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	4.42%	3.23%	3.56%	5.54%	4.85%	4.90%	53.40	58.84	50.88	61.76
Weekly	9.10%	8.94%	9.06%	13.21%	10.67%	10.78%	50.38	62.37	45.28	69.39
Monthly	18.34%	17.36%	18.70%	28.58%	22.21%	22.44%	44.89	70.00	35.95	87.40
Quarterly	33.91%	38.94%	36.09%	49.98%	38.47%	38.87%	38.16	82.35	25.97	120.99
Annual	—	—	—	—	76.94%	77.73%	25.97	120.99	12.03	261.14
Option Time Horizon	—	—	—	—	29.04%	29.34%	41.93	74.94	31.36	100.19

Calculation Notes: Computed at 2026-03-23T16:42 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $56.06 | Strike (K): $60.00 (first OTM call ≥ spot) | Observed Mid-Price: $5.1000 (Bid $4.7500 / Ask $5.4500) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 76.94% (CRR binomial tree, American, n=20 steps) | BS IV: 77.87% (European Black-Scholes) | Yahoo IV (Annual): 77.73% → 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 11.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -13.16%	7	0.55%	0.55%
-13.16% to -9.85%	14	1.11%	1.66%
-9.85% to -6.54%	36	2.85%	4.51%
-6.54% to -3.23%	154	12.18%	16.69%
-3.23% to 0.08%	409	32.36%	49.05%
0.08% to 3.39%	452	35.76%	84.81%
3.39% to 6.70%	133	10.52%	95.33%
6.70% to 10.01%	38	3.01%	98.34%
10.01% to 13.32%	12	0.95%	99.29%
Greater than 13.32%	9	0.71%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.33%	4.50%	79.67%	68.27%
±2σ	-8.75%	8.91%	95.25%	95.45%
±3σ	-13.17%	13.33%	98.73%	99.73%

Descriptive Statistics

Mean	0.080%
Standard Error	0.124%
Median	0.145%
Mode	0.000%
Standard Deviation	4.415%
Sample Variance	19.493%
Kurtosis	11.10
Skewness	0.62
Range	68.742%
Minimum	-26.508%
Maximum	42.234%
Count	1264

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.959%	654	51.74%	1.531%
Negative	-3.026%	606	47.94%	-1.451%
Zero	0.000%	4	0.32%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	4.71%
20	1 Month	5.45%
60	1 Quarter	5.70%
250	1 Year	4.70%
750	3 Years	4.33%
1,250	5 Years	5.54%
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 13.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -4.39%	0	0.00%	0.00%
-4.39% to -1.97%	0	0.00%	0.00%
-1.97% to 0.45%	0	0.00%	0.00%
0.45% to 2.88%	237	18.74%	18.74%
2.88% to 5.30%	533	42.13%	60.87%
5.30% to 7.72%	297	23.48%	84.35%
7.72% to 10.14%	108	8.54%	92.89%
10.14% to 12.57%	45	3.56%	96.44%
12.57% to 14.99%	21	1.66%	98.10%
Greater than 14.99%	24	1.90%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.07%	8.53%	82.92%	68.27%
±2σ	-1.16%	11.76%	95.89%	95.45%
±3σ	-4.39%	14.99%	98.10%	99.73%

Descriptive Statistics

Mean	5.299%
Standard Error	0.091%
Median	4.420%
Mode	2.792%
Standard Deviation	3.230%
Sample Variance	10.436%
Kurtosis	13.27
Skewness	2.58
Range	36.336%
Minimum	1.258%
Maximum	37.594%
Count	1265

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.299%	1265	100.00%	5.299%
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 2.65 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	0.47%	0.47%
-10.71% to -8.04%	12	0.95%	1.42%
-8.04% to -5.37%	57	4.51%	5.93%
-5.37% to -2.70%	146	11.54%	17.47%
-2.70% to -0.03%	424	33.52%	50.99%
-0.03% to 2.65%	399	31.54%	82.53%
2.65% to 5.32%	147	11.62%	94.15%
5.32% to 7.99%	44	3.48%	97.63%
7.99% to 10.66%	19	1.50%	99.13%
Greater than 10.66%	11	0.87%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.59%	3.54%	75.73%	68.27%
±2σ	-7.15%	7.10%	93.91%	95.45%
±3σ	-10.71%	10.66%	98.66%	99.73%

Descriptive Statistics

Mean	-0.025%
Standard Error	0.100%
Median	-0.087%
Mode	0.000%
Standard Deviation	3.562%
Sample Variance	12.685%
Kurtosis	2.65
Skewness	0.08
Range	35.365%
Minimum	-18.300%
Maximum	17.065%
Count	1265

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.637%	612	48.38%	1.276%
Negative	-2.535%	649	51.30%	-1.301%
Zero	0.000%	4	0.32%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.41. Further, an Excess Kurtosis of 2.23 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -26.97%	1	0.38%	0.38%
-26.97% to -20.15%	3	1.15%	1.53%
-20.15% to -13.33%	14	5.34%	6.87%
-13.33% to -6.51%	32	12.21%	19.08%
-6.51% to 0.32%	80	30.53%	49.62%
0.32% to 7.14%	80	30.53%	80.15%
7.14% to 13.96%	41	15.65%	95.80%
13.96% to 20.78%	6	2.29%	98.09%
20.78% to 27.60%	2	0.76%	98.85%
Greater than 27.60%	3	1.15%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.78%	9.41%	74.81%	68.27%
±2σ	-17.88%	18.51%	94.27%	95.45%
±3σ	-26.97%	27.60%	98.47%	99.73%

Descriptive Statistics

Mean	0.315%
Standard Error	0.562%
Median	0.372%
Mode	-4.204%
Standard Deviation	9.095%
Sample Variance	82.722%
Kurtosis	2.23
Skewness	0.41
Range	67.563%
Minimum	-27.225%
Maximum	40.338%
Count	262

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.814%	137	52.29%	3.563%
Negative	-6.809%	125	47.71%	-3.249%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	13.09%
12	1 Quarter	14.53%
52	1 Year	11.53%
156	3 Years	10.46%
260	5 Years	13.21%
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 1.99. Further, an Excess Kurtosis of 6.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.48%	0	0.00%	0.00%
-12.48% to -5.78%	0	0.00%	0.00%
-5.78% to 0.92%	0	0.00%	0.00%
0.92% to 7.62%	51	19.39%	19.39%
7.62% to 14.32%	116	44.11%	63.50%
14.32% to 21.02%	53	20.15%	83.65%
21.02% to 27.73%	20	7.60%	91.25%
27.73% to 34.43%	12	4.56%	95.82%
34.43% to 41.13%	8	3.04%	98.86%
Greater than 41.13%	3	1.14%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.39%	23.26%	79.47%	68.27%
±2σ	-3.55%	32.19%	95.44%	95.45%
±3σ	-12.48%	41.13%	98.86%	99.73%

Descriptive Statistics

Mean	14.324%
Standard Error	0.551%
Median	11.638%
Mode	8.311%
Standard Deviation	8.935%
Sample Variance	79.836%
Kurtosis	6.18
Skewness	1.99
Range	65.728%
Minimum	2.540%
Maximum	68.268%
Count	263

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.324%	263	100.00%	14.324%
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 0.70. Further, an Excess Kurtosis of 1.74 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -26.70%	0	0.00%	0.00%
-26.70% to -19.91%	4	1.52%	1.52%
-19.91% to -13.11%	5	1.90%	3.42%
-13.11% to -6.31%	47	17.87%	21.29%
-6.31% to 0.48%	86	32.70%	53.99%
0.48% to 7.28%	76	28.90%	82.89%
7.28% to 14.07%	27	10.27%	93.16%
14.07% to 20.87%	10	3.80%	96.96%
20.87% to 27.66%	4	1.52%	98.48%
Greater than 27.66%	4	1.52%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.58%	9.54%	74.52%	68.27%
±2σ	-17.64%	18.60%	95.06%	95.45%
±3σ	-26.70%	27.66%	98.48%	99.73%

Descriptive Statistics

Mean	0.482%
Standard Error	0.559%
Median	-0.625%
Mode	-7.829%
Standard Deviation	9.061%
Sample Variance	82.106%
Kurtosis	1.74
Skewness	0.70
Range	62.165%
Minimum	-23.267%
Maximum	38.898%
Count	263

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.662%	125	47.53%	3.642%
Negative	-6.022%	138	52.47%	-3.160%
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 -0.35 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -53.60%	0	0.00%	0.00%
-53.60% to -39.84%	0	0.00%	0.00%
-39.84% to -26.09%	4	6.67%	6.67%
-26.09% to -12.34%	10	16.67%	23.33%
-12.34% to 1.42%	18	30.00%	53.33%
1.42% to 15.17%	13	21.67%	75.00%
15.17% to 28.93%	10	16.67%	91.67%
28.93% to 42.68%	4	6.67%	98.33%
42.68% to 56.44%	1	1.67%	100.00%
Greater than 56.44%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.92%	19.76%	65.00%	68.27%
±2σ	-35.26%	38.10%	96.67%	95.45%
±3σ	-53.60%	56.44%	100.00%	99.73%

Descriptive Statistics

Mean	1.419%
Standard Error	2.367%
Median	-1.924%
Mode	-36.157%
Standard Deviation	18.339%
Sample Variance	336.301%
Kurtosis	-0.35
Skewness	0.20
Range	86.240%
Minimum	-36.157%
Maximum	50.083%
Count	60

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.106%	29	48.33%	8.268%
Negative	-13.257%	31	51.67%	-6.849%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	26.65%
12	1 Year	26.06%
36	3 Years	23.36%
60	5 Years	28.58%
120	10 Years	28.58%
240	20 Years	28.58%
600	50 Years	28.58%

High-to-Low 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 2.21 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -18.00%	0	0.00%	0.00%
-18.00% to -4.98%	0	0.00%	0.00%
-4.98% to 8.04%	0	0.00%	0.00%
8.04% to 21.07%	13	21.31%	21.31%
21.07% to 34.09%	25	40.98%	62.30%
34.09% to 47.11%	13	21.31%	83.61%
47.11% to 60.13%	5	8.20%	91.80%
60.13% to 73.16%	3	4.92%	96.72%
73.16% to 86.18%	1	1.64%	98.36%
Greater than 86.18%	1	1.64%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.73%	51.45%	78.69%	68.27%
±2σ	-0.64%	68.81%	93.44%	95.45%
±3σ	-18.00%	86.18%	98.36%	99.73%

Descriptive Statistics

Mean	34.088%
Standard Error	2.223%
Median	28.275%
Mode	11.541%
Standard Deviation	17.363%
Sample Variance	301.457%
Kurtosis	2.21
Skewness	1.49
Range	81.989%
Minimum	11.541%
Maximum	93.530%
Count	61

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	34.088%	61	100.00%	34.088%
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 0.79. Further, an Excess Kurtosis of 0.67 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -54.24%	0	0.00%	0.00%
-54.24% to -40.22%	0	0.00%	0.00%
-40.22% to -26.20%	1	1.64%	1.64%
-26.20% to -12.17%	14	22.95%	24.59%
-12.17% to 1.85%	17	27.87%	52.46%
1.85% to 15.88%	17	27.87%	80.33%
15.88% to 29.90%	8	13.11%	93.44%
29.90% to 43.92%	2	3.28%	96.72%
43.92% to 57.95%	2	3.28%	100.00%
Greater than 57.95%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.85%	20.55%	68.85%	68.27%
±2σ	-35.54%	39.25%	95.08%	95.45%
±3σ	-54.24%	57.95%	100.00%	99.73%

Descriptive Statistics

Mean	1.852%
Standard Error	2.394%
Median	1.136%
Mode	-33.426%
Standard Deviation	18.698%
Sample Variance	349.608%
Kurtosis	0.67
Skewness	0.79
Range	88.163%
Minimum	-33.426%
Maximum	54.737%
Count	61

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	16.146%	31	50.82%	8.205%
Negative	-12.919%	30	49.18%	-6.354%
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 1.25. Further, an Excess Kurtosis of 3.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -98.20%	0	0.00%	0.00%
-98.20% to -72.78%	0	0.00%	0.00%
-72.78% to -47.34%	1	5.00%	5.00%
-47.34% to -21.91%	1	5.00%	10.00%
-21.91% to 3.52%	9	45.00%	55.00%
3.52% to 28.95%	6	30.00%	85.00%
28.95% to 54.38%	2	10.00%	95.00%
54.38% to 79.81%	0	0.00%	95.00%
79.81% to 105.24%	0	0.00%	95.00%
Greater than 105.24%	1	5.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.39%	37.42%	80.00%	68.27%
±2σ	-64.30%	71.33%	95.00%	95.45%
±3σ	-98.20%	105.24%	95.00%	99.73%

Descriptive Statistics

Mean	3.516%
Standard Error	7.582%
Median	-0.534%
Mode	-53.462%
Standard Deviation	33.907%
Sample Variance	1149.651%
Kurtosis	3.44
Skewness	1.25
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	-20.288%	10	50.00%	-10.144%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	54.68%
12	3 Years	44.81%
20	5 Years	49.98%
40	10 Years	49.98%
80	20 Years	49.98%
200	50 Years	49.98%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.48. Further, an Excess Kurtosis of 1.31 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -50.77%	0	0.00%	0.00%
-50.77% to -21.56%	0	0.00%	0.00%
-21.56% to 7.65%	0	0.00%	0.00%
7.65% to 36.85%	2	9.52%	9.52%
36.85% to 66.06%	13	61.90%	71.43%
66.06% to 95.27%	2	9.52%	80.95%
95.27% to 124.48%	1	4.76%	85.71%
124.48% to 153.68%	2	9.52%	95.24%
153.68% to 182.89%	1	4.76%	100.00%
Greater than 182.89%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	27.12%	105.00%	80.95%	68.27%
±2σ	-11.82%	143.95%	90.48%	95.45%
±3σ	-50.77%	182.89%	100.00%	99.73%

Descriptive Statistics

Mean	66.062%
Standard Error	8.498%
Median	50.702%
Mode	27.698%
Standard Deviation	38.943%
Sample Variance	1516.540%
Kurtosis	1.31
Skewness	1.48
Range	136.333%
Minimum	27.698%
Maximum	164.031%
Count	21

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	66.062%	21	100.00%	66.062%
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 1.63. Further, an Excess Kurtosis of 3.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -102.92%	0	0.00%	0.00%
-102.92% to -75.85%	0	0.00%	0.00%
-75.85% to -48.78%	1	4.76%	4.76%
-48.78% to -21.71%	3	14.29%	19.05%
-21.71% to 5.36%	9	42.86%	61.90%
5.36% to 32.42%	6	28.57%	90.48%
32.42% to 59.49%	0	0.00%	90.48%
59.49% to 86.56%	1	4.76%	95.24%
86.56% to 113.63%	0	0.00%	95.24%
Greater than 113.63%	1	4.76%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.74%	41.45%	85.71%	68.27%
±2σ	-66.83%	77.54%	95.24%	95.45%
±3σ	-102.92%	113.63%	95.24%	99.73%

Descriptive Statistics

Mean	5.355%
Standard Error	7.876%
Median	-2.754%
Mode	-49.118%
Standard Deviation	36.091%
Sample Variance	1302.544%
Kurtosis	3.83
Skewness	1.63
Range	165.464%
Minimum	-49.118%
Maximum	116.346%
Count	21

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	31.312%	10	47.62%	14.910%
Negative	-18.243%	11	52.38%	-9.556%
Zero	0.000%	0	0.00%	0.000%

RBLX Deep Analytical Report