RBLX - 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	4.43%	3.25%	3.56%	5.58%	4.04%	4.14%	59.55	64.55	57.19	67.21
Weekly	9.13%	9.00%	9.10%	13.23%	8.89%	9.11%	56.73	67.76	51.90	74.06
Monthly	18.34%	17.49%	18.75%	28.68%	18.50%	18.96%	51.53	74.60	42.82	89.76
Quarterly	33.73%	39.41%	35.97%	49.61%	32.05%	32.84%	45.00	85.42	32.66	117.69
Annual	—	—	—	—	64.09%	65.67%	32.66	117.69	17.21	223.40
Option Time Horizon	—	—	—	—	24.65%	25.26%	48.45	79.33	37.87	101.51

Calculation Notes: Computed at 2026-02-22T14:25 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $62.00 | Strike (K): $65.00 (first OTM call ≥ spot) | Observed Mid-Price: $5.0500 (Bid $4.6500 / Ask $5.4500) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 64.09% (CRR binomial tree, American, n=20 steps) | BS IV: 64.84% (European Black-Scholes) | Yahoo IV (Annual): 65.67% → 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 Right Skewed (Positive Asymmetry) with a Skewness factor of 0.62. Further, an Excess Kurtosis of 11.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -13.20%	7	0.56%	0.56%
-13.20% to -9.88%	14	1.13%	1.69%
-9.88% to -6.56%	34	2.74%	4.42%
-6.56% to -3.23%	152	12.23%	16.65%
-3.23% to 0.09%	401	32.26%	48.91%
0.09% to 3.41%	451	36.28%	85.20%
3.41% to 6.73%	128	10.30%	95.49%
6.73% to 10.05%	35	2.82%	98.31%
10.05% to 13.38%	12	0.97%	99.28%
Greater than 13.38%	9	0.72%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.34%	4.52%	79.81%	68.27%
±2σ	-8.77%	8.95%	95.33%	95.45%
±3σ	-13.20%	13.38%	98.71%	99.73%

Descriptive Statistics

Mean	0.088%
Standard Error	0.126%
Median	0.149%
Mode	0.000%
Standard Deviation	4.430%
Sample Variance	19.625%
Kurtosis	11.12
Skewness	0.62
Range	68.742%
Minimum	-26.508%
Maximum	42.234%
Count	1243

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.964%	645	51.89%	1.538%
Negative	-3.034%	594	47.79%	-1.450%
Zero	0.000%	4	0.32%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	4.41%
20	1 Month	6.82%
60	1 Quarter	5.09%
250	1 Year	4.70%
750	3 Years	4.32%
1,250	5 Years	5.58%
2,500	10 Years	5.58%
5,000	20 Years	5.58%
12,500	50 Years	5.58%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.58. Further, an Excess Kurtosis of 13.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -4.45%	0	0.00%	0.00%
-4.45% to -2.01%	0	0.00%	0.00%
-2.01% to 0.43%	0	0.00%	0.00%
0.43% to 2.86%	230	18.49%	18.49%
2.86% to 5.30%	527	42.36%	60.85%
5.30% to 7.73%	291	23.39%	84.24%
7.73% to 10.17%	108	8.68%	92.93%
10.17% to 12.61%	43	3.46%	96.38%
12.61% to 15.04%	21	1.69%	98.07%
Greater than 15.04%	24	1.93%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.05%	8.55%	83.12%	68.27%
±2σ	-1.20%	11.79%	95.90%	95.45%
±3σ	-4.45%	15.04%	98.07%	99.73%

Descriptive Statistics

Mean	5.298%
Standard Error	0.092%
Median	4.385%
Mode	2.792%
Standard Deviation	3.248%
Sample Variance	10.549%
Kurtosis	13.18
Skewness	2.58
Range	36.336%
Minimum	1.258%
Maximum	37.594%
Count	1244

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.298%	1244	100.00%	5.298%
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 0.08. Further, an Excess Kurtosis of 2.68 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.71%	6	0.48%	0.48%
-10.71% to -8.04%	12	0.96%	1.45%
-8.04% to -5.37%	56	4.50%	5.95%
-5.37% to -2.69%	143	11.50%	17.44%
-2.69% to -0.02%	420	33.76%	51.21%
-0.02% to 2.65%	388	31.19%	82.40%
2.65% to 5.33%	148	11.90%	94.29%
5.33% to 8.00%	42	3.38%	97.67%
8.00% to 10.67%	18	1.45%	99.12%
Greater than 10.67%	11	0.88%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.58%	3.54%	75.72%	68.27%
±2σ	-7.15%	7.11%	93.97%	95.45%
±3σ	-10.71%	10.67%	98.63%	99.73%

Descriptive Statistics

Mean	-0.020%
Standard Error	0.101%
Median	-0.086%
Mode	0.000%
Standard Deviation	3.564%
Sample Variance	12.703%
Kurtosis	2.68
Skewness	0.08
Range	35.365%
Minimum	-18.300%
Maximum	17.065%
Count	1244

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.641%	602	48.39%	1.278%
Negative	-2.531%	638	51.29%	-1.298%
Zero	0.000%	4	0.32%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.40. Further, an Excess Kurtosis of 2.22 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -27.04%	1	0.39%	0.39%
-27.04% to -20.19%	3	1.16%	1.55%
-20.19% to -13.34%	14	5.43%	6.98%
-13.34% to -6.50%	31	12.02%	18.99%
-6.50% to 0.35%	78	30.23%	49.22%
0.35% to 7.20%	80	31.01%	80.23%
7.20% to 14.05%	40	15.50%	95.74%
14.05% to 20.89%	6	2.33%	98.06%
20.89% to 27.74%	2	0.78%	98.84%
Greater than 27.74%	3	1.16%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.78%	9.48%	74.42%	68.27%
±2σ	-17.91%	18.61%	94.19%	95.45%
±3σ	-27.04%	27.74%	98.45%	99.73%

Descriptive Statistics

Mean	0.352%
Standard Error	0.568%
Median	0.390%
Mode	-4.204%
Standard Deviation	9.130%
Sample Variance	83.351%
Kurtosis	2.22
Skewness	0.40
Range	67.563%
Minimum	-27.225%
Maximum	40.338%
Count	258

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.806%	136	52.71%	3.588%
Negative	-6.841%	122	47.29%	-3.235%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	16.52%
12	1 Quarter	12.86%
52	1 Year	11.54%
156	3 Years	10.41%
260	5 Years	13.23%
520	10 Years	13.23%
1,040	20 Years	13.23%
2,600	50 Years	13.23%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.97. Further, an Excess Kurtosis of 6.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.67%	0	0.00%	0.00%
-12.67% to -5.92%	0	0.00%	0.00%
-5.92% to 0.83%	0	0.00%	0.00%
0.83% to 7.58%	51	19.69%	19.69%
7.58% to 14.33%	114	44.02%	63.71%
14.33% to 21.07%	52	20.08%	83.78%
21.07% to 27.82%	20	7.72%	91.51%
27.82% to 34.57%	11	4.25%	95.75%
34.57% to 41.32%	8	3.09%	98.84%
Greater than 41.32%	3	1.16%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.33%	23.33%	79.15%	68.27%
±2σ	-3.67%	32.32%	95.37%	95.45%
±3σ	-12.67%	41.32%	98.84%	99.73%

Descriptive Statistics

Mean	14.326%
Standard Error	0.559%
Median	11.570%
Mode	8.311%
Standard Deviation	8.999%
Sample Variance	80.981%
Kurtosis	6.06
Skewness	1.97
Range	65.728%
Minimum	2.540%
Maximum	68.268%
Count	259

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.326%	259	100.00%	14.326%
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 0.71. Further, an Excess Kurtosis of 1.73 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -26.84%	0	0.00%	0.00%
-26.84% to -20.01%	4	1.54%	1.54%
-20.01% to -13.19%	5	1.93%	3.47%
-13.19% to -6.36%	45	17.37%	20.85%
-6.36% to 0.47%	87	33.59%	54.44%
0.47% to 7.29%	74	28.57%	83.01%
7.29% to 14.12%	26	10.04%	93.05%
14.12% to 20.94%	10	3.86%	96.91%
20.94% to 27.77%	4	1.54%	98.46%
Greater than 27.77%	4	1.54%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.63%	9.57%	74.52%	68.27%
±2σ	-17.74%	18.67%	94.98%	95.45%
±3σ	-26.84%	27.77%	98.46%	99.73%

Descriptive Statistics

Mean	0.467%
Standard Error	0.566%
Median	-0.666%
Mode	-7.829%
Standard Deviation	9.101%
Sample Variance	82.829%
Kurtosis	1.73
Skewness	0.71
Range	62.165%
Minimum	-23.267%
Maximum	38.898%
Count	259

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.736%	122	47.10%	3.644%
Negative	-6.005%	137	52.90%	-3.176%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.20. Further, an Excess Kurtosis of -0.33 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -53.47%	0	0.00%	0.00%
-53.47% to -39.71%	0	0.00%	0.00%
-39.71% to -25.95%	4	6.78%	6.78%
-25.95% to -12.19%	9	15.25%	22.03%
-12.19% to 1.57%	19	32.20%	54.24%
1.57% to 15.33%	12	20.34%	74.58%
15.33% to 29.09%	10	16.95%	91.53%
29.09% to 42.85%	4	6.78%	98.31%
42.85% to 56.60%	1	1.69%	100.00%
Greater than 56.60%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.77%	19.91%	66.10%	68.27%
±2σ	-35.12%	38.26%	96.61%	95.45%
±3σ	-53.46%	56.60%	100.00%	99.73%

Descriptive Statistics

Mean	1.570%
Standard Error	2.388%
Median	-2.316%
Mode	-36.157%
Standard Deviation	18.345%
Sample Variance	336.534%
Kurtosis	-0.33
Skewness	0.20
Range	86.240%
Minimum	-36.157%
Maximum	50.083%
Count	59

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.560%	28	47.46%	8.334%
Negative	-12.872%	31	52.54%	-6.763%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	26.13%
12	1 Year	25.84%
36	3 Years	23.39%
60	5 Years	28.68%
120	10 Years	28.68%
240	20 Years	28.68%
600	50 Years	28.68%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.46. Further, an Excess Kurtosis of 2.11 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -18.26%	0	0.00%	0.00%
-18.26% to -5.15%	0	0.00%	0.00%
-5.15% to 7.97%	0	0.00%	0.00%
7.97% to 21.08%	13	21.67%	21.67%
21.08% to 34.20%	24	40.00%	61.67%
34.20% to 47.31%	13	21.67%	83.33%
47.31% to 60.43%	5	8.33%	91.67%
60.43% to 73.54%	3	5.00%	96.67%
73.54% to 86.66%	1	1.67%	98.33%
Greater than 86.66%	1	1.67%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.71%	51.69%	78.33%	68.27%
±2σ	-0.78%	69.17%	93.33%	95.45%
±3σ	-18.26%	86.66%	98.33%	99.73%

Descriptive Statistics

Mean	34.198%
Standard Error	2.258%
Median	28.550%
Mode	11.541%
Standard Deviation	17.487%
Sample Variance	305.805%
Kurtosis	2.11
Skewness	1.46
Range	81.989%
Minimum	11.541%
Maximum	93.530%
Count	60

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	34.198%	60	100.00%	34.198%
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 0.80. Further, an Excess Kurtosis of 0.70 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -54.49%	0	0.00%	0.00%
-54.49% to -40.43%	0	0.00%	0.00%
-40.43% to -26.37%	1	1.67%	1.67%
-26.37% to -12.30%	14	23.33%	25.00%
-12.30% to 1.76%	16	26.67%	51.67%
1.76% to 15.83%	18	30.00%	81.67%
15.83% to 29.89%	7	11.67%	93.33%
29.89% to 43.96%	2	3.33%	96.67%
43.96% to 58.02%	2	3.33%	100.00%
Greater than 58.02%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.99%	20.52%	68.33%	68.27%
±2σ	-35.74%	39.27%	95.00%	95.45%
±3σ	-54.49%	58.02%	100.00%	99.73%

Descriptive Statistics

Mean	1.764%
Standard Error	2.421%
Median	1.168%
Mode	-33.426%
Standard Deviation	18.753%
Sample Variance	351.676%
Kurtosis	0.70
Skewness	0.80
Range	88.163%
Minimum	-33.426%
Maximum	54.737%
Count	60

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	15.839%	31	51.67%	8.184%
Negative	-13.282%	29	48.33%	-6.420%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.24. Further, an Excess Kurtosis of 3.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -97.26%	0	0.00%	0.00%
-97.26% to -71.97%	0	0.00%	0.00%
-71.97% to -46.67%	1	5.00%	5.00%
-46.67% to -21.37%	2	10.00%	15.00%
-21.37% to 3.93%	8	40.00%	55.00%
3.93% to 29.23%	6	30.00%	85.00%
29.23% to 54.53%	2	10.00%	95.00%
54.53% to 79.83%	0	0.00%	95.00%
79.83% to 105.12%	0	0.00%	95.00%
Greater than 105.12%	1	5.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-29.80%	37.66%	80.00%	68.27%
±2σ	-63.53%	71.39%	95.00%	95.45%
±3σ	-97.26%	105.12%	95.00%	99.73%

Descriptive Statistics

Mean	3.930%
Standard Error	7.543%
Median	-0.534%
Mode	-53.462%
Standard Deviation	33.731%
Sample Variance	1137.787%
Kurtosis	3.50
Skewness	1.24
Range	158.965%
Minimum	-53.462%
Maximum	105.503%
Count	20

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	27.319%	10	50.00%	13.660%
Negative	-19.458%	10	50.00%	-9.729%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	52.85%
12	3 Years	44.20%
20	5 Years	49.61%
40	10 Years	49.61%
80	20 Years	49.61%
200	50 Years	49.61%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.44. Further, an Excess Kurtosis of 1.22 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -52.72%	0	0.00%	0.00%
-52.72% to -23.16%	0	0.00%	0.00%
-23.16% to 6.40%	0	0.00%	0.00%
6.40% to 35.96%	3	14.29%	14.29%
35.96% to 65.52%	12	57.14%	71.43%
65.52% to 95.08%	2	9.52%	80.95%
95.08% to 124.64%	1	4.76%	85.71%
124.64% to 154.21%	2	9.52%	95.24%
154.21% to 183.77%	1	4.76%	100.00%
Greater than 183.77%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	26.11%	104.94%	80.95%	68.27%
±2σ	-13.31%	144.35%	90.48%	95.45%
±3σ	-52.72%	183.77%	100.00%	99.73%

Descriptive Statistics

Mean	65.521%
Standard Error	8.601%
Median	50.702%
Mode	27.485%
Standard Deviation	39.415%
Sample Variance	1553.568%
Kurtosis	1.22
Skewness	1.44
Range	136.546%
Minimum	27.485%
Maximum	164.031%
Count	21

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	65.521%	21	100.00%	65.521%
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 1.69. Further, an Excess Kurtosis of 4.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -103.06%	0	0.00%	0.00%
-103.06% to -76.08%	0	0.00%	0.00%
-76.08% to -49.10%	1	4.76%	4.76%
-49.10% to -22.12%	3	14.29%	19.05%
-22.12% to 4.86%	9	42.86%	61.90%
4.86% to 31.84%	6	28.57%	90.48%
31.84% to 58.82%	0	0.00%	90.48%
58.82% to 85.80%	1	4.76%	95.24%
85.80% to 112.77%	0	0.00%	95.24%
Greater than 112.77%	1	4.76%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.11%	40.83%	85.71%	68.27%
±2σ	-67.09%	76.80%	95.24%	95.45%
±3σ	-103.06%	112.77%	95.24%	99.73%

Descriptive Statistics

Mean	4.858%
Standard Error	7.850%
Median	-2.754%
Mode	-49.118%
Standard Deviation	35.972%
Sample Variance	1293.989%
Kurtosis	4.04
Skewness	1.69
Range	165.464%
Minimum	-49.118%
Maximum	116.346%
Count	21

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	30.269%	10	47.62%	14.414%
Negative	-18.243%	11	52.38%	-9.556%
Zero	0.000%	0	0.00%	0.000%

RBLX Deep Analytical Report