PLAY - 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	4.19%	4.02%	3.37%	4.89%	4.94%	5.02%	14.67	16.19	13.96	17.01
Weekly	8.24%	13.74%	12.32%	11.46%	10.87%	11.05%	13.82	17.18	12.40	19.15
Monthly	14.98%	54.85%	18.99%	25.02%	22.63%	23.00%	12.29	19.32	9.80	24.23
Quarterly	29.34%	131.72%	39.29%	43.48%	39.20%	39.84%	10.41	22.81	7.04	33.75
Annual	—	—	—	—	78.40%	79.69%	7.04	33.75	3.21	73.93
Option Time Horizon	—	—	—	—	30.16%	30.65%	11.40	20.83	8.43	28.17

Calculation Notes: Computed at 2026-02-22T14:21 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $15.41 | Strike (K): $16.00 (first OTM call ≥ spot) | Observed Mid-Price: $1.6500 (Bid $1.5500 / Ask $1.7500) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 78.40% (CRR binomial tree, American, n=20 steps) | BS IV: 78.98% (European Black-Scholes) | Yahoo IV (Annual): 79.69% → period-scaled as σ_period = σ_annual·√h | Price bands: Upper = S·e^+σ√h, Lower = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2020-01-09	$0.1600
2019-10-10	$0.1600
2019-06-24	$0.1500
2019-03-25	$0.1500
2018-12-24	$0.1500
2018-09-24	$0.1500

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.75. Further, an Excess Kurtosis of 61.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.50%	18	0.63%	0.63%
-12.50% to -9.35%	18	0.63%	1.26%
-9.35% to -6.21%	54	1.89%	3.15%
-6.21% to -3.06%	241	8.44%	11.59%
-3.06% to 0.08%	1136	39.78%	51.37%
0.08% to 3.23%	1064	37.25%	88.62%
3.23% to 6.37%	218	7.63%	96.25%
6.37% to 9.52%	65	2.28%	98.53%
9.52% to 12.66%	17	0.60%	99.12%
Greater than 12.66%	25	0.88%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.11%	4.27%	84.98%	68.27%
±2σ	-8.30%	8.47%	96.39%	95.45%
±3σ	-12.50%	12.66%	98.49%	99.73%

Descriptive Statistics

Mean	0.082%
Standard Error	0.078%
Median	0.000%
Mode	0.000%
Standard Deviation	4.193%
Sample Variance	17.583%
Kurtosis	61.40
Skewness	2.75
Range	122.333%
Minimum	-45.742%
Maximum	76.591%
Count	2856

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.525%	1426	49.93%	1.261%
Negative	-2.385%	1412	49.44%	-1.179%
Zero	0.000%	18	0.63%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	6.75%
20	1 Month	6.18%
60	1 Quarter	6.10%
250	1 Year	6.02%
750	3 Years	4.80%
1,250	5 Years	4.89%
2,500	10 Years	4.73%
5,000	20 Years	4.64%
12,500	50 Years	4.64%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 8.07. Further, an Excess Kurtosis of 125.66 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -7.55%	0	0.00%	0.00%
-7.55% to -4.53%	0	0.00%	0.00%
-4.53% to -1.51%	0	0.00%	0.00%
-1.51% to 1.50%	97	3.40%	3.40%
1.50% to 4.52%	1801	63.04%	66.43%
4.52% to 7.54%	664	23.24%	89.67%
7.54% to 10.55%	173	6.06%	95.73%
10.55% to 13.57%	55	1.93%	97.65%
13.57% to 16.59%	32	1.12%	98.77%
Greater than 16.59%	35	1.23%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.50%	8.54%	92.86%	68.27%
±2σ	-3.53%	12.57%	97.06%	95.45%
±3σ	-7.55%	16.59%	98.77%	99.73%

Descriptive Statistics

Mean	4.520%
Standard Error	0.075%
Median	3.649%
Mode	1.914%
Standard Deviation	4.023%
Sample Variance	16.188%
Kurtosis	125.66
Skewness	8.07
Range	95.212%
Minimum	0.788%
Maximum	96.000%
Count	2857

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.520%	2857	100.00%	4.520%
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 0.81. Further, an Excess Kurtosis of 20.64 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -9.97%	16	0.56%	0.56%
-9.97% to -7.44%	22	0.77%	1.33%
-7.44% to -4.91%	73	2.56%	3.89%
-4.91% to -2.38%	314	10.99%	14.88%
-2.38% to 0.15%	1070	37.45%	52.33%
0.15% to 2.68%	953	33.36%	85.68%
2.68% to 5.21%	283	9.91%	95.59%
5.21% to 7.74%	79	2.77%	98.35%
7.74% to 10.27%	16	0.56%	98.91%
Greater than 10.27%	31	1.09%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.23%	3.52%	80.85%	68.27%
±2σ	-6.60%	6.89%	96.08%	95.45%
±3σ	-9.97%	10.27%	98.35%	99.73%

Descriptive Statistics

Mean	0.148%
Standard Error	0.063%
Median	0.027%
Mode	0.000%
Standard Deviation	3.373%
Sample Variance	11.379%
Kurtosis	20.64
Skewness	0.81
Range	79.364%
Minimum	-37.558%
Maximum	41.806%
Count	2857

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.313%	1437	50.30%	1.163%
Negative	-2.061%	1408	49.28%	-1.016%
Zero	0.000%	12	0.42%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.18. Further, an Excess Kurtosis of 13.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -24.36%	3	0.51%	0.51%
-24.36% to -18.18%	9	1.52%	2.02%
-18.18% to -12.00%	16	2.70%	4.72%
-12.00% to -5.83%	56	9.44%	14.17%
-5.83% to 0.35%	225	37.94%	52.11%
0.35% to 6.53%	194	32.72%	84.82%
6.53% to 12.71%	65	10.96%	95.78%
12.71% to 18.89%	15	2.53%	98.31%
18.89% to 25.07%	5	0.84%	99.16%
Greater than 25.07%	5	0.84%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.88%	8.59%	81.11%	68.27%
±2σ	-16.12%	16.83%	95.11%	95.45%
±3σ	-24.36%	25.07%	98.65%	99.73%

Descriptive Statistics

Mean	0.353%
Standard Error	0.338%
Median	0.075%
Mode	0.000%
Standard Deviation	8.238%
Sample Variance	67.870%
Kurtosis	13.52
Skewness	-0.18
Range	120.796%
Minimum	-69.059%
Maximum	51.737%
Count	593

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.648%	299	50.42%	2.848%
Negative	-5.085%	291	49.07%	-2.495%
Zero	0.000%	3	0.51%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	15.20%
12	1 Quarter	14.54%
52	1 Year	14.44%
156	3 Years	11.46%
260	5 Years	11.46%
520	10 Years	10.98%
1,040	20 Years	10.76%
2,600	50 Years	10.76%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 10.38. Further, an Excess Kurtosis of 161.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -29.42%	0	0.00%	0.00%
-29.42% to -19.11%	0	0.00%	0.00%
-19.11% to -8.80%	0	0.00%	0.00%
-8.80% to 1.50%	0	0.00%	0.00%
1.50% to 11.81%	404	68.01%	68.01%
11.81% to 22.12%	142	23.91%	91.92%
22.12% to 32.43%	28	4.71%	96.63%
32.43% to 42.74%	9	1.52%	98.15%
42.74% to 53.05%	4	0.67%	98.82%
Greater than 53.05%	7	1.18%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.93%	25.56%	94.78%	68.27%
±2σ	-15.67%	39.30%	97.64%	95.45%
±3σ	-29.42%	53.05%	98.82%	99.73%

Descriptive Statistics

Mean	11.813%
Standard Error	0.564%
Median	8.878%
Mode	5.391%
Standard Deviation	13.744%
Sample Variance	188.886%
Kurtosis	161.43
Skewness	10.38
Range	248.983%
Minimum	1.931%
Maximum	250.914%
Count	594

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	11.813%	594	100.00%	11.813%
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 12.49. Further, an Excess Kurtosis of 239.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -36.26%	0	0.00%	0.00%
-36.26% to -27.02%	2	0.34%	0.34%
-27.02% to -17.78%	4	0.67%	1.01%
-17.78% to -8.54%	41	6.90%	7.91%
-8.54% to 0.69%	291	48.99%	56.90%
0.69% to 9.93%	210	35.35%	92.26%
9.93% to 19.17%	31	5.22%	97.47%
19.17% to 28.41%	12	2.02%	99.49%
28.41% to 37.65%	1	0.17%	99.66%
Greater than 37.65%	2	0.34%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.62%	13.01%	91.08%	68.27%
±2σ	-23.94%	25.33%	98.65%	95.45%
±3σ	-36.26%	37.65%	99.66%	99.73%

Descriptive Statistics

Mean	0.694%
Standard Error	0.505%
Median	-0.083%
Mode	0.000%
Standard Deviation	12.317%
Sample Variance	151.718%
Kurtosis	239.57
Skewness	12.49
Range	272.578%
Minimum	-32.856%
Maximum	239.722%
Count	594

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.257%	290	48.82%	3.055%
Negative	-4.659%	301	50.67%	-2.361%
Zero	0.000%	3	0.51%	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 1.81 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -43.92%	1	0.74%	0.74%
-43.92% to -32.69%	0	0.00%	0.74%
-32.69% to -21.45%	5	3.68%	4.41%
-21.45% to -10.22%	21	15.44%	19.85%
-10.22% to 1.02%	44	32.35%	52.21%
1.02% to 12.26%	32	23.53%	75.74%
12.26% to 23.49%	27	19.85%	95.59%
23.49% to 34.73%	2	1.47%	97.06%
34.73% to 45.96%	3	2.21%	99.26%
Greater than 45.96%	1	0.74%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.96%	16.00%	72.06%	68.27%
±2σ	-28.94%	30.98%	94.85%	95.45%
±3σ	-43.92%	45.96%	98.53%	99.73%

Descriptive Statistics

Mean	1.020%
Standard Error	1.285%
Median	0.397%
Mode	-60.376%
Standard Deviation	14.981%
Sample Variance	224.445%
Kurtosis	1.81
Skewness	-0.09
Range	107.928%
Minimum	-60.376%
Maximum	47.552%
Count	136

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	12.310%	69	50.73%	6.245%
Negative	-10.607%	67	49.27%	-5.226%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	33.59%
12	1 Year	30.80%
36	3 Years	25.34%
60	5 Years	25.02%
120	10 Years	23.94%
240	20 Years	23.41%
600	50 Years	23.41%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 10.34. Further, an Excess Kurtosis of 115.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -133.77%	0	0.00%	0.00%
-133.77% to -92.63%	0	0.00%	0.00%
-92.63% to -51.49%	0	0.00%	0.00%
-51.49% to -10.35%	0	0.00%	0.00%
-10.35% to 30.79%	99	72.26%	72.26%
30.79% to 71.93%	34	24.82%	97.08%
71.93% to 113.07%	3	2.19%	99.27%
113.07% to 154.21%	0	0.00%	99.27%
154.21% to 195.35%	0	0.00%	99.27%
Greater than 195.35%	1	0.73%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.06%	85.64%	98.54%	68.27%
±2σ	-78.92%	140.50%	99.27%	95.45%
±3σ	-133.77%	195.35%	99.27%	99.73%

Descriptive Statistics

Mean	30.790%
Standard Error	4.686%
Median	23.122%
Mode	7.244%
Standard Deviation	54.853%
Sample Variance	3008.906%
Kurtosis	115.28
Skewness	10.34
Range	634.558%
Minimum	7.244%
Maximum	641.802%
Count	137

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	30.790%	137	100.00%	30.790%
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 3.89. Further, an Excess Kurtosis of 29.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -55.40%	0	0.00%	0.00%
-55.40% to -41.16%	0	0.00%	0.00%
-41.16% to -26.92%	3	2.19%	2.19%
-26.92% to -12.68%	20	14.60%	16.79%
-12.68% to 1.56%	54	39.42%	56.20%
1.56% to 15.80%	41	29.93%	86.13%
15.80% to 30.04%	13	9.49%	95.62%
30.04% to 44.28%	5	3.65%	99.27%
44.28% to 58.52%	0	0.00%	99.27%
Greater than 58.52%	1	0.73%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.43%	20.54%	84.67%	68.27%
±2σ	-36.42%	39.53%	99.27%	95.45%
±3σ	-55.40%	58.52%	99.27%	99.73%

Descriptive Statistics

Mean	1.558%
Standard Error	1.622%
Median	-0.126%
Mode	-1.725%
Standard Deviation	18.987%
Sample Variance	360.497%
Kurtosis	29.60
Skewness	3.89
Range	185.266%
Minimum	-31.367%
Maximum	153.899%
Count	137

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.043%	66	48.17%	6.765%
Negative	-10.048%	71	51.83%	-5.207%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.51. Further, an Excess Kurtosis of 1.55 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -84.23%	0	0.00%	0.00%
-84.23% to -62.22%	1	2.17%	2.17%
-62.22% to -40.21%	1	2.17%	4.35%
-40.21% to -18.21%	7	15.22%	19.57%
-18.21% to 3.80%	15	32.61%	52.17%
3.80% to 25.81%	12	26.09%	78.26%
25.81% to 47.82%	7	15.22%	93.48%
47.82% to 69.83%	2	4.35%	97.83%
69.83% to 91.83%	0	0.00%	97.83%
Greater than 91.83%	1	2.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.54%	33.15%	71.74%	68.27%
±2σ	-54.89%	62.49%	95.65%	95.45%
±3σ	-84.23%	91.83%	97.83%	99.73%

Descriptive Statistics

Mean	3.802%
Standard Error	4.327%
Median	-0.405%
Mode	-66.848%
Standard Deviation	29.344%
Sample Variance	861.078%
Kurtosis	1.55
Skewness	0.51
Range	165.100%
Minimum	-66.848%
Maximum	98.252%
Count	46

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	27.157%	22	47.83%	12.988%
Negative	-17.606%	24	52.17%	-9.186%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	58.10%
12	3 Years	48.57%
20	5 Years	43.48%
40	10 Years	44.48%
80	20 Years	43.15%
200	50 Years	43.15%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.34. Further, an Excess Kurtosis of 41.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -325.05%	0	0.00%	0.00%
-325.05% to -226.26%	0	0.00%	0.00%
-226.26% to -127.47%	0	0.00%	0.00%
-127.47% to -28.68%	0	0.00%	0.00%
-28.68% to 70.11%	39	82.98%	82.98%
70.11% to 168.89%	6	12.77%	95.74%
168.89% to 267.68%	1	2.13%	97.87%
267.68% to 366.47%	0	0.00%	97.87%
366.47% to 465.26%	0	0.00%	97.87%
Greater than 465.26%	1	2.13%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-61.61%	201.82%	97.87%	68.27%
±2σ	-193.33%	333.54%	97.87%	95.45%
±3σ	-325.05%	465.26%	97.87%	99.73%

Descriptive Statistics

Mean	70.106%
Standard Error	19.213%
Median	41.116%
Mode	18.853%
Standard Deviation	131.718%
Sample Variance	17349.567%
Kurtosis	41.98
Skewness	6.34
Range	911.983%
Minimum	18.853%
Maximum	930.836%
Count	47

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	70.106%	47	100.00%	70.106%
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 2.97. Further, an Excess Kurtosis of 13.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -112.58%	0	0.00%	0.00%
-112.58% to -83.11%	0	0.00%	0.00%
-83.11% to -53.64%	0	0.00%	0.00%
-53.64% to -24.17%	6	12.77%	12.77%
-24.17% to 5.30%	24	51.06%	63.83%
5.30% to 34.77%	11	23.40%	87.23%
34.77% to 64.24%	4	8.51%	95.74%
64.24% to 93.71%	0	0.00%	95.74%
93.71% to 123.18%	1	2.13%	97.87%
Greater than 123.18%	1	2.13%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.99%	44.59%	91.49%	68.27%
±2σ	-73.28%	83.89%	95.74%	95.45%
±3σ	-112.58%	123.18%	97.87%	99.73%

Descriptive Statistics

Mean	5.302%
Standard Error	5.732%
Median	0.655%
Mode	-48.918%
Standard Deviation	39.293%
Sample Variance	1543.962%
Kurtosis	13.06
Skewness	2.97
Range	250.011%
Minimum	-48.918%
Maximum	201.093%
Count	47

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	28.716%	24	51.06%	14.664%
Negative	-19.131%	23	48.94%	-9.362%
Zero	0.000%	0	0.00%	0.000%

PLAY Deep Analytical Report