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	4.94%	3.26%	4.04%	6.80%	4.60%	4.60%	15.04	16.49	14.36	17.26
Weekly	10.78%	10.67%	11.45%	15.94%	10.13%	10.14%	14.23	17.42	12.86	19.28
Monthly	21.02%	21.21%	23.40%	32.40%	21.09%	21.10%	12.75	19.44	10.33	24.01
Quarterly	45.10%	53.98%	49.26%	58.25%	36.53%	36.55%	10.93	22.69	7.58	32.69
Annual	—	—	—	—	73.06%	73.10%	7.58	32.69	3.65	67.88
Option Time Horizon	—	—	—	—	27.58%	27.59%	11.95	20.74	9.07	27.33

Calculation Notes: Computed at 2026-03-23T16:41 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $15.74 | Strike (K): $16.00 (first OTM call ≥ spot) | Observed Mid-Price: $1.6500 (Bid $1.5800 / Ask $1.7200) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 73.06% (CRR binomial tree, American, n=20 steps) | BS IV: 72.97% (European Black-Scholes) | Yahoo IV (Annual): 73.10% → 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 0.47. Further, an Excess Kurtosis of 4.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -14.87%	6	0.55%	0.55%
-14.87% to -11.16%	7	0.64%	1.19%
-11.16% to -7.46%	36	3.29%	4.48%
-7.46% to -3.75%	145	13.27%	17.75%
-3.75% to -0.05%	380	34.77%	52.52%
-0.05% to 3.66%	336	30.74%	83.26%
3.66% to 7.36%	120	10.98%	94.24%
7.36% to 11.07%	39	3.57%	97.80%
11.07% to 14.77%	11	1.01%	98.81%
Greater than 14.77%	13	1.19%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.99%	4.89%	76.67%	68.27%
±2σ	-9.93%	9.83%	95.06%	95.45%
±3σ	-14.87%	14.77%	98.26%	99.73%

Descriptive Statistics

Mean	-0.048%
Standard Error	0.149%
Median	-0.296%
Mode	0.000%
Standard Deviation	4.940%
Sample Variance	24.402%
Kurtosis	4.23
Skewness	0.47
Range	52.244%
Minimum	-25.601%
Maximum	26.643%
Count	1093

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.696%	512	46.84%	1.731%
Negative	-3.377%	576	52.70%	-1.780%
Zero	0.000%	5	0.46%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	7.11%
20	1 Month	5.81%
60	1 Quarter	5.71%
250	1 Year	5.57%
750	3 Years	6.10%
1,250	5 Years	6.80%
2,500	10 Years	6.80%
5,000	20 Years	6.80%
12,500	50 Years	6.80%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.62. Further, an Excess Kurtosis of 3.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.21%	0	0.00%	0.00%
-3.21% to -0.76%	0	0.00%	0.00%
-0.76% to 1.69%	0	0.00%	0.00%
1.69% to 4.13%	240	21.94%	21.94%
4.13% to 6.58%	431	39.40%	61.33%
6.58% to 9.02%	219	20.02%	81.35%
9.02% to 11.47%	121	11.06%	92.41%
11.47% to 13.92%	44	4.02%	96.44%
13.92% to 16.36%	21	1.92%	98.35%
Greater than 16.36%	18	1.65%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.32%	9.84%	77.06%	68.27%
±2σ	0.05%	13.10%	95.52%	95.45%
±3σ	-3.21%	16.36%	98.35%	99.73%

Descriptive Statistics

Mean	6.578%
Standard Error	0.099%
Median	5.803%
Mode	6.462%
Standard Deviation	3.262%
Sample Variance	10.640%
Kurtosis	3.87
Skewness	1.62
Range	23.703%
Minimum	1.780%
Maximum	25.483%
Count	1094

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.578%	1094	100.00%	6.578%
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 0.16. 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 -11.95%	5	0.46%	0.46%
-11.95% to -8.91%	13	1.19%	1.65%
-8.91% to -5.88%	54	4.94%	6.58%
-5.88% to -2.85%	151	13.80%	20.38%
-2.85% to 0.18%	339	30.99%	51.37%
0.18% to 3.22%	329	30.07%	81.44%
3.22% to 6.25%	126	11.52%	92.96%
6.25% to 9.28%	53	4.84%	97.81%
9.28% to 12.32%	19	1.74%	99.54%
Greater than 12.32%	5	0.46%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.86%	4.23%	73.31%	68.27%
±2σ	-7.90%	8.27%	93.97%	95.45%
±3σ	-11.95%	12.32%	99.09%	99.73%

Descriptive Statistics

Mean	0.185%
Standard Error	0.122%
Median	0.090%
Mode	0.000%
Standard Deviation	4.044%
Sample Variance	16.355%
Kurtosis	1.23
Skewness	0.16
Range	31.844%
Minimum	-15.646%
Maximum	16.198%
Count	1094

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.128%	559	51.10%	1.598%
Negative	-2.951%	524	47.90%	-1.413%
Zero	0.000%	11	1.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.22. Further, an Excess Kurtosis of 1.85 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -32.75%	2	0.88%	0.88%
-32.75% to -24.66%	1	0.44%	1.32%
-24.66% to -16.57%	8	3.52%	4.85%
-16.57% to -8.48%	36	15.86%	20.70%
-8.48% to -0.40%	67	29.52%	50.22%
-0.40% to 7.69%	70	30.84%	81.06%
7.69% to 15.78%	29	12.78%	93.83%
15.78% to 23.86%	9	3.96%	97.80%
23.86% to 31.95%	4	1.76%	99.56%
Greater than 31.95%	1	0.44%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.18%	10.38%	74.45%	68.27%
±2σ	-21.96%	21.17%	95.15%	95.45%
±3σ	-32.75%	31.95%	98.68%	99.73%

Descriptive Statistics

Mean	-0.398%
Standard Error	0.716%
Median	-0.743%
Mode	-37.197%
Standard Deviation	10.783%
Sample Variance	116.280%
Kurtosis	1.85
Skewness	0.22
Range	82.625%
Minimum	-37.197%
Maximum	45.428%
Count	227

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.988%	110	48.46%	3.871%
Negative	-8.354%	116	51.10%	-4.269%
Zero	0.000%	1	0.44%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	12.06%
12	1 Quarter	13.24%
52	1 Year	13.01%
156	3 Years	14.52%
260	5 Years	15.94%
520	10 Years	15.94%
1,040	20 Years	15.94%
2,600	50 Years	15.94%

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 4.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -14.24%	0	0.00%	0.00%
-14.24% to -6.23%	0	0.00%	0.00%
-6.23% to 1.77%	0	0.00%	0.00%
1.77% to 9.77%	48	21.05%	21.05%
9.77% to 17.78%	99	43.42%	64.47%
17.78% to 25.78%	46	20.18%	84.65%
25.78% to 33.79%	17	7.46%	92.11%
33.79% to 41.79%	9	3.95%	96.05%
41.79% to 49.79%	4	1.75%	97.81%
Greater than 49.79%	5	2.19%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.11%	28.45%	83.33%	68.27%
±2σ	-3.57%	39.12%	95.61%	95.45%
±3σ	-14.24%	49.79%	97.81%	99.73%

Descriptive Statistics

Mean	17.778%
Standard Error	0.707%
Median	15.299%
Mode	15.280%
Standard Deviation	10.672%
Sample Variance	113.899%
Kurtosis	4.96
Skewness	1.97
Range	62.432%
Minimum	5.438%
Maximum	67.870%
Count	228

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.778%	228	100.00%	17.778%
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 0.92. Further, an Excess Kurtosis of 3.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -32.79%	0	0.00%	0.00%
-32.79% to -24.20%	2	0.88%	0.88%
-24.20% to -15.61%	9	3.95%	4.82%
-15.61% to -7.02%	40	17.54%	22.37%
-7.02% to 1.57%	68	29.82%	52.19%
1.57% to 10.16%	64	28.07%	80.26%
10.16% to 18.75%	34	14.91%	95.18%
18.75% to 27.34%	6	2.63%	97.81%
27.34% to 35.94%	1	0.44%	98.25%
Greater than 35.94%	4	1.75%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.88%	13.03%	76.75%	68.27%
±2σ	-21.34%	24.48%	96.49%	95.45%
±3σ	-32.79%	35.94%	98.25%	99.73%

Descriptive Statistics

Mean	1.573%
Standard Error	0.759%
Median	0.683%
Mode	-3.982%
Standard Deviation	11.454%
Sample Variance	131.195%
Kurtosis	3.38
Skewness	0.92
Range	84.064%
Minimum	-29.857%
Maximum	54.207%
Count	228

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	9.316%	122	53.51%	4.985%
Negative	-7.338%	106	46.49%	-3.412%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.45. Further, an Excess Kurtosis of 1.05 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -64.68%	0	0.00%	0.00%
-64.68% to -48.91%	0	0.00%	0.00%
-48.91% to -33.15%	5	9.62%	9.62%
-33.15% to -17.38%	8	15.38%	25.00%
-17.38% to -1.61%	12	23.08%	48.08%
-1.61% to 14.16%	17	32.69%	80.77%
14.16% to 29.93%	7	13.46%	94.23%
29.93% to 45.69%	2	3.85%	98.08%
45.69% to 61.46%	0	0.00%	98.08%
Greater than 61.46%	1	1.92%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.63%	19.41%	69.23%	68.27%
±2σ	-43.66%	40.44%	98.08%	95.45%
±3σ	-64.68%	61.46%	98.08%	99.73%

Descriptive Statistics

Mean	-1.610%
Standard Error	2.916%
Median	0.048%
Mode	-42.478%
Standard Deviation	21.024%
Sample Variance	442.013%
Kurtosis	1.05
Skewness	0.45
Range	108.384%
Minimum	-42.478%
Maximum	65.906%
Count	52

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.491%	26	50.00%	7.246%
Negative	-17.711%	26	50.00%	-8.856%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	28.66%
12	1 Year	26.94%
36	3 Years	30.74%
60	5 Years	32.40%
120	10 Years	32.40%
240	20 Years	32.40%
600	50 Years	32.40%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.58. Further, an Excess Kurtosis of 2.50 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -22.18%	0	0.00%	0.00%
-22.18% to -6.27%	0	0.00%	0.00%
-6.27% to 9.63%	0	0.00%	0.00%
9.63% to 25.54%	8	15.09%	15.09%
25.54% to 41.45%	26	49.06%	64.15%
41.45% to 57.36%	9	16.98%	81.13%
57.36% to 73.27%	5	9.43%	90.57%
73.27% to 89.17%	3	5.66%	96.23%
89.17% to 105.08%	1	1.89%	98.11%
Greater than 105.08%	1	1.89%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	20.24%	62.66%	79.25%	68.27%
±2σ	-0.97%	83.87%	92.45%	95.45%
±3σ	-22.18%	105.08%	98.11%	99.73%

Descriptive Statistics

Mean	41.450%
Standard Error	2.913%
Median	35.231%
Mode	11.614%
Standard Deviation	21.210%
Sample Variance	449.865%
Kurtosis	2.50
Skewness	1.58
Range	101.986%
Minimum	11.614%
Maximum	113.600%
Count	53

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	41.450%	53	100.00%	41.450%
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 1.05. Further, an Excess Kurtosis of 1.05 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -64.55%	0	0.00%	0.00%
-64.55% to -47.00%	0	0.00%	0.00%
-47.00% to -29.44%	1	1.89%	1.89%
-29.44% to -11.89%	10	18.87%	20.75%
-11.89% to 5.66%	22	41.51%	62.26%
5.66% to 23.21%	10	18.87%	81.13%
23.21% to 40.77%	5	9.43%	90.57%
40.77% to 58.32%	2	3.77%	94.34%
58.32% to 75.87%	3	5.66%	100.00%
Greater than 75.87%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.74%	29.07%	73.58%	68.27%
±2σ	-41.15%	52.47%	94.34%	95.45%
±3σ	-64.55%	75.87%	100.00%	99.73%

Descriptive Statistics

Mean	5.662%
Standard Error	3.215%
Median	-0.414%
Mode	-35.456%
Standard Deviation	23.404%
Sample Variance	547.746%
Kurtosis	1.05
Skewness	1.05
Range	108.896%
Minimum	-35.456%
Maximum	73.440%
Count	53

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	23.357%	26	49.06%	11.458%
Negative	-11.377%	27	50.94%	-5.796%
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 1.28. Further, an Excess Kurtosis of 1.84 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -135.05%	0	0.00%	0.00%
-135.05% to -101.22%	0	0.00%	0.00%
-101.22% to -67.40%	0	0.00%	0.00%
-67.40% to -33.57%	6	35.29%	35.29%
-33.57% to 0.25%	2	11.76%	47.06%
0.25% to 34.08%	7	41.18%	88.24%
34.08% to 67.90%	0	0.00%	88.24%
67.90% to 101.73%	1	5.88%	94.12%
101.73% to 135.56%	1	5.88%	100.00%
Greater than 135.56%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-44.85%	45.35%	82.35%	68.27%
±2σ	-89.95%	90.45%	94.12%	95.45%
±3σ	-135.05%	135.56%	100.00%	99.73%

Descriptive Statistics

Mean	0.252%
Standard Error	10.939%
Median	1.953%
Mode	-54.001%
Standard Deviation	45.101%
Sample Variance	2034.101%
Kurtosis	1.84
Skewness	1.28
Range	169.602%
Minimum	-54.001%
Maximum	115.601%
Count	17

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	29.974%	9	52.94%	15.869%
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 0.47. Further, an Excess Kurtosis of -0.71 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -127.01%	0	0.00%	0.00%
-127.01% to -90.07%	0	0.00%	0.00%
-90.07% to -53.13%	1	5.56%	5.56%
-53.13% to -16.18%	2	11.11%	16.67%
-16.18% to 20.76%	8	44.44%	61.11%
20.76% to 57.70%	1	5.56%	66.67%
57.70% to 94.64%	5	27.78%	94.44%
94.64% to 131.58%	1	5.56%	100.00%
131.58% to 168.53%	0	0.00%	100.00%
Greater than 168.53%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-28.50%	70.01%	72.22%	68.27%
±2σ	-77.75%	119.27%	94.44%	95.45%
±3σ	-127.01%	168.53%	100.00%	99.73%

Descriptive Statistics

Mean	20.758%
Standard Error	11.610%
Median	2.112%
Mode	-53.672%
Standard Deviation	49.256%
Sample Variance	2426.131%
Kurtosis	-0.71
Skewness	0.47
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	-18.558%	9	50.00%	-9.279%
Zero	0.000%	0	0.00%	0.000%

RIVN Deep Analytical Report