Markets Data Volatility Heatmap Portfolio Calculator

SPGI Deep Analytical Report

S&P Global Inc. | Category: Equity Mega Cap | Ann. Div Yield: 0.90% ($3.84) | Last Updated: 2026-03-24 | Data Range: 1973-05-01 → 2026-03-01 (635 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 1.86% 1.59% 1.63% 2.06% 2.09% 2.18% 419.99 437.96 411.28 447.23
Weekly 4.04% 3.82% 3.90% 4.80% 4.61% 4.79% 409.55 449.12 391.10 470.32
Monthly 7.28% 8.51% 7.33% 10.46% 9.60% 9.97% 389.63 472.09 353.96 519.65
Quarterly 12.40% 16.13% 11.73% 19.01% 16.63% 17.27% 363.19 506.46 307.55 598.07
Annual — — — — 33.25% 34.54% 307.55 598.07 220.55 834.00
Option Time Horizon — — — — 12.55% 13.04% 378.29 486.23 333.67 551.26
Calculation Notes: Computed at 2026-03-23T16:32 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $428.88  |  Strike (K): $430.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $21.5500 (Bid $21.1000 / Ask $22.0000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.90%  |  Binomial IV (Annual): 33.25% (CRR binomial tree, American, n=20 steps)  |  BS IV: 32.98% (European Black-Scholes)  |  Yahoo IV (Annual): 34.54% → 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
2026-02-25 $0.9700
2025-11-25 $0.9600
2025-08-26 $0.9600
2025-05-28 $0.9600
2025-02-26 $0.9600
2024-11-26 $0.9100
2024-08-27 $0.9100
2024-05-29 $0.9100
2024-02-26 $0.9100
2023-11-27 $0.9000
2023-08-25 $0.9000
2023-05-25 $0.9000
2023-02-23 $0.9000
2022-11-25 $0.8500
2022-08-25 $0.8500
2022-05-26 $0.8500
2022-02-09 $0.7700
2021-11-24 $0.7700
2021-08-25 $0.7700
2021-05-25 $0.7700
2021-02-23 $0.7700
2020-11-24 $0.6700
2020-08-25 $0.6700
2020-05-26 $0.6700
2020-02-25 $0.6700
2019-11-25 $0.5700
2019-08-26 $0.5700
2019-05-28 $0.5700
2019-02-25 $0.5700
2018-11-27 $0.5000
2018-08-27 $0.5000
2018-05-25 $0.5000
2018-02-23 $0.5000
2017-11-27 $0.4100
2017-08-24 $0.4100
2017-05-24 $0.4100
2017-02-22 $0.4100
2016-11-23 $0.3600
2016-08-24 $0.3600
2016-05-24 $0.3600
2016-02-23 $0.3600
2015-11-23 $0.3300
2015-08-24 $0.3300
2015-05-22 $0.3300
2015-02-23 $0.3300
2014-11-21 $0.3000
2014-08-22 $0.3000
2014-05-23 $0.3000
2014-02-24 $0.3000
2013-11-22 $0.2800
2013-08-23 $0.2800
2013-05-24 $0.2800
2013-02-22 $0.2800
2012-12-14 $2.5000
2012-11-26 $0.2550
2012-08-24 $0.2550
2012-05-24 $0.2550
2012-02-23 $0.2550
2011-11-23 $0.2500
2011-08-24 $0.2500
2011-05-24 $0.2500
2011-02-22 $0.2500
2010-11-23 $0.2350
2010-08-24 $0.2350
2010-05-24 $0.2350
2010-02-22 $0.2350
2009-11-23 $0.2250
2009-08-24 $0.2250
2009-05-22 $0.2250
2009-02-23 $0.2250
2008-11-21 $0.2200
2008-08-22 $0.2200
2008-05-23 $0.2200
2008-02-25 $0.2200
2007-11-26 $0.2050
2007-08-24 $0.2050
2007-05-24 $0.2050
2007-02-22 $0.2050
2006-11-24 $0.1820
2006-08-24 $0.1820
2006-05-24 $0.1820
2006-02-22 $0.1820
2005-11-23 $0.1650
2005-08-24 $0.1650
2005-05-24 $0.0830
2005-02-22 $0.1650
2004-11-23 $0.1500
2004-08-24 $0.1500
2004-05-24 $0.1500
2004-02-23 $0.1500
2003-11-21 $0.1350
2003-08-22 $0.1350
2003-05-23 $0.1350
2003-02-24 $0.1350
2002-11-22 $0.1275
2002-08-23 $0.1275
2002-05-24 $0.1275
2002-02-22 $0.1275
2001-11-26 $0.1225
2001-08-24 $0.1225
2001-05-24 $0.1225
2001-02-22 $0.1225
2000-11-24 $0.1175
2000-08-24 $0.1175
2000-05-24 $0.1175
2000-02-23 $0.1175
1999-11-23 $0.1075
1999-08-24 $0.1075
1999-05-24 $0.1075
1999-02-22 $0.0975
1998-11-23 $0.0975
1998-08-24 $0.0975
1998-08-12 $0.0975
1998-05-22 $0.0975
1998-02-23 $0.0975
1997-11-21 $0.0900
1997-08-22 $0.0900
1997-05-23 $0.0900
1997-02-24 $0.0900
1996-11-22 $0.0825
1996-08-23 $0.0825
1996-05-24 $0.0825
1996-02-23 $0.0825
1995-11-24 $0.0750
1995-08-24 $0.0750
1995-05-22 $0.0750
1995-02-17 $0.0750
1994-11-21 $0.0725
1994-08-22 $0.0725
1994-05-20 $0.0725
1994-02-17 $0.0725
1993-11-19 $0.0712
1993-08-20 $0.0712
1993-05-20 $0.0712
1993-02-18 $0.0712
1992-11-19 $0.0700
1992-08-20 $0.0700
1992-05-20 $0.0700
1992-02-20 $0.0700
1991-11-20 $0.0688
1991-08-21 $0.0688
1991-05-22 $0.0688
1991-02-20 $0.0688
1990-11-21 $0.0675
1990-08-22 $0.0675
1990-05-22 $0.0675
1990-02-20 $0.0675
1989-11-21 $0.0625
1989-10-31 $0.0063
1989-08-22 $0.0625
1989-05-22 $0.0625
1989-02-17 $0.0625
1988-11-21 $0.0575
1988-08-22 $0.0575
1988-05-20 $0.0575
1988-02-19 $0.0575
1987-11-19 $0.0525
1987-08-20 $0.0525
1987-05-20 $0.0525
1987-02-19 $0.0525
1986-11-18 $0.0475
1986-08-20 $0.0475
1986-05-21 $0.0475
1986-02-20 $0.0475
1985-11-20 $0.0437
1985-08-21 $0.0437
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.30. Further, an Excess Kurtosis of 9.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.51%910.68%0.68%
-5.51% to -4.11%1320.99%1.68%
-4.11% to -2.72%4213.16%4.84%
-2.72% to -1.32%152011.42%16.26%
-1.32% to 0.07%483036.30%52.56%
0.07% to 1.47%422831.77%84.33%
1.47% to 2.86%139510.48%94.81%
2.86% to 4.26%4453.34%98.16%
4.26% to 5.65%1351.01%99.17%
Greater than 5.65%1100.83%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.79%1.93% 79.02%68.27%
±2σ -3.65%3.79% 95.00%95.45%
±3σ -5.51%5.65% 98.49%99.73%
Descriptive Statistics
Mean0.073%
Standard Error0.016%
Median0.000%
Mode0.000%
Standard Deviation1.860%
Sample Variance3.458%
Kurtosis9.93
Skewness0.30
Range42.791%
Minimum-18.949%
Maximum23.842%
Count13307
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.368% 6444 48.43% 0.662%
Negative -1.305% 6008 45.15% -0.589%
Zero 0.000% 855 6.42% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 1.94%
20 1 Month 2.63%
60 1 Quarter 2.85%
250 1 Year 2.17%
750 3 Years 1.84%
1,250 5 Years 2.06%
2,500 10 Years 2.04%
5,000 20 Years 2.35%
12,500 50 Years 2.21%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.12. Further, an Excess Kurtosis of 40.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.59%00.00%0.00%
-2.59% to -1.40%00.00%0.00%
-1.40% to -0.20%00.00%0.00%
-0.20% to 0.99%183313.77%13.77%
0.99% to 2.18%666750.10%63.87%
2.18% to 3.37%291621.91%85.78%
3.37% to 4.56%10748.07%93.85%
4.56% to 5.75%4063.05%96.90%
5.75% to 6.95%1891.42%98.32%
Greater than 6.95%2231.68%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.59%3.77% 87.45%68.27%
±2σ -1.00%5.36% 96.09%95.45%
±3σ -2.59%6.94% 98.32%99.73%
Descriptive Statistics
Mean2.178%
Standard Error0.014%
Median1.765%
Mode1.613%
Standard Deviation1.589%
Sample Variance2.524%
Kurtosis40.00
Skewness4.12
Range35.593%
Minimum0.209%
Maximum35.802%
Count13308
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.178% 13308 100.00% 2.178%
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 0.27. Further, an Excess Kurtosis of 8.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.93%960.72%0.72%
-4.93% to -3.71%1391.04%1.77%
-3.71% to -2.49%4603.46%5.22%
-2.49% to -1.26%153311.52%16.74%
-1.26% to -0.04%405630.48%47.22%
-0.04% to 1.18%487436.62%83.84%
1.18% to 2.40%147711.10%94.94%
2.40% to 3.62%4133.10%98.05%
3.62% to 4.84%1531.15%99.20%
Greater than 4.84%1070.80%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.67%1.58% 78.13%68.27%
±2σ -3.30%3.21% 94.78%95.45%
±3σ -4.93%4.84% 98.47%99.73%
Descriptive Statistics
Mean-0.044%
Standard Error0.014%
Median0.000%
Mode0.000%
Standard Deviation1.628%
Sample Variance2.649%
Kurtosis8.47
Skewness0.27
Range36.771%
Minimum-16.401%
Maximum20.370%
Count13308
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.191% 5961 44.79% 0.533%
Negative -1.208% 6365 47.83% -0.578%
Zero 0.000% 982 7.38% 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 5.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.78%180.65%0.65%
-11.78% to -8.74%291.05%1.70%
-8.74% to -5.71%1114.02%5.73%
-5.71% to -2.68%30811.16%16.89%
-2.68% to 0.35%95034.43%51.32%
0.35% to 3.38%87631.75%83.07%
3.38% to 6.41%32711.85%94.93%
6.41% to 9.44%933.37%98.30%
9.44% to 12.48%260.94%99.24%
Greater than 12.48%210.76%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.69%4.39% 75.86%68.27%
±2σ -7.73%8.43% 94.85%95.45%
±3σ -11.78%12.48% 98.59%99.73%
Descriptive Statistics
Mean0.350%
Standard Error0.077%
Median0.254%
Mode0.000%
Standard Deviation4.042%
Sample Variance16.341%
Kurtosis5.77
Skewness0.32
Range54.766%
Minimum-25.389%
Maximum29.377%
Count2759
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.991% 1469 53.24% 1.593%
Negative -2.804% 1223 44.33% -1.243%
Zero 0.000% 67 2.43% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 6.59%
12 1 Quarter 6.89%
52 1 Year 4.96%
156 3 Years 4.30%
260 5 Years 4.80%
520 10 Years 4.72%
1,040 20 Years 5.46%
2,600 50 Years 5.26%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.48. Further, an Excess Kurtosis of 25.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.84%00.00%0.00%
-5.84% to -2.98%00.00%0.00%
-2.98% to -0.12%00.00%0.00%
-0.12% to 2.74%43415.72%15.72%
2.74% to 5.61%130047.10%62.83%
5.61% to 8.47%61422.25%85.07%
8.47% to 11.33%2358.51%93.59%
11.33% to 14.19%973.51%97.10%
14.19% to 17.06%381.38%98.48%
Greater than 17.06%421.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.79%9.42% 85.98%68.27%
±2σ -2.03%13.24% 96.09%95.45%
±3σ -5.85%17.06% 98.48%99.73%
Descriptive Statistics
Mean5.606%
Standard Error0.073%
Median4.655%
Mode2.174%
Standard Deviation3.817%
Sample Variance14.566%
Kurtosis25.12
Skewness3.48
Range56.855%
Minimum0.638%
Maximum57.493%
Count2760
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.606% 2760 100.00% 5.606%
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 0.73. Further, an Excess Kurtosis of 5.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.87%130.47%0.47%
-11.87% to -8.94%291.05%1.52%
-8.94% to -6.01%903.26%4.78%
-6.01% to -3.08%35312.79%17.57%
-3.08% to -0.15%93033.70%51.27%
-0.15% to 2.77%88532.07%83.33%
2.77% to 5.70%29210.58%93.91%
5.70% to 8.63%1083.91%97.83%
8.63% to 11.56%331.20%99.02%
Greater than 11.56%270.98%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.06%3.75% 76.59%68.27%
±2σ -7.96%7.65% 94.93%95.45%
±3σ -11.87%11.56% 98.55%99.73%
Descriptive Statistics
Mean-0.155%
Standard Error0.074%
Median-0.238%
Mode0.000%
Standard Deviation3.905%
Sample Variance15.247%
Kurtosis5.95
Skewness0.73
Range54.031%
Minimum-19.540%
Maximum34.491%
Count2760
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.876% 1243 45.04% 1.295%
Negative -2.758% 1451 52.57% -1.450%
Zero 0.000% 66 2.39% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.05. Further, an Excess Kurtosis of 1.59 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -20.37%30.47%0.47%
-20.37% to -14.91%71.10%1.58%
-14.91% to -9.46%284.42%5.99%
-9.46% to -4.00%9314.67%20.66%
-4.00% to 1.46%17828.08%48.74%
1.46% to 6.91%19530.76%79.50%
6.91% to 12.37%9514.98%94.48%
12.37% to 17.83%274.26%98.74%
17.83% to 23.28%50.79%99.53%
Greater than 23.28%30.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.82%8.73% 72.08%68.27%
±2σ -13.09%16.01% 95.74%95.45%
±3σ -20.37%23.28% 99.05%99.73%
Descriptive Statistics
Mean1.458%
Standard Error0.289%
Median1.647%
Mode0.000%
Standard Deviation7.275%
Sample Variance52.927%
Kurtosis1.59
Skewness-0.05
Range62.246%
Minimum-30.414%
Maximum31.832%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.067% 375 59.15% 3.589%
Negative -5.380% 251 39.59% -2.130%
Zero 0.000% 8 1.26% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 14.91%
12 1 Year 10.23%
36 3 Years 9.50%
60 5 Years 10.46%
120 10 Years 10.54%
240 20 Years 11.88%
600 50 Years 11.37%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.84. Further, an Excess Kurtosis of 25.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.71%00.00%0.00%
-12.71% to -6.33%00.00%0.00%
-6.33% to 0.05%00.00%0.00%
0.05% to 6.43%9314.65%14.65%
6.43% to 12.81%30147.40%62.05%
12.81% to 19.20%16125.35%87.40%
19.20% to 25.57%457.09%94.49%
25.57% to 31.96%152.36%96.85%
31.96% to 38.34%81.26%98.11%
Greater than 38.34%121.89%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.31%21.32% 89.92%68.27%
±2σ -4.20%29.83% 96.22%95.45%
±3σ -12.71%38.34% 98.11%99.73%
Descriptive Statistics
Mean12.815%
Standard Error0.338%
Median11.009%
Mode8.333%
Standard Deviation8.507%
Sample Variance72.365%
Kurtosis25.02
Skewness3.84
Range90.200%
Minimum2.920%
Maximum93.120%
Count635
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.815% 635 100.00% 12.815%
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 0.91. Further, an Excess Kurtosis of 3.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -22.74%20.31%0.31%
-22.74% to -17.24%30.47%0.79%
-17.24% to -11.74%213.31%4.09%
-11.74% to -6.24%10015.75%19.84%
-6.24% to -0.74%22735.75%55.59%
-0.74% to 4.76%15824.88%80.47%
4.76% to 10.26%8212.91%93.39%
10.26% to 15.76%304.72%98.11%
15.76% to 21.26%71.10%99.21%
Greater than 21.26%50.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.07%6.60% 74.17%68.27%
±2σ -15.41%13.93% 95.91%95.45%
±3σ -22.74%21.26% 98.90%99.73%
Descriptive Statistics
Mean-0.738%
Standard Error0.291%
Median-1.492%
Mode0.000%
Standard Deviation7.334%
Sample Variance53.783%
Kurtosis3.81
Skewness0.91
Range68.688%
Minimum-25.439%
Maximum43.249%
Count635
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.046% 253 39.84% 2.409%
Negative -5.315% 376 59.21% -3.147%
Zero 0.000% 6 0.94% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.28. Further, an Excess Kurtosis of 0.62 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -32.85%10.47%0.47%
-32.85% to -23.55%10.47%0.95%
-23.55% to -14.25%73.32%4.27%
-14.25% to -4.95%4018.96%23.22%
-4.95% to 4.34%5526.07%49.29%
4.34% to 13.64%6128.91%78.20%
13.64% to 22.94%3014.22%92.42%
22.94% to 32.24%136.16%98.58%
32.24% to 41.54%20.95%99.53%
Greater than 41.54%10.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.05%16.74% 72.04%68.27%
±2σ -20.45%29.14% 95.26%95.45%
±3σ -32.85%41.54% 99.05%99.73%
Descriptive Statistics
Mean4.345%
Standard Error0.854%
Median4.432%
Mode0.000%
Standard Deviation12.399%
Sample Variance153.741%
Kurtosis0.62
Skewness0.28
Range82.813%
Minimum-33.607%
Maximum49.206%
Count211
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.099% 127 60.19% 7.282%
Negative -7.559% 82 38.86% -2.938%
Zero 0.000% 2 0.95% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 18.69%
12 3 Years 18.84%
20 5 Years 19.01%
40 10 Years 19.36%
80 20 Years 21.12%
200 50 Years 20.26%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.81. Further, an Excess Kurtosis of 37.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.18%00.00%0.00%
-24.18% to -12.09%00.00%0.00%
-12.09% to 0.01%00.00%0.00%
0.01% to 12.10%219.91%9.91%
12.10% to 24.20%11654.72%64.62%
24.20% to 36.30%4923.11%87.74%
36.30% to 48.39%157.08%94.81%
48.39% to 60.49%62.83%97.64%
60.49% to 72.58%20.94%98.58%
Greater than 72.58%31.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 8.07%40.33% 89.62%68.27%
±2σ -8.06%56.46% 97.17%95.45%
±3σ -24.18%72.58% 98.58%99.73%
Descriptive Statistics
Mean24.200%
Standard Error1.108%
Median20.919%
Mode25.000%
Standard Deviation16.128%
Sample Variance260.113%
Kurtosis37.62
Skewness4.81
Range168.285%
Minimum6.526%
Maximum174.811%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 24.200% 212 100.00% 24.200%
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 0.59. Further, an Excess Kurtosis of 1.53 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -37.53%00.00%0.00%
-37.53% to -28.74%10.47%0.47%
-28.74% to -19.94%115.19%5.66%
-19.94% to -11.14%3516.51%22.17%
-11.14% to -2.34%6530.66%52.83%
-2.34% to 6.46%5224.53%77.36%
6.46% to 15.26%3516.51%93.87%
15.26% to 24.06%94.25%98.11%
24.06% to 32.86%20.94%99.06%
Greater than 32.86%20.94%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -14.07%9.39% 71.70%68.27%
±2σ -25.80%21.12% 95.75%95.45%
±3σ -37.53%32.86% 99.06%99.73%
Descriptive Statistics
Mean-2.339%
Standard Error0.806%
Median-3.398%
Mode-9.091%
Standard Deviation11.732%
Sample Variance137.633%
Kurtosis1.53
Skewness0.59
Range82.495%
Minimum-32.979%
Maximum49.516%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.871% 85 40.09% 3.557%
Negative -9.999% 125 58.96% -5.896%
Zero 0.000% 2 0.94% 0.000%