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	4.59%	3.47%	3.79%	6.88%	6.57%	6.51%	43.76	49.91	40.98	53.30
Weekly	10.17%	9.64%	9.56%	16.69%	14.47%	14.34%	40.44	54.01	34.99	62.42
Monthly	17.82%	20.00%	19.38%	34.36%	30.12%	29.85%	34.58	63.16	25.59	85.36
Quarterly	35.50%	41.10%	45.94%	62.04%	52.17%	51.70%	27.74	78.74	16.46	132.66
Annual	—	—	—	—	104.33%	103.39%	16.46	132.66	5.80	376.59
Option Time Horizon	—	—	—	—	39.38%	39.03%	31.52	69.29	21.26	102.73

Calculation Notes: Computed at 2026-03-23T16:40 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $46.74 | Strike (K): $47.50 (first OTM call ≥ spot) | Observed Mid-Price: $7.0500 (Bid $6.3000 / Ask $7.8000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 104.33% (CRR binomial tree, American, n=20 steps) | BS IV: 103.88% (European Black-Scholes) | Yahoo IV (Annual): 103.39% → 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 6.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -13.63%	21	0.76%	0.76%
-13.63% to -10.19%	19	0.69%	1.45%
-10.19% to -6.75%	91	3.29%	4.74%
-6.75% to -3.31%	331	11.98%	16.72%
-3.31% to 0.13%	966	34.96%	51.68%
0.13% to 3.58%	906	32.79%	84.47%
3.58% to 7.02%	274	9.92%	94.39%
7.02% to 10.46%	97	3.51%	97.90%
10.46% to 13.90%	27	0.98%	98.88%
Greater than 13.90%	31	1.12%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.45%	4.72%	78.54%	68.27%
±2σ	-9.04%	9.31%	95.04%	95.45%
±3σ	-13.63%	13.90%	98.12%	99.73%

Descriptive Statistics

Mean	0.134%
Standard Error	0.087%
Median	0.000%
Mode	0.000%
Standard Deviation	4.588%
Sample Variance	21.051%
Kurtosis	6.01
Skewness	0.26
Range	62.358%
Minimum	-33.445%
Maximum	28.913%
Count	2763

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.305%	1370	49.58%	1.639%
Negative	-3.045%	1365	49.40%	-1.504%
Zero	0.000%	28	1.01%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	9.53%
20	1 Month	9.16%
60	1 Quarter	8.11%
250	1 Year	9.26%
750	3 Years	7.71%
1,250	5 Years	6.88%
2,500	10 Years	5.96%
5,000	20 Years	6.06%
12,500	50 Years	6.06%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.28. Further, an Excess Kurtosis of 27.82 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 -2.00%	0	0.00%	0.00%
-2.00% to 0.60%	0	0.00%	0.00%
0.60% to 3.20%	507	18.34%	18.34%
3.20% to 5.80%	1186	42.91%	61.25%
5.80% to 8.40%	640	23.15%	84.41%
8.40% to 11.00%	251	9.08%	93.49%
11.00% to 13.60%	93	3.36%	96.85%
13.60% to 16.20%	41	1.48%	98.34%
Greater than 16.20%	46	1.66%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.33%	9.27%	82.89%	68.27%
±2σ	-1.14%	12.73%	95.91%	95.45%
±3σ	-4.60%	16.20%	98.34%	99.73%

Descriptive Statistics

Mean	5.798%
Standard Error	0.066%
Median	5.036%
Mode	3.125%
Standard Deviation	3.467%
Sample Variance	12.017%
Kurtosis	27.82
Skewness	3.28
Range	58.381%
Minimum	1.042%
Maximum	59.423%
Count	2764

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.798%	2764	100.00%	5.798%
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 4.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -11.28%	18	0.65%	0.65%
-11.28% to -8.44%	27	0.98%	1.63%
-8.44% to -5.60%	112	4.05%	5.68%
-5.60% to -2.75%	332	12.01%	17.69%
-2.75% to 0.09%	885	32.02%	49.71%
0.09% to 2.94%	900	32.56%	82.27%
2.94% to 5.78%	337	12.19%	94.46%
5.78% to 8.62%	103	3.73%	98.19%
8.62% to 11.47%	30	1.09%	99.28%
Greater than 11.47%	20	0.72%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.70%	3.88%	75.14%	68.27%
±2σ	-7.49%	7.68%	94.86%	95.45%
±3σ	-11.28%	11.47%	98.63%	99.73%

Descriptive Statistics

Mean	0.092%
Standard Error	0.072%
Median	0.110%
Mode	0.000%
Standard Deviation	3.792%
Sample Variance	14.381%
Kurtosis	4.48
Skewness	-0.11
Range	50.467%
Minimum	-29.310%
Maximum	21.157%
Count	2764

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.765%	1406	50.87%	1.407%
Negative	-2.716%	1338	48.41%	-1.315%
Zero	0.000%	20	0.72%	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 2.05 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -29.87%	2	0.35%	0.35%
-29.87% to -22.24%	7	1.22%	1.57%
-22.24% to -14.62%	22	3.84%	5.41%
-14.62% to -6.99%	77	13.44%	18.85%
-6.99% to 0.64%	190	33.16%	52.01%
0.64% to 8.27%	172	30.02%	82.02%
8.27% to 15.89%	67	11.69%	93.72%
15.89% to 23.52%	19	3.32%	97.03%
23.52% to 31.14%	11	1.92%	98.95%
Greater than 31.14%	6	1.05%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.53%	10.81%	74.00%	68.27%
±2σ	-19.70%	20.98%	94.24%	95.45%
±3σ	-29.87%	31.15%	98.60%	99.73%

Descriptive Statistics

Mean	0.638%
Standard Error	0.425%
Median	0.231%
Mode	0.000%
Standard Deviation	10.169%
Sample Variance	103.402%
Kurtosis	2.05
Skewness	0.46
Range	81.325%
Minimum	-33.028%
Maximum	48.297%
Count	573

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.767%	295	51.48%	3.999%
Negative	-7.029%	274	47.82%	-3.361%
Zero	0.000%	4	0.70%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	24.54%
12	1 Quarter	19.90%
52	1 Year	22.08%
156	3 Years	18.85%
260	5 Years	16.69%
520	10 Years	14.17%
1,040	20 Years	14.37%
2,600	50 Years	14.37%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.37. Further, an Excess Kurtosis of 9.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -13.50%	0	0.00%	0.00%
-13.50% to -6.27%	0	0.00%	0.00%
-6.27% to 0.96%	0	0.00%	0.00%
0.96% to 8.19%	102	17.77%	17.77%
8.19% to 15.42%	255	44.43%	62.20%
15.42% to 22.65%	125	21.78%	83.97%
22.65% to 29.87%	48	8.36%	92.33%
29.87% to 37.10%	26	4.53%	96.86%
37.10% to 44.33%	9	1.57%	98.43%
Greater than 44.33%	9	1.57%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.78%	25.05%	82.23%	68.27%
±2σ	-3.86%	34.69%	95.82%	95.45%
±3σ	-13.50%	44.33%	98.43%	99.73%

Descriptive Statistics

Mean	15.417%
Standard Error	0.402%
Median	13.134%
Mode	8.148%
Standard Deviation	9.638%
Sample Variance	92.898%
Kurtosis	9.49
Skewness	2.37
Range	78.574%
Minimum	3.413%
Maximum	81.987%
Count	574

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	15.417%	574	100.00%	15.417%
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 2.10 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -28.28%	1	0.17%	0.17%
-28.28% to -21.11%	8	1.39%	1.57%
-21.11% to -13.94%	22	3.83%	5.40%
-13.94% to -6.76%	75	13.07%	18.47%
-6.76% to 0.41%	201	35.02%	53.48%
0.41% to 7.58%	163	28.40%	81.88%
7.58% to 14.76%	67	11.67%	93.55%
14.76% to 21.93%	24	4.18%	97.74%
21.93% to 29.10%	6	1.05%	98.78%
Greater than 29.10%	7	1.22%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.15%	9.97%	74.04%	68.27%
±2σ	-18.72%	19.54%	94.25%	95.45%
±3σ	-28.28%	29.10%	98.61%	99.73%

Descriptive Statistics

Mean	0.410%
Standard Error	0.399%
Median	0.000%
Mode	0.000%
Standard Deviation	9.564%
Sample Variance	91.464%
Kurtosis	2.10
Skewness	0.56
Range	75.852%
Minimum	-30.366%
Maximum	45.486%
Count	574

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.404%	286	49.83%	3.689%
Negative	-6.628%	284	49.48%	-3.279%
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 0.28 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -51.29%	0	0.00%	0.00%
-51.29% to -37.93%	2	1.52%	1.52%
-37.93% to -24.57%	4	3.03%	4.55%
-24.57% to -11.21%	20	15.15%	19.70%
-11.21% to 2.15%	42	31.82%	51.52%
2.15% to 15.51%	39	29.55%	81.06%
15.51% to 28.88%	14	10.61%	91.67%
28.88% to 42.24%	8	6.06%	97.73%
42.24% to 55.60%	3	2.27%	100.00%
Greater than 55.60%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.66%	19.97%	69.70%	68.27%
±2σ	-33.48%	37.78%	94.70%	95.45%
±3σ	-51.29%	55.60%	100.00%	99.73%

Descriptive Statistics

Mean	2.153%
Standard Error	1.551%
Median	1.121%
Mode	-4.394%
Standard Deviation	17.815%
Sample Variance	317.361%
Kurtosis	0.28
Skewness	0.16
Range	98.198%
Minimum	-48.438%
Maximum	49.760%
Count	132

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.579%	72	54.55%	7.952%
Negative	-12.758%	60	45.45%	-5.799%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	45.48%
12	1 Year	46.64%
36	3 Years	39.15%
60	5 Years	34.36%
120	10 Years	30.21%
240	20 Years	30.82%
600	50 Years	30.82%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.67. Further, an Excess Kurtosis of 3.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -23.11%	0	0.00%	0.00%
-23.11% to -8.11%	0	0.00%	0.00%
-8.11% to 6.90%	0	0.00%	0.00%
6.90% to 21.90%	28	21.05%	21.05%
21.90% to 36.90%	53	39.85%	60.90%
36.90% to 51.91%	28	21.05%	81.95%
51.91% to 66.91%	14	10.53%	92.48%
66.91% to 81.92%	4	3.01%	95.49%
81.92% to 96.92%	3	2.26%	97.74%
Greater than 96.92%	3	2.26%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.90%	56.91%	80.45%	68.27%
±2σ	-3.11%	76.91%	93.98%	95.45%
±3σ	-23.11%	96.92%	97.74%	99.73%

Descriptive Statistics

Mean	36.904%
Standard Error	1.735%
Median	31.867%
Mode	10.631%
Standard Deviation	20.005%
Sample Variance	400.217%
Kurtosis	3.26
Skewness	1.67
Range	105.395%
Minimum	10.631%
Maximum	116.026%
Count	133

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	36.904%	133	100.00%	36.904%
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 5.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -56.87%	0	0.00%	0.00%
-56.87% to -42.34%	0	0.00%	0.00%
-42.34% to -27.81%	5	3.76%	3.76%
-27.81% to -13.28%	20	15.04%	18.80%
-13.28% to 1.25%	52	39.10%	57.89%
1.25% to 15.78%	31	23.31%	81.20%
15.78% to 30.31%	18	13.53%	94.74%
30.31% to 44.84%	3	2.26%	96.99%
44.84% to 59.38%	2	1.50%	98.50%
Greater than 59.38%	2	1.50%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.12%	20.63%	73.68%	68.27%
±2σ	-37.50%	40.00%	96.99%	95.45%
±3σ	-56.87%	59.38%	98.50%	99.73%

Descriptive Statistics

Mean	1.251%
Standard Error	1.680%
Median	-1.446%
Mode	-30.683%
Standard Deviation	19.375%
Sample Variance	375.394%
Kurtosis	5.04
Skewness	1.49
Range	131.000%
Minimum	-30.683%
Maximum	100.317%
Count	133

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.142%	59	44.36%	7.604%
Negative	-11.419%	74	55.64%	-6.353%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.29. Further, an Excess Kurtosis of 0.25 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -98.87%	0	0.00%	0.00%
-98.87% to -72.25%	0	0.00%	0.00%
-72.25% to -45.62%	2	4.55%	4.55%
-45.62% to -19.00%	8	18.18%	22.73%
-19.00% to 7.62%	13	29.55%	52.27%
7.62% to 34.24%	8	18.18%	70.45%
34.24% to 60.87%	12	27.27%	97.73%
60.87% to 87.49%	0	0.00%	97.73%
87.49% to 114.11%	1	2.27%	100.00%
Greater than 114.11%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.88%	43.12%	63.64%	68.27%
±2σ	-63.37%	78.61%	95.45%	95.45%
±3σ	-98.87%	114.11%	100.00%	99.73%

Descriptive Statistics

Mean	7.621%
Standard Error	5.351%
Median	3.141%
Mode	-68.546%
Standard Deviation	35.496%
Sample Variance	1259.939%
Kurtosis	0.25
Skewness	0.29
Range	178.272%
Minimum	-68.546%
Maximum	109.726%
Count	44

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	33.383%	24	54.55%	18.209%
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	93.27%
12	3 Years	71.45%
20	5 Years	62.04%
40	10 Years	55.64%
80	20 Years	55.89%
200	50 Years	55.89%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.82. Further, an Excess Kurtosis of 4.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -48.83%	0	0.00%	0.00%
-48.83% to -18.00%	0	0.00%	0.00%
-18.00% to 12.82%	0	0.00%	0.00%
12.82% to 43.65%	10	22.22%	22.22%
43.65% to 74.48%	17	37.78%	60.00%
74.48% to 105.30%	11	24.44%	84.44%
105.30% to 136.13%	4	8.89%	93.33%
136.13% to 166.96%	1	2.22%	95.56%
166.96% to 197.78%	1	2.22%	97.78%
Greater than 197.78%	1	2.22%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	33.38%	115.58%	82.22%	68.27%
±2σ	-7.73%	156.68%	93.33%	95.45%
±3σ	-48.83%	197.78%	97.78%	99.73%

Descriptive Statistics

Mean	74.478%
Standard Error	6.127%
Median	64.032%
Mode	26.667%
Standard Deviation	41.102%
Sample Variance	1689.390%
Kurtosis	4.52
Skewness	1.82
Range	207.069%
Minimum	26.667%
Maximum	233.736%
Count	45

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	74.478%	45	100.00%	74.478%
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 2.42. Further, an Excess Kurtosis of 8.64 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -132.15%	0	0.00%	0.00%
-132.15% to -97.70%	0	0.00%	0.00%
-97.70% to -63.25%	0	0.00%	0.00%
-63.25% to -28.80%	10	22.22%	22.22%
-28.80% to 5.65%	17	37.78%	60.00%
5.65% to 40.10%	11	24.44%	84.44%
40.10% to 74.56%	5	11.11%	95.56%
74.56% to 109.01%	1	2.22%	97.78%
109.01% to 143.46%	0	0.00%	97.78%
Greater than 143.46%	1	2.22%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-40.28%	51.59%	86.67%	68.27%
±2σ	-86.22%	97.52%	95.56%	95.45%
±3σ	-132.15%	143.46%	97.78%	99.73%

Descriptive Statistics

Mean	5.654%
Standard Error	6.848%
Median	-3.438%
Mode	-51.754%
Standard Deviation	45.935%
Sample Variance	2110.046%
Kurtosis	8.64
Skewness	2.42
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	-22.094%	25	55.56%	-12.275%
Zero	0.000%	0	0.00%	0.000%

SEDG Deep Analytical Report