73%
Descriptive Statistics
Mean1.008%
Standard Error0.196%
Median0.758%
Mode0.000%
Standard Deviation5.442%
Sample Variance29.618%
Kurtosis3.00
Skewness-0.26
Range60.546%
Minimum-35.420%
Maximum25.126%
Count769
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.656% 428 55.66% 2.591%
Negative -3.634% 335 43.56% -1.583%
Zero 0.000% 6 0.78% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 8.36%
12 1 Year 8.01%
36 3 Years 7.11%
60 5 Years 7.59%
120 10 Years 7.31%
240 20 Years 7.39%
600 50 Years 8.53%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.02. Further, an Excess Kurtosis of 43.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.51%00.00%0.00%
-8.51% to -4.13%00.00%0.00%
-4.13% to 0.24%00.00%0.00%
0.24% to 4.62%9512.34%12.34%
4.62% to 8.99%39050.65%62.99%
8.99% to 13.36%18423.90%86.88%
13.36% to 17.74%658.44%95.32%
17.74% to 22.11%172.21%97.53%
22.11% to 26.48%91.17%98.70%
Greater than 26.48%101.30%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.16%14.82% 89.87%68.27%
±2σ -2.67%20.65% 97.40%95.45%
±3σ -8.51%26.48% 98.70%99.73%
Descriptive Statistics
Mean8.989%
Standard Error0.210%
Median7.556%
Mode6.667%
Standard Deviation5.832%
Sample Variance34.012%
Kurtosis43.73
Skewness5.02
Range69.991%
Minimum2.509%
Maximum72.500%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.989% 770 100.00% 8.989%
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 1.49. Further, an Excess Kurtosis of 12.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -17.18%20.26%0.26%
-17.18% to -13.01%20.26%0.52%
-13.01% to -8.83%314.03%4.55%
-8.83% to -4.66%13117.01%21.56%
-4.66% to -0.48%22729.48%51.04%
-0.48% to 3.69%24031.17%82.21%
3.69% to 7.87%8911.56%93.77%
7.87% to 12.05%303.90%97.66%
12.05% to 16.22%151.95%99.61%
Greater than 16.22%30.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.05%5.09% 74.94%68.27%
±2σ -11.61%10.65% 95.84%95.45%
±3σ -17.18%16.22% 99.35%99.73%
Descriptive Statistics
Mean-0.480%
Standard Error0.201%
Median-0.604%
Mode0.000%
Standard Deviation5.567%
Sample Variance30.995%
Kurtosis12.89
Skewness1.49
Range76.137%
Minimum-21.071%
Maximum55.066%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.093% 339 44.03% 1.802%
Negative -4.154% 423 54.94% -2.282%
Zero 0.000% 8 1.04% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.26. Further, an Excess Kurtosis of 2.59 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -22.15%10.39%0.39%
-22.15% to -15.88%10.39%0.78%
-15.88% to -9.60%103.89%4.67%
-9.60% to -3.33%3814.79%19.46%
-3.33% to 2.94%8131.52%50.97%
2.94% to 9.22%7127.63%78.60%
9.22% to 15.49%4115.95%94.55%
15.49% to 21.76%83.11%97.67%
21.76% to 28.04%62.33%100.00%
Greater than 28.04%00.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.42%11.31% 72.37%68.27%
±2σ -13.79%19.67% 95.33%95.45%
±3σ -22.15%28.04% 99.61%99.73%
Descriptive Statistics
Mean2.943%
Standard Error0.522%
Median2.825%
Mode7.849%
Standard Deviation8.365%
Sample Variance69.966%
Kurtosis2.59
Skewness-0.26
Range66.533%
Minimum-40.603%
Maximum25.930%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.707% 161 62.65% 4.828%
Negative -5.048% 96 37.35% -1.886%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 10.04%
12 3 Years 10.44%
20 5 Years 12.26%
40 10 Years 12.26%
80 20 Years 12.33%
200 50 Years 14.45%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.75. Further, an Excess Kurtosis of 21.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -13.07%00.00%0.00%
-13.07% to -5.88%00.00%0.00%
-5.88% to 1.31%00.00%0.00%
1.31% to 8.51%3112.02%12.02%
8.51% to 15.70%13251.16%63.18%
15.70% to 22.89%6424.81%87.98%
22.89% to 30.08%186.98%94.96%
30.08% to 37.28%51.94%96.90%
37.28% to 44.47%41.55%98.45%
Greater than 44.47%41.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 6.11%25.29% 90.70%68.27%
±2σ -3.48%34.88% 95.35%95.45%
±3σ -13.07%44.47% 98.45%99.73%
Descriptive Statistics
Mean15.698%
Standard Error0.597%
Median13.843%
Mode9.836%
Standard Deviation9.590%
Sample Variance91.966%
Kurtosis21.34
Skewness3.75
Range86.514%
Minimum4.718%
Maximum91.232%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.698% 258 100.00% 15.698%
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 2.11. Further, an Excess Kurtosis of 15.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -27.51%00.00%0.00%
-27.51% to -20.99%10.39%0.39%
-20.99% to -14.47%72.71%3.10%
-14.47% to -7.95%4718.22%21.32%
-7.95% to -1.43%7529.07%50.39%
-1.43% to 5.09%8532.95%83.33%
5.09% to 11.61%3212.40%95.74%
11.61% to 18.13%62.33%98.06%
18.13% to 24.65%41.55%99.61%
Greater than 24.65%10.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.12%7.26% 75.58%68.27%
±2σ -18.81%15.96% 95.74%95.45%
±3σ -27.51%24.65% 99.61%99.73%
Descriptive Statistics
Mean-1.428%
Standard Error0.541%
Median-1.671%
Mode0.000%
Standard Deviation8.693%
Sample Variance75.569%
Kurtosis15.49
Skewness2.11
Range90.125%
Minimum-21.610%
Maximum68.515%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.013% 105 40.70% 2.447%
Negative -6.621% 151 58.53% -3.875%
Zero 0.000% 2 0.78% 0.000%