RIVN - 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	4.96%	3.28%	4.06%	6.82%	3.90%	4.00%	14.69	15.88	14.12	16.51
Weekly	10.86%	10.73%	11.51%	16.00%	8.58%	8.80%	14.01	16.64	12.86	18.13
Monthly	21.22%	21.21%	23.58%	32.64%	17.86%	18.32%	12.77	18.26	10.68	21.83
Quarterly	45.08%	53.98%	49.15%	58.25%	30.94%	31.74%	11.21	20.81	8.22	28.35
Annual	—	—	—	—	61.88%	63.48%	8.22	28.35	4.43	52.64
Option Time Horizon	—	—	—	—	23.80%	24.42%	12.04	19.37	9.49	24.58

Calculation Notes: Computed at 2026-02-22T14:24 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $15.27 | Strike (K): $16.00 (first OTM call ≥ spot) | Observed Mid-Price: $1.1950 (Bid $1.1600 / Ask $1.2300) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 61.88% (CRR binomial tree, American, n=20 steps) | BS IV: 62.61% (European Black-Scholes) | Yahoo IV (Annual): 63.48% → 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 Fairly Symmetrical with a Skewness factor of 0.48. Further, an Excess Kurtosis of 4.22 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -14.95%	6	0.56%	0.56%
-14.95% to -11.22%	7	0.65%	1.21%
-11.22% to -7.50%	34	3.17%	4.38%
-7.50% to -3.78%	145	13.53%	17.91%
-3.78% to -0.05%	374	34.89%	52.80%
-0.05% to 3.67%	326	30.41%	83.21%
3.67% to 7.39%	117	10.91%	94.12%
7.39% to 11.12%	39	3.64%	97.76%
11.12% to 14.84%	11	1.03%	98.79%
Greater than 14.84%	13	1.21%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.02%	4.91%	76.59%	68.27%
±2σ	-9.98%	9.87%	94.96%	95.45%
±3σ	-14.95%	14.84%	98.23%	99.73%

Descriptive Statistics

Mean	-0.054%
Standard Error	0.152%
Median	-0.302%
Mode	0.000%
Standard Deviation	4.964%
Sample Variance	24.639%
Kurtosis	4.22
Skewness	0.48
Range	52.244%
Minimum	-25.601%
Maximum	26.643%
Count	1072

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.728%	499	46.55%	1.735%
Negative	-3.376%	568	52.98%	-1.789%
Zero	0.000%	5	0.47%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	9.94%
20	1 Month	6.12%
60	1 Quarter	6.07%
250	1 Year	5.59%
750	3 Years	6.14%
1,250	5 Years	6.82%
2,500	10 Years	6.82%
5,000	20 Years	6.82%
12,500	50 Years	6.82%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.61. Further, an Excess Kurtosis of 3.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.23%	0	0.00%	0.00%
-3.23% to -0.78%	0	0.00%	0.00%
-0.78% to 1.68%	0	0.00%	0.00%
1.68% to 4.14%	237	22.09%	22.09%
4.14% to 6.60%	423	39.42%	61.51%
6.60% to 9.06%	215	20.04%	81.55%
9.06% to 11.52%	117	10.90%	92.45%
11.52% to 13.97%	42	3.91%	96.37%
13.97% to 16.43%	21	1.96%	98.32%
Greater than 16.43%	18	1.68%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.32%	9.88%	76.79%	68.27%
±2σ	0.04%	13.16%	95.43%	95.45%
±3σ	-3.23%	16.43%	98.32%	99.73%

Descriptive Statistics

Mean	6.599%
Standard Error	0.100%
Median	5.821%
Mode	6.462%
Standard Deviation	3.278%
Sample Variance	10.747%
Kurtosis	3.82
Skewness	1.61
Range	23.703%
Minimum	1.780%
Maximum	25.483%
Count	1073

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.599%	1073	100.00%	6.599%
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 0.15. Further, an Excess Kurtosis of 1.23 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -11.98%	5	0.47%	0.47%
-11.98% to -8.94%	12	1.12%	1.58%
-8.94% to -5.90%	55	5.13%	6.71%
-5.90% to -2.85%	146	13.61%	20.32%
-2.85% to 0.19%	332	30.94%	51.26%
0.19% to 3.23%	324	30.20%	81.45%
3.23% to 6.28%	125	11.65%	93.10%
6.28% to 9.32%	51	4.75%	97.86%
9.32% to 12.36%	18	1.68%	99.53%
Greater than 12.36%	5	0.47%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.87%	4.25%	73.16%	68.27%
±2σ	-7.92%	8.30%	93.94%	95.45%
±3σ	-11.98%	12.36%	99.07%	99.73%

Descriptive Statistics

Mean	0.190%
Standard Error	0.124%
Median	0.094%
Mode	0.000%
Standard Deviation	4.057%
Sample Variance	16.463%
Kurtosis	1.23
Skewness	0.15
Range	31.844%
Minimum	-15.646%
Maximum	16.198%
Count	1073

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.140%	549	51.16%	1.607%
Negative	-2.963%	513	47.81%	-1.417%
Zero	0.000%	11	1.02%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.23. Further, an Excess Kurtosis of 1.80 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -32.99%	2	0.90%	0.90%
-32.99% to -24.85%	1	0.45%	1.35%
-24.85% to -16.71%	8	3.59%	4.93%
-16.71% to -8.57%	36	16.14%	21.08%
-8.57% to -0.42%	66	29.60%	50.67%
-0.42% to 7.72%	67	30.04%	80.72%
7.72% to 15.86%	29	13.00%	93.72%
15.86% to 24.00%	9	4.04%	97.76%
24.00% to 32.15%	4	1.79%	99.55%
Greater than 32.15%	1	0.45%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.28%	10.43%	75.34%	68.27%
±2σ	-22.14%	21.29%	95.07%	95.45%
±3σ	-32.99%	32.15%	98.65%	99.73%

Descriptive Statistics

Mean	-0.423%
Standard Error	0.727%
Median	-0.799%
Mode	-37.197%
Standard Deviation	10.857%
Sample Variance	117.881%
Kurtosis	1.80
Skewness	0.23
Range	82.625%
Minimum	-37.197%
Maximum	45.428%
Count	223

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.126%	107	47.98%	3.899%
Negative	-8.382%	115	51.57%	-4.323%
Zero	0.000%	1	0.45%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	16.39%
12	1 Quarter	14.56%
52	1 Year	12.81%
156	3 Years	14.64%
260	5 Years	16.00%
520	10 Years	16.00%
1,040	20 Years	16.00%
2,600	50 Years	16.00%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.96. Further, an Excess Kurtosis of 4.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -14.33%	0	0.00%	0.00%
-14.33% to -6.28%	0	0.00%	0.00%
-6.28% to 1.76%	0	0.00%	0.00%
1.76% to 9.81%	46	20.54%	20.54%
9.81% to 17.86%	99	44.20%	64.73%
17.86% to 25.90%	45	20.09%	84.82%
25.90% to 33.95%	16	7.14%	91.96%
33.95% to 42.00%	9	4.02%	95.98%
42.00% to 50.04%	4	1.79%	97.77%
Greater than 50.04%	5	2.23%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.13%	28.59%	83.93%	68.27%
±2σ	-3.60%	39.31%	95.54%	95.45%
±3σ	-14.33%	50.04%	97.77%	99.73%

Descriptive Statistics

Mean	17.856%
Standard Error	0.717%
Median	15.299%
Mode	15.280%
Standard Deviation	10.729%
Sample Variance	115.103%
Kurtosis	4.88
Skewness	1.96
Range	62.432%
Minimum	5.438%
Maximum	67.870%
Count	224

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.856%	224	100.00%	17.856%
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 0.91. Further, an Excess Kurtosis of 3.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -32.95%	0	0.00%	0.00%
-32.95% to -24.31%	2	0.89%	0.89%
-24.31% to -15.68%	9	4.02%	4.91%
-15.68% to -7.04%	38	16.96%	21.88%
-7.04% to 1.59%	67	29.91%	51.79%
1.59% to 10.23%	63	28.12%	79.91%
10.23% to 18.86%	34	15.18%	95.09%
18.86% to 27.50%	6	2.68%	97.77%
27.50% to 36.14%	1	0.45%	98.21%
Greater than 36.14%	4	1.79%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.92%	13.11%	76.79%	68.27%
±2σ	-21.43%	24.62%	96.43%	95.45%
±3σ	-32.95%	36.14%	98.21%	99.73%

Descriptive Statistics

Mean	1.594%
Standard Error	0.769%
Median	0.942%
Mode	-3.982%
Standard Deviation	11.514%
Sample Variance	132.571%
Kurtosis	3.34
Skewness	0.91
Range	84.064%
Minimum	-29.857%
Maximum	54.207%
Count	224

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.372%	120	53.57%	5.021%
Negative	-7.380%	104	46.43%	-3.426%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.46. Further, an Excess Kurtosis of 0.99 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -65.37%	0	0.00%	0.00%
-65.37% to -49.46%	0	0.00%	0.00%
-49.46% to -33.54%	4	7.84%	7.84%
-33.54% to -17.63%	9	17.65%	25.49%
-17.63% to -1.71%	12	23.53%	49.02%
-1.71% to 14.21%	16	31.37%	80.39%
14.21% to 30.12%	7	13.73%	94.12%
30.12% to 46.04%	2	3.92%	98.04%
46.04% to 61.95%	0	0.00%	98.04%
Greater than 61.95%	1	1.96%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.93%	19.51%	68.63%	68.27%
±2σ	-44.15%	40.73%	98.04%	95.45%
±3σ	-65.37%	61.95%	98.04%	99.73%

Descriptive Statistics

Mean	-1.710%
Standard Error	2.971%
Median	-0.515%
Mode	-42.478%
Standard Deviation	21.221%
Sample Variance	450.313%
Kurtosis	0.99
Skewness	0.46
Range	108.384%
Minimum	-42.478%
Maximum	65.906%
Count	51

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.931%	25	49.02%	7.319%
Negative	-17.711%	26	50.98%	-9.029%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	36.00%
12	1 Year	27.23%
36	3 Years	31.24%
60	5 Years	32.64%
120	10 Years	32.64%
240	20 Years	32.64%
600	50 Years	32.64%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.57. Further, an Excess Kurtosis of 2.46 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -21.79%	0	0.00%	0.00%
-21.79% to -5.88%	0	0.00%	0.00%
-5.88% to 10.03%	0	0.00%	0.00%
10.03% to 25.94%	7	13.46%	13.46%
25.94% to 41.85%	27	51.92%	65.38%
41.85% to 57.76%	9	17.31%	82.69%
57.76% to 73.67%	4	7.69%	90.38%
73.67% to 89.58%	3	5.77%	96.15%
89.58% to 105.49%	1	1.92%	98.08%
Greater than 105.49%	1	1.92%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	20.64%	63.06%	78.85%	68.27%
±2σ	-0.58%	84.28%	92.31%	95.45%
±3σ	-21.79%	105.49%	98.08%	99.73%

Descriptive Statistics

Mean	41.850%
Standard Error	2.942%
Median	35.656%
Mode	11.614%
Standard Deviation	21.214%
Sample Variance	450.042%
Kurtosis	2.46
Skewness	1.57
Range	101.986%
Minimum	11.614%
Maximum	113.600%
Count	52

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	41.850%	52	100.00%	41.850%
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 0.97 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -64.86%	0	0.00%	0.00%
-64.86% to -47.18%	0	0.00%	0.00%
-47.18% to -29.49%	1	1.92%	1.92%
-29.49% to -11.81%	10	19.23%	21.15%
-11.81% to 5.88%	21	40.38%	61.54%
5.88% to 23.56%	11	21.15%	82.69%
23.56% to 41.25%	4	7.69%	90.38%
41.25% to 58.93%	2	3.85%	94.23%
58.93% to 76.62%	3	5.77%	100.00%
Greater than 76.62%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.70%	29.46%	73.08%	68.27%
±2σ	-41.28%	53.04%	94.23%	95.45%
±3σ	-64.86%	76.62%	100.00%	99.73%

Descriptive Statistics

Mean	5.876%
Standard Error	3.270%
Median	0.311%
Mode	-35.456%
Standard Deviation	23.580%
Sample Variance	556.030%
Kurtosis	0.97
Skewness	1.02
Range	108.896%
Minimum	-35.456%
Maximum	73.440%
Count	52

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	23.357%	26	50.00%	11.678%
Negative	-11.605%	26	50.00%	-5.802%
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 1.30. Further, an Excess Kurtosis of 1.89 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -135.19%	0	0.00%	0.00%
-135.19% to -101.38%	0	0.00%	0.00%
-101.38% to -67.57%	0	0.00%	0.00%
-67.57% to -33.77%	6	35.29%	35.29%
-33.77% to 0.04%	2	11.76%	47.06%
0.04% to 33.84%	7	41.18%	88.24%
33.84% to 67.65%	0	0.00%	88.24%
67.65% to 101.46%	1	5.88%	94.12%
101.46% to 135.26%	1	5.88%	100.00%
Greater than 135.26%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-45.04%	45.11%	82.35%	68.27%
±2σ	-90.11%	90.19%	94.12%	95.45%
±3σ	-135.19%	135.26%	100.00%	99.73%

Descriptive Statistics

Mean	0.039%
Standard Error	10.932%
Median	1.953%
Mode	-54.001%
Standard Deviation	45.075%
Sample Variance	2031.745%
Kurtosis	1.89
Skewness	1.30
Range	169.602%
Minimum	-54.001%
Maximum	115.601%
Count	17

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	29.571%	9	52.94%	15.655%
Negative	-33.184%	8	47.06%	-15.616%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	45.89%
12	3 Years	60.51%
20	5 Years	58.25%
40	10 Years	58.25%
80	20 Years	58.25%
200	50 Years	58.25%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.85. Further, an Excess Kurtosis of 4.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -71.12%	0	0.00%	0.00%
-71.12% to -30.64%	0	0.00%	0.00%
-30.64% to 9.84%	0	0.00%	0.00%
9.84% to 50.33%	5	27.78%	27.78%
50.33% to 90.81%	7	38.89%	66.67%
90.81% to 131.29%	3	16.67%	83.33%
131.29% to 171.78%	2	11.11%	94.44%
171.78% to 212.26%	0	0.00%	94.44%
212.26% to 252.74%	0	0.00%	94.44%
Greater than 252.74%	1	5.56%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	36.83%	144.79%	88.89%	68.27%
±2σ	-17.15%	198.76%	94.44%	95.45%
±3σ	-71.12%	252.74%	94.44%	99.73%

Descriptive Statistics

Mean	90.809%
Standard Error	12.723%
Median	81.936%
Mode	36.082%
Standard Deviation	53.978%
Sample Variance	2913.646%
Kurtosis	4.75
Skewness	1.85
Range	222.858%
Minimum	36.082%
Maximum	258.940%
Count	18

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	90.809%	18	100.00%	90.809%
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 0.46. 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 -126.52%	0	0.00%	0.00%
-126.52% to -89.66%	0	0.00%	0.00%
-89.66% to -52.79%	1	5.56%	5.56%
-52.79% to -15.93%	2	11.11%	16.67%
-15.93% to 20.94%	8	44.44%	61.11%
20.94% to 57.80%	1	5.56%	66.67%
57.80% to 94.67%	5	27.78%	94.44%
94.67% to 131.54%	1	5.56%	100.00%
131.54% to 168.40%	0	0.00%	100.00%
Greater than 168.40%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-28.22%	70.09%	72.22%	68.27%
±2σ	-77.37%	119.25%	94.44%	95.45%
±3σ	-126.52%	168.40%	100.00%	99.73%

Descriptive Statistics

Mean	20.939%
Standard Error	11.586%
Median	2.112%
Mode	-53.672%
Standard Deviation	49.154%
Sample Variance	2416.075%
Kurtosis	-0.70
Skewness	0.46
Range	176.159%
Minimum	-53.672%
Maximum	122.487%
Count	18

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	60.075%	9	50.00%	30.038%
Negative	-18.196%	9	50.00%	-9.098%
Zero	0.000%	0	0.00%	0.000%

RIVN Deep Analytical Report