Markets Data Volatility Heatmap Portfolio Calculator

SPGI Deep Analytical Report

S&P Global Inc. | Category: Equity Mega Cap | Ann. Div Yield: 0.92% ($3.84) | 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 1.86% 1.59% 1.63% 2.04% 1.92% 2.09% 409.53 425.59 401.73 433.85
Weekly 4.04% 3.82% 3.90% 4.77% 4.23% 4.61% 400.18 435.53 383.59 454.37
Monthly 7.30% 8.51% 7.38% 10.50% 8.81% 9.59% 382.26 455.94 350.02 497.94
Quarterly 12.42% 16.13% 11.77% 19.01% 15.26% 16.62% 358.38 486.32 307.65 566.52
Annual — — — — 30.53% 33.23% 307.65 566.52 226.72 768.76
Option Time Horizon — — — — 11.74% 12.78% 371.23 469.49 330.10 527.99
Calculation Notes: Computed at 2026-02-22T14:18 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $417.48  |  Strike (K): $420.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $19.1000 (Bid $17.9000 / Ask $20.3000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.92%  |  Binomial IV (Annual): 30.53% (CRR binomial tree, American, n=20 steps)  |  BS IV: 30.45% (European Black-Scholes)  |  Yahoo IV (Annual): 33.23% → 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
2025-11-25 $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 9.94 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%4203.16%4.84%
-2.72% to -1.32%151511.40%16.24%
-1.32% to 0.07%482836.34%52.58%
0.07% to 1.47%421831.75%84.33%
1.47% to 2.86%139410.49%94.82%
2.86% to 4.26%4433.33%98.16%
4.26% to 5.65%1351.02%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% 94.99%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 Variance3.460%
Kurtosis9.94
Skewness0.30
Range42.791%
Minimum-18.949%
Maximum23.842%
Count13286
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.368% 6431 48.40% 0.662%
Negative -1.305% 6000 45.16% -0.589%
Zero 0.000% 855 6.43% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.70%
20 1 Month 4.04%
60 1 Quarter 2.46%
250 1 Year 2.12%
750 3 Years 1.84%
1,250 5 Years 2.04%
2,500 10 Years 2.03%
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 4.13. Further, an Excess Kurtosis of 40.02 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 -0.21%00.00%0.00%
-0.21% to 0.98%182513.74%13.74%
0.98% to 2.18%666250.14%63.87%
2.18% to 3.37%291021.90%85.78%
3.37% to 4.56%10728.07%93.84%
4.56% to 5.75%4063.06%96.90%
5.75% to 6.94%1891.42%98.32%
Greater than 6.94%2231.68%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.59%3.77% 87.44%68.27%
±2σ -1.00%5.36% 96.09%95.45%
±3σ -2.59%6.94% 98.32%99.73%
Descriptive Statistics
Mean2.177%
Standard Error0.014%
Median1.764%
Mode1.613%
Standard Deviation1.589%
Sample Variance2.526%
Kurtosis40.02
Skewness4.13
Range35.593%
Minimum0.209%
Maximum35.802%
Count13287
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.177% 13287 100.00% 2.177%
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 8.49 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%1381.04%1.76%
-3.71% to -2.49%4593.45%5.22%
-2.49% to -1.26%152911.51%16.72%
-1.26% to -0.04%405030.48%47.20%
-0.04% to 1.18%486936.64%83.85%
1.18% to 2.40%147311.09%94.93%
2.40% to 3.62%4133.11%98.04%
3.62% to 4.84%1531.15%99.19%
Greater than 4.84%1070.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.67%1.58% 78.15%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%
Kurtosis8.49
Skewness0.27
Range36.771%
Minimum-16.401%
Maximum20.370%
Count13287
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.191% 5952 44.80% 0.534%
Negative -1.208% 6353 47.81% -0.578%
Zero 0.000% 982 7.39% 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 5.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.77%180.65%0.65%
-11.77% to -8.74%291.05%1.71%
-8.74% to -5.71%1114.03%5.74%
-5.71% to -2.68%30711.14%16.88%
-2.68% to 0.35%94934.45%51.32%
0.35% to 3.38%87531.76%83.09%
3.38% to 6.41%32711.87%94.95%
6.41% to 9.44%923.34%98.29%
9.44% to 12.47%260.94%99.24%
Greater than 12.47%210.76%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.69%4.39% 75.90%68.27%
±2σ -7.73%8.43% 94.88%95.45%
±3σ -11.77%12.47% 98.58%99.73%
Descriptive Statistics
Mean0.349%
Standard Error0.077%
Median0.254%
Mode0.000%
Standard Deviation4.041%
Sample Variance16.327%
Kurtosis5.79
Skewness0.32
Range54.766%
Minimum-25.389%
Maximum29.377%
Count2755
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.989% 1467 53.25% 1.592%
Negative -2.804% 1221 44.32% -1.243%
Zero 0.000% 67 2.43% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 9.80%
12 1 Quarter 5.82%
52 1 Year 4.82%
156 3 Years 4.29%
260 5 Years 4.77%
520 10 Years 4.70%
1,040 20 Years 5.45%
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 25.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.85%00.00%0.00%
-5.85% to -2.99%00.00%0.00%
-2.99% to -0.12%00.00%0.00%
-0.12% to 2.74%43315.71%15.71%
2.74% to 5.60%129847.10%62.81%
5.60% to 8.47%61422.28%85.09%
8.47% to 11.33%2348.49%93.58%
11.33% to 14.20%973.52%97.10%
14.20% 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% 85.99%68.27%
±2σ -2.03%13.24% 96.08%95.45%
±3σ -5.85%17.06% 98.48%99.73%
Descriptive Statistics
Mean5.604%
Standard Error0.073%
Median4.653%
Mode2.174%
Standard Deviation3.818%
Sample Variance14.576%
Kurtosis25.13
Skewness3.48
Range56.855%
Minimum0.638%
Maximum57.493%
Count2756
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.604% 2756 100.00% 5.604%
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 0.74. Further, an Excess Kurtosis of 5.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.86%130.47%0.47%
-11.86% to -8.93%281.02%1.49%
-8.93% to -6.01%903.27%4.75%
-6.01% to -3.08%35312.81%17.56%
-3.08% to -0.15%93033.74%51.31%
-0.15% to 2.77%88332.04%83.35%
2.77% to 5.70%29110.56%93.90%
5.70% to 8.63%1083.92%97.82%
8.63% to 11.55%331.20%99.02%
Greater than 11.55%270.98%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.06%3.75% 76.63%68.27%
±2σ -7.96%7.65% 94.96%95.45%
±3σ -11.86%11.55% 98.55%99.73%
Descriptive Statistics
Mean-0.154%
Standard Error0.074%
Median-0.241%
Mode0.000%
Standard Deviation3.902%
Sample Variance15.228%
Kurtosis5.97
Skewness0.74
Range54.031%
Minimum-19.540%
Maximum34.491%
Count2756
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.877% 1240 44.99% 1.294%
Negative -2.753% 1450 52.61% -1.448%
Zero 0.000% 66 2.40% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.08. Further, an Excess Kurtosis of 1.62 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -20.44%40.63%0.63%
-20.44% to -14.96%60.95%1.58%
-14.96% to -9.49%284.42%6.00%
-9.49% to -4.02%9314.69%20.70%
-4.02% to 1.46%17727.96%48.66%
1.46% to 6.93%19530.81%79.46%
6.93% to 12.41%9515.01%94.47%
12.41% to 17.88%274.27%98.74%
17.88% to 23.36%50.79%99.53%
Greater than 23.36%30.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.84%8.76% 72.35%68.27%
±2σ -13.14%16.06% 95.73%95.45%
±3σ -20.44%23.36% 98.89%99.73%
Descriptive Statistics
Mean1.458%
Standard Error0.290%
Median1.653%
Mode0.000%
Standard Deviation7.299%
Sample Variance53.274%
Kurtosis1.62
Skewness-0.08
Range62.246%
Minimum-30.414%
Maximum31.832%
Count633
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.067% 375 59.24% 3.594%
Negative -5.408% 250 39.49% -2.136%
Zero 0.000% 8 1.26% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 15.25%
12 1 Year 10.51%
36 3 Years 9.52%
60 5 Years 10.50%
120 10 Years 10.56%
240 20 Years 11.90%
600 50 Years 11.38%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.83. Further, an Excess Kurtosis of 24.98 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 6.44%9414.83%14.83%
6.44% to 12.82%29947.16%61.99%
12.82% to 19.21%16125.39%87.38%
19.21% to 25.59%457.10%94.48%
25.59% to 31.97%152.37%96.85%
31.97% to 38.36%81.26%98.11%
Greater than 38.36%121.89%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.31%21.33% 89.91%68.27%
±2σ -4.20%29.85% 96.21%95.45%
±3σ -12.71%38.36% 98.11%99.73%
Descriptive Statistics
Mean12.822%
Standard Error0.338%
Median11.018%
Mode8.333%
Standard Deviation8.512%
Sample Variance72.455%
Kurtosis24.98
Skewness3.83
Range90.200%
Minimum2.920%
Maximum93.120%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.822% 634 100.00% 12.822%
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 0.94. Further, an Excess Kurtosis of 3.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -22.86%20.32%0.32%
-22.86% to -17.32%30.47%0.79%
-17.32% to -11.79%203.15%3.94%
-11.79% to -6.26%9815.46%19.40%
-6.26% to -0.73%23036.28%55.68%
-0.73% to 4.80%15724.76%80.44%
4.80% to 10.33%8313.09%93.53%
10.33% to 15.86%304.73%98.26%
15.86% to 21.39%50.79%99.05%
Greater than 21.39%60.95%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.11%6.64% 74.29%68.27%
±2σ -15.48%14.02% 95.90%95.45%
±3σ -22.86%21.39% 98.74%99.73%
Descriptive Statistics
Mean-0.730%
Standard Error0.293%
Median-1.496%
Mode0.000%
Standard Deviation7.375%
Sample Variance54.386%
Kurtosis3.87
Skewness0.94
Range68.688%
Minimum-25.439%
Maximum43.249%
Count634
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.094% 252 39.75% 2.422%
Negative -5.315% 376 59.31% -3.152%
Zero 0.000% 6 0.95% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.27. Further, an Excess Kurtosis of 0.63 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -32.92%10.47%0.47%
-32.92% to -23.61%10.47%0.95%
-23.61% to -14.29%73.32%4.27%
-14.29% to -4.98%4018.96%23.22%
-4.98% to 4.33%5526.07%49.29%
4.33% to 13.65%6128.91%78.20%
13.65% to 22.96%3014.22%92.42%
22.96% to 32.28%136.16%98.58%
32.28% to 41.59%20.95%99.53%
Greater than 41.59%10.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.08%16.75% 72.04%68.27%
±2σ -20.50%29.17% 94.79%95.45%
±3σ -32.92%41.59% 99.05%99.73%
Descriptive Statistics
Mean4.335%
Standard Error0.855%
Median4.432%
Mode0.000%
Standard Deviation12.419%
Sample Variance154.242%
Kurtosis0.63
Skewness0.27
Range82.813%
Minimum-33.607%
Maximum49.206%
Count211
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.099% 127 60.19% 7.282%
Negative -7.585% 82 38.86% -2.948%
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 0.60. Further, an Excess Kurtosis of 1.54 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -37.63%00.00%0.00%
-37.63% to -28.80%10.47%0.47%
-28.80% to -19.98%115.19%5.66%
-19.98% to -11.15%3516.51%22.17%
-11.15% to -2.32%6530.66%52.83%
-2.32% to 6.50%5325.00%77.83%
6.50% to 15.33%3416.04%93.87%
15.33% to 24.16%83.77%97.64%
24.16% to 32.98%31.42%99.06%
Greater than 32.98%20.94%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -14.09%9.45% 71.70%68.27%
±2σ -25.86%21.21% 95.75%95.45%
±3σ -37.63%32.98% 99.06%99.73%
Descriptive Statistics
Mean-2.323%
Standard Error0.808%
Median-3.398%
Mode-9.091%
Standard Deviation11.769%
Sample Variance138.502%
Kurtosis1.54
Skewness0.60
Range82.495%
Minimum-32.979%
Maximum49.516%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.910% 85 40.09% 3.572%
Negative -9.999% 125 58.96% -5.896%
Zero 0.000% 2 0.94% 0.000%