SNDL - 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	7.29%	8.40%	5.85%	6.26%	4.14%	4.08%	1.29	1.40	1.23	1.46
Weekly	20.15%	27.57%	15.15%	14.67%	9.11%	8.99%	1.22	1.47	1.12	1.61
Monthly	52.38%	76.36%	34.95%	31.08%	18.96%	18.72%	1.11	1.62	0.92	1.96
Quarterly	98.76%	180.70%	93.70%	55.92%	32.84%	32.42%	0.96	1.86	0.69	2.58
Annual	—	—	—	—	65.68%	64.84%	0.69	2.58	0.36	4.98
Option Time Horizon	—	—	—	—	24.79%	24.48%	1.05	1.72	0.82	2.20

Calculation Notes: Computed at 2026-03-23T16:38 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $1.34 | Strike (K): $1.50 (first OTM call ≥ spot) | Observed Mid-Price: $0.0750 (Bid $0.0500 / Ask $0.1000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 65.68% (CRR binomial tree, American, n=20 steps) | BS IV: 64.90% (European Black-Scholes) | Yahoo IV (Annual): 64.84% → 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 Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.73. Further, an Excess Kurtosis of 40.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -21.89%	5	0.30%	0.30%
-21.89% to -16.42%	8	0.48%	0.78%
-16.42% to -10.95%	20	1.20%	1.98%
-10.95% to -5.48%	156	9.35%	11.33%
-5.48% to -0.01%	697	41.79%	53.12%
-0.01% to 5.46%	597	35.79%	88.91%
5.46% to 10.93%	113	6.77%	95.68%
10.93% to 16.40%	37	2.22%	97.90%
16.40% to 21.87%	12	0.72%	98.62%
Greater than 21.87%	23	1.38%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.30%	7.28%	86.09%	68.27%
±2σ	-14.60%	14.58%	96.46%	95.45%
±3σ	-21.89%	21.87%	98.32%	99.73%

Descriptive Statistics

Mean	-0.011%
Standard Error	0.179%
Median	-0.602%
Mode	0.000%
Standard Deviation	7.294%
Sample Variance	53.196%
Kurtosis	40.89
Skewness	3.73
Range	137.441%
Minimum	-41.473%
Maximum	95.968%
Count	1668

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.069%	692	41.49%	2.103%
Negative	-3.979%	886	53.12%	-2.114%
Zero	0.000%	90	5.40%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	4.25%
20	1 Month	4.89%
60	1 Quarter	4.41%
250	1 Year	5.28%
750	3 Years	5.50%
1,250	5 Years	6.26%
2,500	10 Years	8.32%
5,000	20 Years	8.32%
12,500	50 Years	8.32%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.73. Further, an Excess Kurtosis of 51.71 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.74%	0	0.00%	0.00%
-16.74% to -10.44%	0	0.00%	0.00%
-10.44% to -4.14%	0	0.00%	0.00%
-4.14% to 2.15%	37	2.22%	2.22%
2.15% to 8.45%	1111	66.57%	68.78%
8.45% to 14.75%	337	20.19%	88.98%
14.75% to 21.05%	106	6.35%	95.33%
21.05% to 27.34%	30	1.80%	97.12%
27.34% to 33.64%	23	1.38%	98.50%
Greater than 33.64%	25	1.50%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.05%	16.85%	92.45%	68.27%
±2σ	-8.34%	25.25%	96.82%	95.45%
±3σ	-16.74%	33.64%	98.50%	99.73%

Descriptive Statistics

Mean	8.452%
Standard Error	0.206%
Median	6.186%
Mode	5.263%
Standard Deviation	8.397%
Sample Variance	70.506%
Kurtosis	51.71
Skewness	5.73
Range	116.742%
Minimum	1.000%
Maximum	117.742%
Count	1669

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.452%	1669	100.00%	8.452%
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 1.61. Further, an Excess Kurtosis of 17.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.90%	15	0.90%	0.90%
-16.90% to -12.51%	10	0.60%	1.50%
-12.51% to -8.12%	55	3.30%	4.79%
-8.12% to -3.73%	158	9.47%	14.26%
-3.73% to 0.66%	637	38.17%	52.43%
0.66% to 5.05%	561	33.61%	86.04%
5.05% to 9.44%	163	9.77%	95.81%
9.44% to 13.83%	45	2.70%	98.50%
13.83% to 18.22%	9	0.54%	99.04%
Greater than 18.22%	16	0.96%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.19%	6.51%	81.91%	68.27%
±2σ	-11.05%	12.37%	95.87%	95.45%
±3σ	-16.90%	18.22%	98.14%	99.73%

Descriptive Statistics

Mean	0.659%
Standard Error	0.143%
Median	0.505%
Mode	0.000%
Standard Deviation	5.853%
Sample Variance	34.257%
Kurtosis	17.86
Skewness	1.61
Range	98.623%
Minimum	-32.236%
Maximum	66.387%
Count	1669

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.252%	875	52.43%	2.229%
Negative	-3.765%	696	41.70%	-1.570%
Zero	0.000%	98	5.87%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.37. Further, an Excess Kurtosis of 47.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -60.30%	0	0.00%	0.00%
-60.30% to -45.19%	1	0.29%	0.29%
-45.19% to -30.08%	4	1.16%	1.45%
-30.08% to -14.97%	28	8.09%	9.54%
-14.97% to 0.14%	184	53.18%	62.72%
0.14% to 15.25%	95	27.46%	90.17%
15.25% to 30.36%	25	7.23%	97.40%
30.36% to 45.47%	4	1.16%	98.55%
45.47% to 60.58%	1	0.29%	98.84%
Greater than 60.58%	4	1.16%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.01%	20.29%	89.02%	68.27%
±2σ	-40.15%	40.43%	97.40%	95.45%
±3σ	-60.30%	60.58%	98.84%	99.73%

Descriptive Statistics

Mean	0.140%
Standard Error	1.083%
Median	-2.257%
Mode	0.000%
Standard Deviation	20.147%
Sample Variance	405.894%
Kurtosis	47.89
Skewness	5.37
Range	248.919%
Minimum	-46.429%
Maximum	202.490%
Count	346

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.191%	130	37.57%	5.332%
Negative	-8.636%	208	60.12%	-5.192%
Zero	0.000%	8	2.31%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	11.76%
12	1 Quarter	9.81%
52	1 Year	12.45%
156	3 Years	12.59%
260	5 Years	14.67%
520	10 Years	20.56%
1,040	20 Years	20.56%
2,600	50 Years	20.56%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.84. Further, an Excess Kurtosis of 30.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -58.95%	0	0.00%	0.00%
-58.95% to -38.27%	0	0.00%	0.00%
-38.27% to -17.59%	0	0.00%	0.00%
-17.59% to 3.08%	1	0.29%	0.29%
3.08% to 23.76%	249	71.76%	72.05%
23.76% to 44.44%	65	18.73%	90.78%
44.44% to 65.12%	14	4.03%	94.81%
65.12% to 85.80%	9	2.59%	97.41%
85.80% to 106.47%	3	0.86%	98.27%
Greater than 106.47%	6	1.73%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.81%	51.33%	92.80%	68.27%
±2σ	-31.38%	78.90%	96.25%	95.45%
±3σ	-58.95%	106.48%	98.27%	99.73%

Descriptive Statistics

Mean	23.762%
Standard Error	1.480%
Median	15.734%
Mode	12.500%
Standard Deviation	27.571%
Sample Variance	760.157%
Kurtosis	30.74
Skewness	4.84
Range	258.908%
Minimum	2.538%
Maximum	261.446%
Count	347

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	23.762%	347	100.00%	23.762%
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 1.31. Further, an Excess Kurtosis of 8.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -43.07%	3	0.86%	0.86%
-43.07% to -31.71%	1	0.29%	1.15%
-31.71% to -20.34%	9	2.59%	3.75%
-20.34% to -8.98%	43	12.39%	16.14%
-8.98% to 2.38%	123	35.45%	51.59%
2.38% to 13.74%	126	36.31%	87.90%
13.74% to 25.10%	28	8.07%	95.97%
25.10% to 36.46%	4	1.15%	97.12%
36.46% to 47.83%	5	1.44%	98.56%
Greater than 47.83%	5	1.44%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.77%	17.53%	81.27%	68.27%
±2σ	-27.92%	32.68%	95.39%	95.45%
±3σ	-43.07%	47.82%	97.69%	99.73%

Descriptive Statistics

Mean	2.378%
Standard Error	0.813%
Median	2.062%
Mode	0.000%
Standard Deviation	15.149%
Sample Variance	229.489%
Kurtosis	8.74
Skewness	1.31
Range	149.324%
Minimum	-55.991%
Maximum	93.333%
Count	347

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.403%	205	59.08%	6.146%
Negative	-9.544%	137	39.48%	-3.768%
Zero	0.000%	5	1.44%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.09. Further, an Excess Kurtosis of 46.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -155.89%	0	0.00%	0.00%
-155.89% to -116.61%	0	0.00%	0.00%
-116.61% to -77.32%	0	0.00%	0.00%
-77.32% to -38.03%	5	6.33%	6.33%
-38.03% to 1.26%	49	62.03%	68.35%
1.26% to 40.54%	18	22.78%	91.14%
40.54% to 79.83%	6	7.59%	98.73%
79.83% to 119.12%	0	0.00%	98.73%
119.12% to 158.41%	0	0.00%	98.73%
Greater than 158.41%	1	1.27%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-51.13%	53.64%	92.41%	68.27%
±2σ	-103.51%	106.02%	98.73%	95.45%
±3σ	-155.89%	158.41%	98.73%	99.73%

Descriptive Statistics

Mean	1.257%
Standard Error	5.894%
Median	-6.875%
Mode	0.000%
Standard Deviation	52.383%
Sample Variance	2744.018%
Kurtosis	46.55
Skewness	6.09
Range	466.383%
Minimum	-60.133%
Maximum	406.250%
Count	79

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	38.489%	26	32.91%	12.667%
Negative	-17.674%	51	64.56%	-11.410%
Zero	0.000%	2	2.53%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	17.49%
12	1 Year	28.65%
36	3 Years	26.73%
60	5 Years	31.08%
120	10 Years	49.26%
240	20 Years	49.26%
600	50 Years	49.26%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.38. Further, an Excess Kurtosis of 13.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -164.15%	0	0.00%	0.00%
-164.15% to -106.88%	0	0.00%	0.00%
-106.88% to -49.61%	0	0.00%	0.00%
-49.61% to 7.66%	0	0.00%	0.00%
7.66% to 64.94%	55	68.75%	68.75%
64.94% to 122.21%	15	18.75%	87.50%
122.21% to 179.48%	4	5.00%	92.50%
179.48% to 236.75%	3	3.75%	96.25%
236.75% to 294.02%	1	1.25%	97.50%
Greater than 294.02%	2	2.50%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.43%	141.30%	91.25%	68.27%
±2σ	-87.79%	217.66%	93.75%	95.45%
±3σ	-164.15%	294.02%	97.50%	99.73%

Descriptive Statistics

Mean	64.935%
Standard Error	8.538%
Median	40.748%
Mode	25.000%
Standard Deviation	76.363%
Sample Variance	5831.319%
Kurtosis	13.95
Skewness	3.38
Range	481.992%
Minimum	11.111%
Maximum	493.103%
Count	80

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	64.935%	80	100.00%	64.935%
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 1.42. Further, an Excess Kurtosis of 4.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -92.90%	0	0.00%	0.00%
-92.90% to -66.69%	1	1.25%	1.25%
-66.69% to -40.47%	1	1.25%	2.50%
-40.47% to -14.25%	11	13.75%	16.25%
-14.25% to 11.96%	34	42.50%	58.75%
11.96% to 38.18%	23	28.75%	87.50%
38.18% to 64.39%	4	5.00%	92.50%
64.39% to 90.61%	3	3.75%	96.25%
90.61% to 116.82%	1	1.25%	97.50%
Greater than 116.82%	2	2.50%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.99%	46.91%	78.75%	68.27%
±2σ	-57.95%	81.87%	93.75%	95.45%
±3σ	-92.90%	116.82%	97.50%	99.73%

Descriptive Statistics

Mean	11.961%
Standard Error	3.908%
Median	6.753%
Mode	-80.110%
Standard Deviation	34.954%
Sample Variance	1221.790%
Kurtosis	4.57
Skewness	1.42
Range	238.443%
Minimum	-80.110%
Maximum	158.333%
Count	80

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	27.755%	52	65.00%	18.041%
Negative	-18.015%	27	33.75%	-6.080%
Zero	0.000%	1	1.25%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.31. Further, an Excess Kurtosis of 20.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -289.61%	0	0.00%	0.00%
-289.61% to -215.54%	0	0.00%	0.00%
-215.54% to -141.47%	0	0.00%	0.00%
-141.47% to -67.39%	1	3.85%	3.85%
-67.39% to 6.68%	19	73.08%	76.92%
6.68% to 80.75%	4	15.38%	92.31%
80.75% to 154.82%	1	3.85%	96.15%
154.82% to 228.90%	0	0.00%	96.15%
228.90% to 302.97%	0	0.00%	96.15%
Greater than 302.97%	1	3.85%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-92.09%	105.44%	96.15%	68.27%
±2σ	-190.85%	204.20%	96.15%	95.45%
±3σ	-289.61%	302.97%	96.15%	99.73%

Descriptive Statistics

Mean	6.678%
Standard Error	19.369%
Median	-8.233%
Mode	-75.342%
Standard Deviation	98.763%
Sample Variance	9754.117%
Kurtosis	20.47
Skewness	4.31
Range	541.314%
Minimum	-75.342%
Maximum	465.972%
Count	26

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	77.750%	8	30.77%	23.923%
Negative	-24.909%	18	69.23%	-17.245%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	46.65%
12	3 Years	48.01%
20	5 Years	55.92%
40	10 Years	104.46%
80	20 Years	104.46%
200	50 Years	104.46%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.46. Further, an Excess Kurtosis of 7.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -382.73%	0	0.00%	0.00%
-382.73% to -247.21%	0	0.00%	0.00%
-247.21% to -111.69%	0	0.00%	0.00%
-111.69% to 23.84%	0	0.00%	0.00%
23.84% to 159.36%	20	74.07%	74.07%
159.36% to 294.89%	3	11.11%	85.19%
294.89% to 430.41%	2	7.41%	92.59%
430.41% to 565.94%	1	3.70%	96.30%
565.94% to 701.46%	0	0.00%	96.30%
Greater than 701.46%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.34%	340.06%	88.89%	68.27%
±2σ	-202.04%	520.76%	96.30%	95.45%
±3σ	-382.73%	701.46%	96.30%	99.73%

Descriptive Statistics

Mean	159.363%
Standard Error	34.776%
Median	83.163%
Mode	25.000%
Standard Deviation	180.699%
Sample Variance	32652.192%
Kurtosis	7.01
Skewness	2.46
Range	812.931%
Minimum	25.000%
Maximum	837.931%
Count	27

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	159.363%	27	100.00%	159.363%
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 2.08. Further, an Excess Kurtosis of 4.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -239.22%	0	0.00%	0.00%
-239.22% to -168.95%	0	0.00%	0.00%
-168.95% to -98.68%	0	0.00%	0.00%
-98.68% to -28.40%	2	7.41%	7.41%
-28.40% to 41.87%	18	66.67%	74.07%
41.87% to 112.14%	3	11.11%	85.19%
112.14% to 182.41%	2	7.41%	92.59%
182.41% to 252.68%	0	0.00%	92.59%
252.68% to 322.96%	1	3.70%	96.30%
Greater than 322.96%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-51.83%	135.56%	85.19%	68.27%
±2σ	-145.52%	229.26%	92.59%	95.45%
±3σ	-239.22%	322.96%	96.30%	99.73%

Descriptive Statistics

Mean	41.868%
Standard Error	18.032%
Median	10.738%
Mode	-82.209%
Standard Deviation	93.696%
Sample Variance	8778.979%
Kurtosis	4.37
Skewness	2.08
Range	414.848%
Minimum	-82.209%
Maximum	332.639%
Count	27

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	62.645%	21	77.78%	48.724%
Negative	-30.850%	6	22.22%	-6.855%
Zero	0.000%	0	0.00%	0.000%

SNDL Deep Analytical Report