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	7.33%	8.44%	5.88%	6.41%	5.12%	5.17%	1.50	1.66	1.43	1.75
Weekly	20.26%	27.70%	15.24%	14.98%	11.26%	11.38%	1.41	1.77	1.26	1.98
Monthly	52.70%	76.73%	35.19%	31.66%	23.45%	23.68%	1.25	2.00	0.99	2.53
Quarterly	98.69%	181.19%	93.95%	55.26%	40.61%	41.02%	1.05	2.37	0.70	3.56
Annual	—	—	—	—	81.22%	82.03%	0.70	3.56	0.31	8.02
Option Time Horizon	—	—	—	—	31.24%	31.55%	1.16	2.16	0.85	2.95

Calculation Notes: Computed at 2026-02-22T14:22 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $1.58 | Strike (K): $2.00 (first OTM call ≥ spot) | Observed Mid-Price: $0.0750 (Bid $0.0500 / Ask $0.1000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 81.22% (CRR binomial tree, American, n=20 steps) | BS IV: 81.82% (European Black-Scholes) | Yahoo IV (Annual): 82.03% → 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 3.71. Further, an Excess Kurtosis of 40.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -22.01%	5	0.30%	0.30%
-22.01% to -16.50%	8	0.49%	0.79%
-16.50% to -11.00%	20	1.21%	2.00%
-11.00% to -5.50%	153	9.29%	11.29%
-5.50% to -0.00%	689	41.83%	53.13%
-0.00% to 5.50%	591	35.88%	89.01%
5.50% to 11.00%	110	6.68%	95.69%
11.00% to 16.50%	36	2.19%	97.87%
16.50% to 22.00%	12	0.73%	98.60%
Greater than 22.00%	23	1.40%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.34%	7.33%	86.10%	68.27%
±2σ	-14.67%	14.67%	96.54%	95.45%
±3σ	-22.01%	22.00%	98.30%	99.73%

Descriptive Statistics

Mean	-0.001%
Standard Error	0.181%
Median	-0.602%
Mode	0.000%
Standard Deviation	7.335%
Sample Variance	53.795%
Kurtosis	40.45
Skewness	3.71
Range	137.441%
Minimum	-41.473%
Maximum	95.968%
Count	1647

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.110%	684	41.53%	2.122%
Negative	-3.997%	875	53.13%	-2.123%
Zero	0.000%	88	5.34%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	4.28%
20	1 Month	3.89%
60	1 Quarter	5.39%
250	1 Year	5.22%
750	3 Years	5.53%
1,250	5 Years	6.41%
2,500	10 Years	8.36%
5,000	20 Years	8.36%
12,500	50 Years	8.36%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.71. Further, an Excess Kurtosis of 51.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.81%	0	0.00%	0.00%
-16.81% to -10.48%	0	0.00%	0.00%
-10.48% to -4.16%	0	0.00%	0.00%
-4.16% to 2.17%	36	2.18%	2.18%
2.17% to 8.49%	1093	66.32%	68.51%
8.49% to 14.82%	336	20.39%	88.90%
14.82% to 21.15%	106	6.43%	95.33%
21.15% to 27.47%	29	1.76%	97.09%
27.47% to 33.80%	23	1.40%	98.48%
Greater than 33.80%	25	1.52%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.06%	16.93%	92.42%	68.27%
±2σ	-8.38%	25.37%	96.84%	95.45%
±3σ	-16.81%	33.80%	98.48%	99.73%

Descriptive Statistics

Mean	8.495%
Standard Error	0.208%
Median	6.216%
Mode	5.263%
Standard Deviation	8.435%
Sample Variance	71.156%
Kurtosis	51.28
Skewness	5.71
Range	116.742%
Minimum	1.000%
Maximum	117.742%
Count	1648

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.495%	1648	100.00%	8.495%
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 17.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.98%	15	0.91%	0.91%
-16.98% to -12.57%	10	0.61%	1.52%
-12.57% to -8.16%	54	3.28%	4.79%
-8.16% to -3.75%	156	9.47%	14.26%
-3.75% to 0.67%	626	37.99%	52.25%
0.67% to 5.08%	556	33.74%	85.98%
5.08% to 9.49%	161	9.77%	95.75%
9.49% to 13.90%	45	2.73%	98.48%
13.90% to 18.31%	9	0.55%	99.03%
Greater than 18.31%	16	0.97%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.22%	6.55%	82.04%	68.27%
±2σ	-11.10%	12.43%	96.00%	95.45%
±3σ	-16.98%	18.31%	98.12%	99.73%

Descriptive Statistics

Mean	0.665%
Standard Error	0.145%
Median	0.506%
Mode	0.000%
Standard Deviation	5.881%
Sample Variance	34.589%
Kurtosis	17.72
Skewness	1.61
Range	98.623%
Minimum	-32.236%
Maximum	66.387%
Count	1648

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.267%	866	52.55%	2.242%
Negative	-3.789%	686	41.63%	-1.577%
Zero	0.000%	96	5.83%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.34. Further, an Excess Kurtosis of 47.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -60.59%	0	0.00%	0.00%
-60.59% to -45.40%	1	0.29%	0.29%
-45.40% to -30.20%	4	1.17%	1.46%
-30.20% to -15.01%	27	7.89%	9.36%
-15.01% to 0.19%	182	53.22%	62.57%
0.19% to 15.38%	95	27.78%	90.35%
15.38% to 30.58%	24	7.02%	97.37%
30.58% to 45.77%	4	1.17%	98.54%
45.77% to 60.97%	1	0.29%	98.83%
Greater than 60.97%	4	1.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.07%	20.45%	88.89%	68.27%
±2σ	-40.33%	40.71%	97.37%	95.45%
±3σ	-60.59%	60.97%	98.83%	99.73%

Descriptive Statistics

Mean	0.188%
Standard Error	1.096%
Median	-2.257%
Mode	0.000%
Standard Deviation	20.260%
Sample Variance	410.453%
Kurtosis	47.31
Skewness	5.34
Range	248.919%
Minimum	-46.429%
Maximum	202.490%
Count	342

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.317%	129	37.72%	5.400%
Negative	-8.696%	205	59.94%	-5.213%
Zero	0.000%	8	2.34%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	7.67%
12	1 Quarter	12.57%
52	1 Year	12.12%
156	3 Years	12.64%
260	5 Years	14.98%
520	10 Years	20.66%
1,040	20 Years	20.66%
2,600	50 Years	20.66%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.82. Further, an Excess Kurtosis of 30.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -59.20%	0	0.00%	0.00%
-59.20% to -38.43%	0	0.00%	0.00%
-38.43% to -17.65%	0	0.00%	0.00%
-17.65% to 3.12%	1	0.29%	0.29%
3.12% to 23.89%	246	71.72%	72.01%
23.89% to 44.66%	65	18.95%	90.96%
44.66% to 65.43%	14	4.08%	95.04%
65.43% to 86.21%	8	2.33%	97.38%
86.21% to 106.98%	3	0.87%	98.25%
Greater than 106.98%	6	1.75%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.81%	51.59%	92.71%	68.27%
±2σ	-31.50%	79.28%	96.50%	95.45%
±3σ	-59.20%	106.98%	98.25%	99.73%

Descriptive Statistics

Mean	23.890%
Standard Error	1.495%
Median	15.827%
Mode	12.500%
Standard Deviation	27.696%
Sample Variance	767.073%
Kurtosis	30.44
Skewness	4.82
Range	258.908%
Minimum	2.538%
Maximum	261.446%
Count	343

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	23.890%	343	100.00%	23.890%
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 1.30. Further, an Excess Kurtosis of 8.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -43.34%	3	0.87%	0.87%
-43.34% to -31.91%	1	0.29%	1.17%
-31.91% to -20.48%	9	2.62%	3.79%
-20.48% to -9.06%	42	12.24%	16.03%
-9.06% to 2.37%	122	35.57%	51.60%
2.37% to 13.80%	124	36.15%	87.76%
13.80% to 25.22%	28	8.16%	95.92%
25.22% to 36.65%	5	1.46%	97.38%
36.65% to 48.08%	4	1.17%	98.54%
Greater than 48.08%	5	1.46%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.87%	17.61%	81.05%	68.27%
±2σ	-28.10%	32.84%	95.34%	95.45%
±3σ	-43.34%	48.08%	97.67%	99.73%

Descriptive Statistics

Mean	2.370%
Standard Error	0.823%
Median	2.062%
Mode	0.000%
Standard Deviation	15.236%
Sample Variance	232.124%
Kurtosis	8.61
Skewness	1.30
Range	149.324%
Minimum	-55.991%
Maximum	93.333%
Count	343

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.447%	203	59.18%	6.183%
Negative	-9.617%	136	39.65%	-3.813%
Zero	0.000%	4	1.17%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.05. Further, an Excess Kurtosis of 45.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -156.62%	0	0.00%	0.00%
-156.62% to -117.10%	0	0.00%	0.00%
-117.10% to -77.58%	0	0.00%	0.00%
-77.58% to -38.05%	5	6.41%	6.41%
-38.05% to 1.47%	47	60.26%	66.67%
1.47% to 40.99%	19	24.36%	91.03%
40.99% to 80.52%	6	7.69%	98.72%
80.52% to 120.04%	0	0.00%	98.72%
120.04% to 159.56%	0	0.00%	98.72%
Greater than 159.56%	1	1.28%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-51.23%	54.17%	92.31%	68.27%
±2σ	-103.93%	106.86%	98.72%	95.45%
±3σ	-156.62%	159.56%	98.72%	99.73%

Descriptive Statistics

Mean	1.469%
Standard Error	5.967%
Median	-6.492%
Mode	-60.133%
Standard Deviation	52.698%
Sample Variance	2777.096%
Kurtosis	45.95
Skewness	6.05
Range	466.383%
Minimum	-60.133%
Maximum	406.250%
Count	78

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	37.160%	27	34.62%	12.863%
Negative	-17.774%	50	64.10%	-11.394%
Zero	0.000%	1	1.28%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	23.15%
12	1 Year	28.11%
36	3 Years	26.77%
60	5 Years	31.66%
120	10 Years	49.58%
240	20 Years	49.58%
600	50 Years	49.58%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.36. Further, an Excess Kurtosis of 13.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -164.80%	0	0.00%	0.00%
-164.80% to -107.25%	0	0.00%	0.00%
-107.25% to -49.70%	0	0.00%	0.00%
-49.70% to 7.86%	0	0.00%	0.00%
7.86% to 65.41%	54	68.35%	68.35%
65.41% to 122.96%	15	18.99%	87.34%
122.96% to 180.51%	4	5.06%	92.41%
180.51% to 238.06%	3	3.80%	96.20%
238.06% to 295.61%	1	1.27%	97.47%
Greater than 295.61%	2	2.53%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.33%	142.14%	91.14%	68.27%
±2σ	-88.06%	218.87%	93.67%	95.45%
±3σ	-164.80%	295.61%	97.47%	99.73%

Descriptive Statistics

Mean	65.406%
Standard Error	8.633%
Median	41.546%
Mode	25.000%
Standard Deviation	76.734%
Sample Variance	5888.071%
Kurtosis	13.76
Skewness	3.36
Range	481.992%
Minimum	11.111%
Maximum	493.103%
Count	79

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	65.406%	79	100.00%	65.406%
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 1.41. Further, an Excess Kurtosis of 4.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -93.64%	0	0.00%	0.00%
-93.64% to -67.25%	1	1.27%	1.27%
-67.25% to -40.86%	0	0.00%	1.27%
-40.86% to -14.47%	12	15.19%	16.46%
-14.47% to 11.93%	34	43.04%	59.49%
11.93% to 38.32%	22	27.85%	87.34%
38.32% to 64.71%	4	5.06%	92.41%
64.71% to 91.10%	3	3.80%	96.20%
91.10% to 117.50%	1	1.27%	97.47%
Greater than 117.50%	2	2.53%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.26%	47.11%	78.48%	68.27%
±2σ	-58.45%	82.30%	93.67%	95.45%
±3σ	-93.64%	117.49%	97.47%	99.73%

Descriptive Statistics

Mean	11.925%
Standard Error	3.959%
Median	6.711%
Mode	-80.110%
Standard Deviation	35.190%
Sample Variance	1238.346%
Kurtosis	4.47
Skewness	1.41
Range	238.443%
Minimum	-80.110%
Maximum	158.333%
Count	79

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	28.059%	51	64.56%	18.114%
Negative	-18.109%	27	34.18%	-6.189%
Zero	0.000%	1	1.27%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.30. Further, an Excess Kurtosis of 20.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -288.80%	0	0.00%	0.00%
-288.80% to -214.78%	0	0.00%	0.00%
-214.78% to -140.77%	0	0.00%	0.00%
-140.77% to -66.75%	1	3.85%	3.85%
-66.75% to 7.26%	19	73.08%	76.92%
7.26% to 81.28%	4	15.38%	92.31%
81.28% to 155.30%	1	3.85%	96.15%
155.30% to 229.31%	0	0.00%	96.15%
229.31% to 303.33%	0	0.00%	96.15%
Greater than 303.33%	1	3.85%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-91.42%	105.95%	96.15%	68.27%
±2σ	-190.11%	204.64%	96.15%	95.45%
±3σ	-288.80%	303.33%	96.15%	99.73%

Descriptive Statistics

Mean	7.265%
Standard Error	19.354%
Median	-7.868%
Mode	-75.342%
Standard Deviation	98.689%
Sample Variance	9739.463%
Kurtosis	20.42
Skewness	4.30
Range	541.314%
Minimum	-75.342%
Maximum	465.972%
Count	26

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	69.400%	9	34.62%	24.023%
Negative	-25.629%	17	65.39%	-16.758%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	43.38%
12	3 Years	46.92%
20	5 Years	55.26%
40	10 Years	103.95%
80	20 Years	103.95%
200	50 Years	103.95%

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

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -384.82%	0	0.00%	0.00%
-384.82% to -248.93%	0	0.00%	0.00%
-248.93% to -113.04%	0	0.00%	0.00%
-113.04% to 22.86%	1	3.70%	3.70%
22.86% to 158.75%	19	70.37%	74.07%
158.75% to 294.64%	3	11.11%	85.19%
294.64% to 430.54%	2	7.41%	92.59%
430.54% to 566.43%	1	3.70%	96.30%
566.43% to 702.32%	0	0.00%	96.30%
Greater than 702.32%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.44%	339.94%	88.89%	68.27%
±2σ	-203.63%	521.13%	96.30%	95.45%
±3σ	-384.82%	702.32%	96.30%	99.73%

Descriptive Statistics

Mean	158.749%
Standard Error	34.870%
Median	83.163%
Mode	11.111%
Standard Deviation	181.191%
Sample Variance	32830.315%
Kurtosis	6.94
Skewness	2.44
Range	826.820%
Minimum	11.111%
Maximum	837.931%
Count	27

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	158.749%	27	100.00%	158.749%
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 4.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -240.60%	0	0.00%	0.00%
-240.60% to -170.14%	0	0.00%	0.00%
-170.14% to -99.68%	0	0.00%	0.00%
-99.68% to -29.22%	2	7.41%	7.41%
-29.22% to 41.24%	18	66.67%	74.07%
41.24% to 111.70%	3	11.11%	85.19%
111.70% to 182.16%	2	7.41%	92.59%
182.16% to 252.62%	0	0.00%	92.59%
252.62% to 323.09%	1	3.70%	96.30%
Greater than 323.09%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-52.71%	135.19%	85.19%	68.27%
±2σ	-146.65%	229.14%	92.59%	95.45%
±3σ	-240.60%	323.09%	96.30%	99.73%

Descriptive Statistics

Mean	41.242%
Standard Error	18.080%
Median	9.135%
Mode	-82.209%
Standard Deviation	93.948%
Sample Variance	8826.173%
Kurtosis	4.36
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	65.090%	20	74.07%	48.215%
Negative	-26.895%	7	25.93%	-6.973%
Zero	0.000%	0	0.00%	0.000%

SNDL Deep Analytical Report