SEDG - 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	4.56%	3.46%	3.77%	6.85%	5.05%	5.14%	36.03	39.86	34.26	41.93
Weekly	10.14%	9.62%	9.55%	16.60%	11.11%	11.32%	33.91	42.35	30.35	47.33
Monthly	17.76%	19.84%	19.36%	33.56%	23.13%	23.57%	30.07	47.76	23.87	60.19
Quarterly	34.97%	41.47%	45.70%	59.95%	40.06%	40.82%	25.39	56.57	17.01	84.44
Annual	—	—	—	—	80.11%	81.64%	17.01	84.44	7.63	188.14
Option Time Horizon	—	—	—	—	30.81%	31.40%	27.85	51.58	20.46	70.19

Calculation Notes: Computed at 2026-02-22T14:23 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $37.90 | Strike (K): $40.00 (first OTM call ≥ spot) | Observed Mid-Price: $3.9250 (Bid $3.6500 / Ask $4.2000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 80.11% (CRR binomial tree, American, n=20 steps) | BS IV: 80.99% (European Black-Scholes) | Yahoo IV (Annual): 81.64% → 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 0.26. Further, an Excess Kurtosis of 6.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -13.54%	21	0.77%	0.77%
-13.54% to -10.13%	18	0.66%	1.42%
-10.13% to -6.71%	90	3.28%	4.70%
-6.71% to -3.29%	328	11.96%	16.67%
-3.29% to 0.13%	961	35.05%	51.71%
0.13% to 3.54%	901	32.86%	84.57%
3.54% to 6.96%	270	9.85%	94.42%
6.96% to 10.38%	96	3.50%	97.92%
10.38% to 13.80%	26	0.95%	98.87%
Greater than 13.80%	31	1.13%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.43%	4.68%	78.74%	68.27%
±2σ	-8.99%	9.24%	95.19%	95.45%
±3σ	-13.55%	13.80%	98.10%	99.73%

Descriptive Statistics

Mean	0.126%
Standard Error	0.087%
Median	0.000%
Mode	0.000%
Standard Deviation	4.557%
Sample Variance	20.768%
Kurtosis	6.21
Skewness	0.26
Range	62.358%
Minimum	-33.445%
Maximum	28.913%
Count	2742

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.274%	1358	49.53%	1.621%
Negative	-3.024%	1356	49.45%	-1.495%
Zero	0.000%	28	1.02%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	10.88%
20	1 Month	8.75%
60	1 Quarter	7.31%
250	1 Year	9.24%
750	3 Years	7.61%
1,250	5 Years	6.85%
2,500	10 Years	5.92%
5,000	20 Years	6.04%
12,500	50 Years	6.04%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.31. Further, an Excess Kurtosis of 28.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -4.60%	0	0.00%	0.00%
-4.60% to -2.01%	0	0.00%	0.00%
-2.01% to 0.59%	0	0.00%	0.00%
0.59% to 3.18%	501	18.26%	18.26%
3.18% to 5.78%	1181	43.06%	61.32%
5.78% to 8.37%	634	23.11%	84.43%
8.37% to 10.97%	248	9.04%	93.47%
10.97% to 13.56%	94	3.43%	96.90%
13.56% to 16.16%	39	1.42%	98.32%
Greater than 16.16%	46	1.68%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.32%	9.24%	83.05%	68.27%
±2σ	-1.14%	12.70%	95.81%	95.45%
±3σ	-4.60%	16.16%	98.32%	99.73%

Descriptive Statistics

Mean	5.779%
Standard Error	0.066%
Median	5.014%
Mode	3.125%
Standard Deviation	3.460%
Sample Variance	11.972%
Kurtosis	28.29
Skewness	3.31
Range	58.381%
Minimum	1.042%
Maximum	59.423%
Count	2743

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.779%	2743	100.00%	5.779%
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 -0.11. Further, an Excess Kurtosis of 4.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -11.21%	17	0.62%	0.62%
-11.21% to -8.38%	31	1.13%	1.75%
-8.38% to -5.55%	107	3.90%	5.65%
-5.55% to -2.72%	327	11.92%	17.57%
-2.72% to 0.11%	886	32.30%	49.87%
0.11% to 2.94%	889	32.41%	82.28%
2.94% to 5.76%	335	12.21%	94.50%
5.76% to 8.59%	103	3.76%	98.25%
8.59% to 11.42%	28	1.02%	99.27%
Greater than 11.42%	20	0.73%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.66%	3.88%	75.39%	68.27%
±2σ	-7.43%	7.65%	95.01%	95.45%
±3σ	-11.21%	11.42%	98.65%	99.73%

Descriptive Statistics

Mean	0.107%
Standard Error	0.072%
Median	0.111%
Mode	0.000%
Standard Deviation	3.771%
Sample Variance	14.217%
Kurtosis	4.61
Skewness	-0.11
Range	50.467%
Minimum	-29.310%
Maximum	21.157%
Count	2743

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.761%	1396	50.89%	1.405%
Negative	-2.684%	1327	48.38%	-1.298%
Zero	0.000%	20	0.73%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.47. Further, an Excess Kurtosis of 2.13 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -29.81%	2	0.35%	0.35%
-29.81% to -22.21%	7	1.23%	1.58%
-22.21% to -14.61%	21	3.69%	5.27%
-14.61% to -7.00%	77	13.53%	18.80%
-7.00% to 0.60%	190	33.39%	52.20%
0.60% to 8.20%	171	30.05%	82.25%
8.20% to 15.81%	66	11.60%	93.85%
15.81% to 23.41%	18	3.16%	97.01%
23.41% to 31.01%	11	1.93%	98.95%
Greater than 31.01%	6	1.05%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.54%	10.74%	74.34%	68.27%
±2σ	-19.67%	20.87%	94.20%	95.45%
±3σ	-29.81%	31.01%	98.59%	99.73%

Descriptive Statistics

Mean	0.600%
Standard Error	0.425%
Median	0.208%
Mode	0.000%
Standard Deviation	10.137%
Sample Variance	102.749%
Kurtosis	2.13
Skewness	0.47
Range	81.325%
Minimum	-33.028%
Maximum	48.297%
Count	569

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.713%	292	51.32%	3.958%
Negative	-7.000%	273	47.98%	-3.359%
Zero	0.000%	4	0.70%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	19.87%
12	1 Quarter	15.90%
52	1 Year	22.02%
156	3 Years	18.58%
260	5 Years	16.60%
520	10 Years	14.07%
1,040	20 Years	14.30%
2,600	50 Years	14.30%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.41. Further, an Excess Kurtosis of 9.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -13.52%	0	0.00%	0.00%
-13.52% to -6.30%	0	0.00%	0.00%
-6.30% to 0.91%	0	0.00%	0.00%
0.91% to 8.13%	98	17.19%	17.19%
8.13% to 15.34%	256	44.91%	62.11%
15.34% to 22.55%	125	21.93%	84.04%
22.55% to 29.77%	49	8.60%	92.63%
29.77% to 36.98%	22	3.86%	96.49%
36.98% to 44.20%	10	1.75%	98.25%
Greater than 44.20%	10	1.75%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.72%	24.96%	82.46%	68.27%
±2σ	-3.90%	34.58%	95.79%	95.45%
±3σ	-13.52%	44.20%	98.25%	99.73%

Descriptive Statistics

Mean	15.341%
Standard Error	0.403%
Median	13.067%
Mode	8.148%
Standard Deviation	9.619%
Sample Variance	92.518%
Kurtosis	9.73
Skewness	2.41
Range	78.574%
Minimum	3.413%
Maximum	81.987%
Count	570

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	15.341%	570	100.00%	15.341%
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 0.56. Further, an Excess Kurtosis of 2.14 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -28.21%	1	0.18%	0.18%
-28.21% to -21.05%	8	1.40%	1.58%
-21.05% to -13.88%	23	4.04%	5.61%
-13.88% to -6.72%	72	12.63%	18.25%
-6.72% to 0.44%	201	35.26%	53.51%
0.44% to 7.61%	162	28.42%	81.93%
7.61% to 14.77%	66	11.58%	93.51%
14.77% to 21.93%	24	4.21%	97.72%
21.93% to 29.10%	6	1.05%	98.77%
Greater than 29.10%	7	1.23%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.11%	9.99%	74.21%	68.27%
±2σ	-18.66%	19.55%	94.04%	95.45%
±3σ	-28.21%	29.10%	98.60%	99.73%

Descriptive Statistics

Mean	0.443%
Standard Error	0.400%
Median	0.024%
Mode	0.000%
Standard Deviation	9.551%
Sample Variance	91.219%
Kurtosis	2.14
Skewness	0.56
Range	75.852%
Minimum	-30.366%
Maximum	45.486%
Count	570

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.386%	285	50.00%	3.693%
Negative	-6.592%	281	49.30%	-3.250%
Zero	0.000%	4	0.70%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.16. Further, an Excess Kurtosis of 0.31 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -51.28%	0	0.00%	0.00%
-51.28% to -37.96%	2	1.53%	1.53%
-37.96% to -24.64%	4	3.05%	4.58%
-24.64% to -11.32%	20	15.27%	19.85%
-11.32% to 1.99%	42	32.06%	51.91%
1.99% to 15.31%	38	29.01%	80.92%
15.31% to 28.63%	15	11.45%	92.37%
28.63% to 41.95%	7	5.34%	97.71%
41.95% to 55.26%	3	2.29%	100.00%
Greater than 55.26%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.76%	19.75%	70.23%	68.27%
±2σ	-33.52%	37.51%	94.66%	95.45%
±3σ	-51.28%	55.26%	100.00%	99.73%

Descriptive Statistics

Mean	1.993%
Standard Error	1.551%
Median	1.008%
Mode	-4.394%
Standard Deviation	17.757%
Sample Variance	315.314%
Kurtosis	0.31
Skewness	0.16
Range	98.198%
Minimum	-48.438%
Maximum	49.760%
Count	131

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.459%	71	54.20%	7.836%
Negative	-12.758%	60	45.80%	-5.843%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	28.44%
12	1 Year	42.85%
36	3 Years	37.78%
60	5 Years	33.56%
120	10 Years	29.78%
240	20 Years	30.48%
600	50 Years	30.48%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.74. Further, an Excess Kurtosis of 3.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -22.97%	0	0.00%	0.00%
-22.97% to -8.09%	0	0.00%	0.00%
-8.09% to 6.79%	0	0.00%	0.00%
6.79% to 21.67%	28	21.21%	21.21%
21.67% to 36.55%	51	38.64%	59.85%
36.55% to 51.43%	30	22.73%	82.58%
51.43% to 66.32%	14	10.61%	93.18%
66.32% to 81.20%	3	2.27%	95.45%
81.20% to 96.08%	3	2.27%	97.73%
Greater than 96.08%	3	2.27%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.71%	56.39%	79.55%	68.27%
±2σ	-3.13%	76.24%	93.94%	95.45%
±3σ	-22.97%	96.08%	97.73%	99.73%

Descriptive Statistics

Mean	36.553%
Standard Error	1.727%
Median	31.792%
Mode	10.631%
Standard Deviation	19.842%
Sample Variance	393.701%
Kurtosis	3.59
Skewness	1.74
Range	105.395%
Minimum	10.631%
Maximum	116.026%
Count	132

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	36.553%	132	100.00%	36.553%
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 1.49. Further, an Excess Kurtosis of 5.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -56.70%	0	0.00%	0.00%
-56.70% to -42.18%	0	0.00%	0.00%
-42.18% to -27.65%	5	3.79%	3.79%
-27.65% to -13.13%	21	15.91%	19.70%
-13.13% to 1.40%	50	37.88%	57.58%
1.40% to 15.92%	31	23.48%	81.06%
15.92% to 30.44%	18	13.64%	94.70%
30.44% to 44.97%	3	2.27%	96.97%
44.97% to 59.49%	2	1.52%	98.48%
Greater than 59.49%	2	1.52%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.97%	20.76%	73.48%	68.27%
±2σ	-37.33%	40.12%	96.97%	95.45%
±3σ	-56.70%	59.49%	98.48%	99.73%

Descriptive Statistics

Mean	1.395%
Standard Error	1.686%
Median	-1.294%
Mode	-30.683%
Standard Deviation	19.365%
Sample Variance	375.003%
Kurtosis	5.06
Skewness	1.49
Range	131.000%
Minimum	-30.683%
Maximum	100.317%
Count	132

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.142%	59	44.70%	7.662%
Negative	-11.332%	73	55.30%	-6.267%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.32. Further, an Excess Kurtosis of 0.43 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -97.91%	0	0.00%	0.00%
-97.91% to -71.68%	0	0.00%	0.00%
-71.68% to -45.46%	2	4.55%	4.55%
-45.46% to -19.23%	8	18.18%	22.73%
-19.23% to 6.99%	13	29.55%	52.27%
6.99% to 33.22%	9	20.45%	72.73%
33.22% to 59.45%	11	25.00%	97.73%
59.45% to 85.67%	0	0.00%	97.73%
85.67% to 111.90%	1	2.27%	100.00%
Greater than 111.90%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.97%	41.96%	63.64%	68.27%
±2σ	-62.94%	76.93%	95.45%	95.45%
±3σ	-97.91%	111.90%	100.00%	99.73%

Descriptive Statistics

Mean	6.994%
Standard Error	5.272%
Median	3.141%
Mode	-68.546%
Standard Deviation	34.968%
Sample Variance	1222.793%
Kurtosis	0.43
Skewness	0.32
Range	178.272%
Minimum	-68.546%
Maximum	109.726%
Count	44

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	32.233%	24	54.55%	17.581%
Negative	-23.294%	20	45.45%	-10.588%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	82.81%
12	3 Years	67.96%
20	5 Years	59.95%
40	10 Years	54.59%
80	20 Years	54.94%
200	50 Years	54.94%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.83. Further, an Excess Kurtosis of 4.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -50.90%	0	0.00%	0.00%
-50.90% to -19.80%	0	0.00%	0.00%
-19.80% to 11.30%	0	0.00%	0.00%
11.30% to 42.40%	11	24.44%	24.44%
42.40% to 73.50%	17	37.78%	62.22%
73.50% to 104.60%	10	22.22%	84.44%
104.60% to 135.70%	4	8.89%	93.33%
135.70% to 166.80%	1	2.22%	95.56%
166.80% to 197.90%	1	2.22%	97.78%
Greater than 197.90%	1	2.22%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	32.03%	114.96%	82.22%	68.27%
±2σ	-9.43%	156.43%	93.33%	95.45%
±3σ	-50.90%	197.90%	97.78%	99.73%

Descriptive Statistics

Mean	73.498%
Standard Error	6.181%
Median	63.085%
Mode	26.667%
Standard Deviation	41.466%
Sample Variance	1719.405%
Kurtosis	4.45
Skewness	1.83
Range	207.069%
Minimum	26.667%
Maximum	233.736%
Count	45

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	73.498%	45	100.00%	73.498%
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 2.44. Further, an Excess Kurtosis of 8.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -131.11%	0	0.00%	0.00%
-131.11% to -96.84%	0	0.00%	0.00%
-96.84% to -62.56%	0	0.00%	0.00%
-62.56% to -28.29%	9	20.00%	20.00%
-28.29% to 5.99%	20	44.44%	64.44%
5.99% to 40.26%	9	20.00%	84.44%
40.26% to 74.54%	5	11.11%	95.56%
74.54% to 108.81%	1	2.22%	97.78%
108.81% to 143.09%	0	0.00%	97.78%
Greater than 143.09%	1	2.22%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-39.71%	51.69%	86.67%	68.27%
±2σ	-85.41%	97.39%	95.56%	95.45%
±3σ	-131.11%	143.09%	97.78%	99.73%

Descriptive Statistics

Mean	5.988%
Standard Error	6.813%
Median	-3.438%
Mode	-51.754%
Standard Deviation	45.700%
Sample Variance	2088.467%
Kurtosis	8.79
Skewness	2.44
Range	264.855%
Minimum	-51.754%
Maximum	213.101%
Count	45

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	40.338%	20	44.44%	17.928%
Negative	-21.493%	25	55.56%	-11.941%
Zero	0.000%	0	0.00%	0.000%

SEDG Deep Analytical Report