Markets Data Volatility Heatmap Portfolio Calculator

SNA Deep Analytical Report

Snap-on Incorporated | Category: Equity Large Cap | Ann. Div Yield: 2.31% ($8.86) | Last Updated: 2026-02-22 | Data Range: 1973-05-01 → 2026-02-01 (634 months)
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 1.85% 1.37% 1.54% 2.03% 1.38% 1.53% 380.60 391.23 375.40 396.65
Weekly 4.17% 3.67% 4.09% 4.73% 3.03% 3.36% 374.36 397.75 363.19 409.99
Monthly 7.95% 8.01% 8.14% 10.06% 6.31% 7.00% 362.29 411.01 340.14 437.77
Quarterly 11.23% 12.64% 11.56% 15.49% 10.93% 12.12% 345.94 430.43 310.13 480.13
Annual — — — — 21.85% 24.24% 310.13 480.13 249.26 597.39
Option Time Horizon — — — — 10.36% 11.49% 347.91 427.99 313.68 474.70
Calculation Notes: Computed at 2026-02-22T13:02 UTC  |  Reference Contract: Call option expiring 2026-05-15 (82 days)  |  Spot Price (S): $385.88  |  Strike (K): $390.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $14.6000 (Bid $13.3000 / Ask $15.9000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.31%  |  Binomial IV (Annual): 21.85% (CRR binomial tree, American, n=20 steps)  |  BS IV: 21.96% (European Black-Scholes)  |  Yahoo IV (Annual): 24.24% → period-scaled as σperiod = σannual·√h  |  Price bands: Upper = S·e+σ√h, Lower = S·e−σ√h
Historical Dividend Payouts
Ex-Dividend Date Amount
2025-11-21 $2.4400
2025-08-19 $2.1400
2025-05-20 $2.1400
2025-02-24 $2.1400
2024-11-21 $2.1400
2024-08-19 $1.8600
2024-05-17 $1.8600
2024-02-23 $1.8600
2023-11-20 $1.8600
2023-08-17 $1.6200
2023-05-18 $1.6200
2023-02-22 $1.6200
2022-11-18 $1.6200
2022-08-18 $1.4200
2022-05-19 $1.4200
2022-02-22 $1.4200
2021-11-18 $1.4200
2021-08-19 $1.2300
2021-05-20 $1.2300
2021-02-22 $1.2300
2020-11-19 $1.2300
2020-08-19 $1.0800
2020-05-20 $1.0800
2020-02-21 $1.0800
2019-11-19 $1.0800
2019-08-19 $0.9500
2019-05-20 $0.9500
2019-02-22 $0.9500
2018-11-19 $0.9500
2018-08-16 $0.8200
2018-05-18 $0.8200
2018-03-01 $0.8200
2017-11-16 $0.8200
2017-08-16 $0.7100
2017-05-17 $0.7100
2017-02-22 $0.7100
2016-11-16 $0.7100
2016-08-17 $0.6100
2016-05-18 $0.6100
2016-02-23 $0.6100
2015-11-20 $0.6100
2015-08-21 $0.5300
2015-05-18 $0.5300
2015-02-20 $0.5300
2014-11-20 $0.5300
2014-08-21 $0.4400
2014-05-16 $0.4400
2014-02-20 $0.4400
2013-11-20 $0.4400
2013-08-21 $0.3800
2013-05-16 $0.3800
2013-02-26 $0.3800
2012-11-15 $0.3800
2012-08-16 $0.3400
2012-05-17 $0.3400
2012-02-22 $0.3400
2011-11-16 $0.3400
2011-08-18 $0.3200
2011-05-18 $0.3200
2011-02-22 $0.3200
2010-11-17 $0.3200
2010-08-18 $0.3000
2010-05-18 $0.3000
2010-02-23 $0.3000
2009-11-12 $0.3000
2009-08-13 $0.3000
2009-05-14 $0.3000
2009-02-19 $0.3000
2008-11-13 $0.3000
2008-08-14 $0.3000
2008-05-15 $0.3000
2008-02-21 $0.3000
2007-11-15 $0.3000
2007-08-16 $0.2700
2007-05-17 $0.2700
2007-02-22 $0.2700
2006-11-16 $0.2700
2006-08-17 $0.2700
2006-05-17 $0.2700
2006-02-15 $0.2700
2005-11-16 $0.2500
2005-08-17 $0.2500
2005-05-18 $0.2500
2005-02-15 $0.2500
2004-11-17 $0.2500
2004-08-18 $0.2500
2004-05-18 $0.2500
2004-02-13 $0.2500
2003-11-17 $0.2500
2003-08-18 $0.2500
2003-05-16 $0.2500
2003-02-12 $0.2500
2002-11-15 $0.2500
2002-08-16 $0.2400
2002-05-16 $0.2400
2002-02-13 $0.2400
2001-11-15 $0.2400
2001-08-16 $0.2400
2001-05-16 $0.2400
2001-02-14 $0.2400
2000-11-16 $0.2400
2000-08-17 $0.2400
2000-05-17 $0.2300
2000-02-16 $0.2300
1999-11-17 $0.2300
1999-08-18 $0.2300
1999-05-18 $0.2200
1999-02-12 $0.2200
1998-11-17 $0.2200
1998-08-18 $0.2200
1998-05-18 $0.2100
1998-02-12 $0.2100
1997-11-17 $0.2100
1997-08-18 $0.2100
1997-05-16 $0.2000
1997-02-13 $0.2000
1996-11-15 $0.2000
1996-08-16 $0.2000
1996-05-16 $0.1800
1996-02-15 $0.1800
1995-11-16 $0.1800
1995-08-17 $0.1800
1995-05-15 $0.1800
1995-02-13 $0.1800
1994-11-14 $0.1800
1994-08-15 $0.1800
1994-05-16 $0.1800
1994-02-14 $0.1800
1993-11-15 $0.1800
1993-08-16 $0.1800
1993-05-14 $0.1800
1993-02-10 $0.1800
1992-11-13 $0.1800
1992-08-14 $0.1800
1992-05-14 $0.1800
1992-02-11 $0.1800
1991-11-13 $0.1800
1991-08-14 $0.1800
1991-05-14 $0.1800
1991-02-12 $0.1800
1990-11-13 $0.1800
1990-08-14 $0.1800
1990-05-15 $0.1800
1990-02-12 $0.1800
1989-11-14 $0.1800
1989-08-15 $0.1800
1989-05-15 $0.1667
1989-02-13 $0.1667
1988-11-14 $0.1667
1988-08-15 $0.1667
1988-05-16 $0.1267
1988-02-11 $0.1267
1987-11-13 $0.1267
1987-08-14 $0.1267
1987-05-14 $0.1200
1987-02-10 $0.1067
1986-11-13 $0.1067
1986-08-14 $0.1067
1986-05-14 $0.0967
1986-02-11 $0.0967
1985-11-13 $0.0967
1985-08-14 $0.0967
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.06. Further, an Excess Kurtosis of 7.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.51%1070.80%0.80%
-5.51% to -4.12%1351.02%1.82%
-4.12% to -2.73%3832.88%4.70%
-2.73% to -1.34%155411.69%16.39%
-1.34% to 0.05%488636.75%53.14%
0.05% to 1.44%407530.65%83.79%
1.44% to 2.83%148011.13%94.92%
2.83% to 4.23%4163.13%98.05%
4.23% to 5.62%1371.03%99.08%
Greater than 5.62%1220.92%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.80%1.91% 78.44%68.27%
±2σ -3.66%3.76% 94.98%95.45%
±3σ -5.51%5.62% 98.28%99.73%
Descriptive Statistics
Mean0.053%
Standard Error0.016%
Median0.000%
Mode0.000%
Standard Deviation1.855%
Sample Variance3.440%
Kurtosis7.01
Skewness-0.06
Range34.454%
Minimum-19.266%
Maximum15.188%
Count13295
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.379% 6328 47.60% 0.656%
Negative -1.349% 5946 44.72% -0.603%
Zero 0.000% 1021 7.68% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 1.59%
20 1 Month 2.33%
60 1 Quarter 1.90%
250 1 Year 2.14%
750 3 Years 1.86%
1,250 5 Years 2.03%
2,500 10 Years 2.15%
5,000 20 Years 2.24%
12,500 50 Years 2.30%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.77. Further, an Excess Kurtosis of 16.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -1.91%00.00%0.00%
-1.91% to -0.88%00.00%0.00%
-0.88% to 0.16%00.00%0.00%
0.16% to 1.19%255119.19%19.19%
1.19% to 2.22%547341.16%60.35%
2.22% to 3.25%321924.21%84.56%
3.25% to 4.28%12209.18%93.73%
4.28% to 5.31%4253.20%96.93%
5.31% to 6.34%1901.43%98.36%
Greater than 6.34%2181.64%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.84%3.59% 82.36%68.27%
±2σ -0.53%4.96% 96.03%95.45%
±3σ -1.90%6.34% 98.36%99.73%
Descriptive Statistics
Mean2.217%
Standard Error0.012%
Median1.882%
Mode2.778%
Standard Deviation1.374%
Sample Variance1.888%
Kurtosis16.98
Skewness2.77
Range22.569%
Minimum0.205%
Maximum22.774%
Count13296
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.217% 13296 100.00% 2.217%
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 0.21. Further, an Excess Kurtosis of 6.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.57%1000.75%0.75%
-4.57% to -3.41%1441.08%1.84%
-3.41% to -2.26%4703.53%5.37%
-2.26% to -1.11%151111.36%16.73%
-1.11% to 0.05%517538.92%55.66%
0.05% to 1.20%365727.50%83.16%
1.20% to 2.35%148911.20%94.36%
2.35% to 3.51%4983.75%98.10%
3.51% to 4.66%1441.08%99.19%
Greater than 4.66%1080.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.49%1.58% 76.87%68.27%
±2σ -3.03%3.12% 94.86%95.45%
±3σ -4.57%4.66% 98.44%99.73%
Descriptive Statistics
Mean0.047%
Standard Error0.013%
Median0.000%
Mode0.000%
Standard Deviation1.538%
Sample Variance2.365%
Kurtosis6.09
Skewness0.21
Range29.955%
Minimum-11.622%
Maximum18.333%
Count13296
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.218% 5984 45.01% 0.548%
Negative -1.157% 5761 43.33% -0.501%
Zero 0.000% 1551 11.66% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.12. Further, an Excess Kurtosis of 4.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.25%210.76%0.76%
-12.25% to -9.12%210.76%1.52%
-9.12% to -5.99%1194.32%5.84%
-5.99% to -2.86%30210.96%16.81%
-2.86% to 0.26%92133.43%50.24%
0.26% to 3.39%91633.25%83.48%
3.39% to 6.52%31111.29%94.77%
6.52% to 9.65%802.90%97.68%
9.65% to 12.77%431.56%99.24%
Greater than 12.77%210.76%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.91%4.43% 77.28%68.27%
±2σ -8.08%8.60% 94.37%95.45%
±3σ -12.25%12.77% 98.48%99.73%
Descriptive Statistics
Mean0.263%
Standard Error0.079%
Median0.211%
Mode0.000%
Standard Deviation4.170%
Sample Variance17.390%
Kurtosis4.83
Skewness0.12
Range55.751%
Minimum-26.829%
Maximum28.922%
Count2755
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.083% 1427 51.80% 1.597%
Negative -2.955% 1244 45.15% -1.334%
Zero 0.000% 84 3.05% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 4.98%
12 1 Quarter 4.09%
52 1 Year 4.86%
156 3 Years 4.31%
260 5 Years 4.73%
520 10 Years 5.07%
1,040 20 Years 5.34%
2,600 50 Years 5.45%
High-to-Low 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 10.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.26%00.00%0.00%
-5.26% to -2.51%00.00%0.00%
-2.51% to 0.24%00.00%0.00%
0.24% to 3.00%50118.18%18.18%
3.00% to 5.75%123444.78%62.95%
5.75% to 8.50%58221.12%84.07%
8.50% to 11.25%2258.16%92.24%
11.25% to 14.01%1184.28%96.52%
14.01% to 16.76%451.63%98.15%
Greater than 16.76%511.85%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.08%9.42% 83.56%68.27%
±2σ -1.59%13.09% 95.32%95.45%
±3σ -5.26%16.76% 98.15%99.73%
Descriptive Statistics
Mean5.748%
Standard Error0.070%
Median4.724%
Mode6.250%
Standard Deviation3.670%
Sample Variance13.466%
Kurtosis10.67
Skewness2.44
Range38.453%
Minimum0.714%
Maximum39.167%
Count2756
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.748% 2756 100.00% 5.748%
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 0.75. Further, an Excess Kurtosis of 6.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.25%120.44%0.44%
-12.25% to -9.18%391.42%1.85%
-9.18% to -6.12%702.54%4.39%
-6.12% to -3.05%33712.23%16.62%
-3.05% to 0.01%104437.88%54.50%
0.01% to 3.08%80729.28%83.78%
3.08% to 6.14%28910.49%94.27%
6.14% to 9.21%953.45%97.71%
9.21% to 12.27%371.34%99.06%
Greater than 12.27%260.94%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.08%4.10% 77.76%68.27%
±2σ -8.16%8.19% 94.09%95.45%
±3σ -12.25%12.27% 98.62%99.73%
Descriptive Statistics
Mean0.012%
Standard Error0.078%
Median-0.186%
Mode0.000%
Standard Deviation4.087%
Sample Variance16.706%
Kurtosis6.03
Skewness0.75
Range58.413%
Minimum-20.913%
Maximum37.500%
Count2756
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.149% 1255 45.54% 1.434%
Negative -2.755% 1423 51.63% -1.422%
Zero 0.000% 78 2.83% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.01. Further, an Excess Kurtosis of 1.96 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -22.76%60.95%0.95%
-22.76% to -16.80%60.95%1.90%
-16.80% to -10.84%264.11%6.00%
-10.84% to -4.87%8413.27%19.27%
-4.87% to 1.09%18829.70%48.97%
1.09% to 7.05%20131.75%80.73%
7.05% to 13.02%8313.11%93.84%
13.02% to 18.98%284.42%98.26%
18.98% to 24.94%81.26%99.53%
Greater than 24.94%30.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.86%9.04% 73.14%68.27%
±2σ -14.81%16.99% 94.79%95.45%
±3σ -22.76%24.94% 98.58%99.73%
Descriptive Statistics
Mean1.090%
Standard Error0.316%
Median1.205%
Mode0.000%
Standard Deviation7.951%
Sample Variance63.226%
Kurtosis1.96
Skewness-0.01
Range66.738%
Minimum-29.833%
Maximum36.905%
Count633
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.308% 356 56.24% 3.548%
Negative -5.763% 270 42.65% -2.458%
Zero 0.000% 7 1.11% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 7.92%
12 1 Year 8.72%
36 3 Years 9.36%
60 5 Years 10.06%
120 10 Years 11.03%
240 20 Years 11.51%
600 50 Years 11.89%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.72. Further, an Excess Kurtosis of 12.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.79%00.00%0.00%
-10.79% to -4.78%00.00%0.00%
-4.78% to 1.22%00.00%0.00%
1.22% to 7.23%10817.03%17.03%
7.23% to 13.23%29346.21%63.25%
13.23% to 19.24%13421.14%84.38%
19.24% to 25.24%619.62%94.01%
25.24% to 31.25%182.84%96.85%
31.25% to 37.25%60.95%97.79%
Greater than 37.25%142.21%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 5.22%21.24% 84.86%68.27%
±2σ -2.78%29.25% 96.21%95.45%
±3σ -10.79%37.25% 97.79%99.73%
Descriptive Statistics
Mean13.232%
Standard Error0.318%
Median11.109%
Mode6.515%
Standard Deviation8.007%
Sample Variance64.113%
Kurtosis12.38
Skewness2.72
Range71.513%
Minimum3.229%
Maximum74.742%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 13.232% 634 100.00% 13.232%
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 0.89. Further, an Excess Kurtosis of 3.22 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.64%20.32%0.32%
-24.64% to -18.53%40.63%0.95%
-18.53% to -12.42%203.15%4.10%
-12.42% to -6.31%9715.30%19.40%
-6.31% to -0.20%22235.02%54.42%
-0.20% to 5.90%17427.44%81.86%
5.90% to 12.01%7611.99%93.85%
12.01% to 18.12%223.47%97.32%
18.12% to 24.23%81.26%98.58%
Greater than 24.23%91.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.35%7.94% 75.55%68.27%
±2σ -16.49%16.09% 95.43%95.45%
±3σ -24.64%24.23% 98.26%99.73%
Descriptive Statistics
Mean-0.205%
Standard Error0.323%
Median-1.014%
Mode0.000%
Standard Deviation8.145%
Sample Variance66.343%
Kurtosis3.22
Skewness0.89
Range68.337%
Minimum-26.957%
Maximum41.380%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.546% 279 44.01% 2.881%
Negative -5.637% 347 54.73% -3.085%
Zero 0.000% 8 1.26% 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 0.22 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.76%10.47%0.47%
-30.76% to -22.34%20.95%1.42%
-22.34% to -13.91%104.74%6.16%
-13.91% to -5.49%3717.54%23.70%
-5.49% to 2.94%5425.59%49.29%
2.94% to 11.36%5526.07%75.36%
11.36% to 19.79%4119.43%94.79%
19.79% to 28.21%104.74%99.53%
28.21% to 36.64%10.47%100.00%
Greater than 36.64%00.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.30%14.17% 70.62%68.27%
±2σ -19.53%25.40% 94.79%95.45%
±3σ -30.76%36.64% 99.53%99.73%
Descriptive Statistics
Mean2.937%
Standard Error0.773%
Median3.016%
Mode-34.017%
Standard Deviation11.233%
Sample Variance126.188%
Kurtosis0.22
Skewness-0.20
Range66.862%
Minimum-34.017%
Maximum32.845%
Count211
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.214% 126 59.72% 6.099%
Negative -7.943% 84 39.81% -3.162%
Zero 0.000% 1 0.47% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 12.85%
12 3 Years 15.14%
20 5 Years 15.49%
40 10 Years 17.96%
80 20 Years 18.87%
200 50 Years 19.92%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.52. Further, an Excess Kurtosis of 9.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.53%00.00%0.00%
-14.53% to -5.05%00.00%0.00%
-5.05% to 4.43%00.00%0.00%
4.43% to 13.90%3516.51%16.51%
13.90% to 23.38%9745.75%62.26%
23.38% to 32.86%4822.64%84.91%
32.86% to 42.33%219.91%94.81%
42.33% to 51.81%31.42%96.23%
51.81% to 61.29%41.89%98.11%
Greater than 61.29%41.89%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 10.74%36.02% 85.85%68.27%
±2σ -1.89%48.65% 95.75%95.45%
±3σ -14.53%61.29% 98.11%99.73%
Descriptive Statistics
Mean23.380%
Standard Error0.868%
Median20.315%
Mode20.000%
Standard Deviation12.636%
Sample Variance159.678%
Kurtosis9.21
Skewness2.52
Range86.745%
Minimum5.008%
Maximum91.753%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 23.380% 212 100.00% 23.380%
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 1.09. Further, an Excess Kurtosis of 2.59 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -35.70%00.00%0.00%
-35.70% to -27.03%00.00%0.00%
-27.03% to -18.36%62.83%2.83%
-18.36% to -9.68%4219.81%22.64%
-9.68% to -1.01%6932.55%55.19%
-1.01% to 7.66%5023.58%78.77%
7.66% to 16.34%3114.62%93.40%
16.34% to 25.01%94.25%97.64%
25.01% to 33.68%20.94%98.58%
Greater than 33.68%31.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -12.57%10.55% 72.64%68.27%
±2σ -24.14%22.12% 96.23%95.45%
±3σ -35.70%33.68% 98.58%99.73%
Descriptive Statistics
Mean-1.010%
Standard Error0.794%
Median-2.052%
Mode0.000%
Standard Deviation11.564%
Sample Variance133.729%
Kurtosis2.59
Skewness1.09
Range76.132%
Minimum-23.439%
Maximum52.693%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.836% 86 40.57% 3.990%
Negative -8.549% 124 58.49% -5.000%
Zero 0.000% 2 0.94% 0.000%