SPWH - 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	4.13%	3.59%	3.36%	5.41%	9.69%	9.65%	1.08	1.31	0.98	1.44
Weekly	8.33%	9.79%	8.00%	12.43%	21.32%	21.23%	0.96	1.47	0.78	1.82
Monthly	18.13%	21.00%	17.94%	28.12%	44.39%	44.20%	0.76	1.85	0.49	2.89
Quarterly	31.55%	36.00%	29.36%	44.46%	76.88%	76.56%	0.55	2.57	0.26	5.54
Annual	—	—	—	—	153.76%	153.13%	0.26	5.54	0.05	25.77
Option Time Horizon	—	—	—	—	59.14%	58.90%	0.66	2.15	0.36	3.88

Calculation Notes: Computed at 2026-02-22T14:21 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $1.19 | Strike (K): $2.50 (first OTM call ≥ spot) | Observed Mid-Price: $0.0500 (Bid $0.0000 / Ask $0.1000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 153.76% (CRR binomial tree, American, n=20 steps) | BS IV: 153.43% (European Black-Scholes) | Yahoo IV (Annual): 153.13% → 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 4.80. Further, an Excess Kurtosis of 112.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.39%	14	0.47%	0.47%
-12.39% to -9.29%	17	0.57%	1.04%
-9.29% to -6.19%	69	2.32%	3.36%
-6.19% to -3.09%	335	11.25%	14.61%
-3.09% to 0.01%	1139	38.25%	52.85%
0.01% to 3.11%	998	33.51%	86.37%
3.11% to 6.21%	284	9.54%	95.90%
6.21% to 9.31%	82	2.75%	98.66%
9.31% to 12.41%	19	0.64%	99.29%
Greater than 12.41%	21	0.71%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.12%	4.14%	82.34%	68.27%
±2σ	-8.26%	8.27%	96.44%	95.45%
±3σ	-12.39%	12.41%	98.82%	99.73%

Descriptive Statistics

Mean	0.008%
Standard Error	0.076%
Median	0.000%
Mode	0.000%
Standard Deviation	4.133%
Sample Variance	17.084%
Kurtosis	112.43
Skewness	4.80
Range	127.723%
Minimum	-29.796%
Maximum	97.927%
Count	2978

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.647%	1404	47.15%	1.248%
Negative	-2.481%	1488	49.97%	-1.240%
Zero	0.000%	86	2.89%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	5.81%
20	1 Month	6.15%
60	1 Quarter	5.87%
250	1 Year	7.88%
750	3 Years	6.81%
1,250	5 Years	5.41%
2,500	10 Years	5.15%
5,000	20 Years	5.01%
12,500	50 Years	5.01%

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

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -5.80%	0	0.00%	0.00%
-5.80% to -3.11%	0	0.00%	0.00%
-3.11% to -0.41%	0	0.00%	0.00%
-0.41% to 2.28%	442	14.84%	14.84%
2.28% to 4.97%	1368	45.92%	60.76%
4.97% to 7.66%	753	25.28%	86.04%
7.66% to 10.35%	247	8.29%	94.33%
10.35% to 13.04%	89	2.99%	97.31%
13.04% to 15.73%	32	1.07%	98.39%
Greater than 15.73%	48	1.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.38%	8.56%	82.75%	68.27%
±2σ	-2.21%	12.15%	96.71%	95.45%
±3σ	-5.80%	15.73%	98.39%	99.73%

Descriptive Statistics

Mean	4.968%
Standard Error	0.066%
Median	4.271%
Mode	3.846%
Standard Deviation	3.589%
Sample Variance	12.879%
Kurtosis	41.78
Skewness	4.13
Range	65.796%
Minimum	0.113%
Maximum	65.909%
Count	2979

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.968%	2979	100.00%	4.968%
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 -0.03. Further, an Excess Kurtosis of 7.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -9.85%	19	0.64%	0.64%
-9.85% to -7.33%	26	0.87%	1.51%
-7.33% to -4.81%	107	3.59%	5.10%
-4.81% to -2.29%	349	11.72%	16.82%
-2.29% to 0.23%	1079	36.22%	53.04%
0.23% to 2.75%	868	29.14%	82.18%
2.75% to 5.27%	365	12.25%	94.43%
5.27% to 7.79%	111	3.73%	98.15%
7.79% to 10.31%	36	1.21%	99.36%
Greater than 10.31%	19	0.64%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.13%	3.59%	77.37%	68.27%
±2σ	-6.49%	6.95%	95.33%	95.45%
±3σ	-9.85%	10.31%	98.72%	99.73%

Descriptive Statistics

Mean	0.231%
Standard Error	0.062%
Median	0.085%
Mode	0.000%
Standard Deviation	3.359%
Sample Variance	11.283%
Kurtosis	7.09
Skewness	-0.03
Range	55.045%
Minimum	-27.225%
Maximum	27.820%
Count	2979

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.519%	1511	50.72%	1.278%
Negative	-2.272%	1372	46.06%	-1.046%
Zero	0.000%	96	3.22%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.48. Further, an Excess Kurtosis of 11.71 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -25.00%	3	0.49%	0.49%
-25.00% to -18.75%	6	0.97%	1.46%
-18.75% to -12.51%	23	3.72%	5.18%
-12.51% to -6.25%	72	11.65%	16.83%
-6.25% to -0.01%	217	35.11%	51.94%
-0.01% to 6.25%	205	33.17%	85.11%
6.25% to 12.49%	61	9.87%	94.98%
12.49% to 18.74%	20	3.24%	98.22%
18.74% to 24.99%	7	1.13%	99.35%
Greater than 24.99%	4	0.65%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.34%	8.33%	81.07%	68.27%
±2σ	-16.67%	16.66%	94.98%	95.45%
±3σ	-25.00%	24.99%	98.87%	99.73%

Descriptive Statistics

Mean	-0.005%
Standard Error	0.335%
Median	-0.244%
Mode	0.000%
Standard Deviation	8.333%
Sample Variance	69.446%
Kurtosis	11.71
Skewness	1.48
Range	95.952%
Minimum	-30.962%
Maximum	64.990%
Count	618

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.861%	289	46.76%	2.741%
Negative	-5.286%	321	51.94%	-2.746%
Zero	0.000%	8	1.29%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	13.09%
12	1 Quarter	13.27%
52	1 Year	18.32%
156	3 Years	16.18%
260	5 Years	12.43%
520	10 Years	11.71%
1,040	20 Years	11.37%
2,600	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 4.81. Further, an Excess Kurtosis of 47.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -17.09%	0	0.00%	0.00%
-17.09% to -9.75%	0	0.00%	0.00%
-9.75% to -2.41%	0	0.00%	0.00%
-2.41% to 4.93%	67	10.82%	10.82%
4.93% to 12.27%	329	53.15%	63.97%
12.27% to 19.60%	146	23.59%	87.56%
19.60% to 26.94%	46	7.43%	94.99%
26.94% to 34.28%	12	1.94%	96.93%
34.28% to 41.62%	9	1.45%	98.38%
Greater than 41.62%	10	1.62%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.48%	22.05%	84.01%	68.27%
±2σ	-7.30%	31.84%	95.80%	95.45%
±3σ	-17.09%	41.62%	98.38%	99.73%

Descriptive Statistics

Mean	12.265%
Standard Error	0.393%
Median	10.145%
Mode	2.312%
Standard Deviation	9.785%
Sample Variance	95.741%
Kurtosis	47.43
Skewness	4.81
Range	137.478%
Minimum	0.565%
Maximum	138.043%
Count	619

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	12.265%	619	100.00%	12.265%
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 0.62. Further, an Excess Kurtosis of 4.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -23.15%	2	0.32%	0.32%
-23.15% to -17.16%	9	1.45%	1.78%
-17.16% to -11.16%	18	2.91%	4.68%
-11.16% to -5.17%	72	11.63%	16.32%
-5.17% to 0.83%	236	38.13%	54.44%
0.83% to 6.83%	182	29.40%	83.84%
6.83% to 12.82%	64	10.34%	94.18%
12.82% to 18.82%	21	3.39%	97.58%
18.82% to 24.82%	7	1.13%	98.71%
Greater than 24.82%	8	1.29%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.16%	8.83%	79.00%	68.27%
±2σ	-15.16%	16.82%	94.83%	95.45%
±3σ	-23.15%	24.82%	98.38%	99.73%

Descriptive Statistics

Mean	0.831%
Standard Error	0.321%
Median	0.303%
Mode	0.000%
Standard Deviation	7.995%
Sample Variance	63.922%
Kurtosis	4.97
Skewness	0.62
Range	82.653%
Minimum	-37.805%
Maximum	44.848%
Count	619

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.071%	322	52.02%	3.158%
Negative	-4.933%	292	47.17%	-2.327%
Zero	0.000%	5	0.81%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.18. Further, an Excess Kurtosis of 3.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -54.39%	0	0.00%	0.00%
-54.39% to -40.80%	0	0.00%	0.00%
-40.80% to -27.20%	7	4.93%	4.93%
-27.20% to -13.60%	19	13.38%	18.31%
-13.60% to -0.00%	51	35.92%	54.23%
-0.00% to 13.59%	43	30.28%	84.51%
13.59% to 27.19%	14	9.86%	94.37%
27.19% to 40.79%	4	2.82%	97.18%
40.79% to 54.39%	1	0.70%	97.89%
Greater than 54.39%	3	2.11%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.13%	18.13%	73.94%	68.27%
±2σ	-36.26%	36.26%	96.48%	95.45%
±3σ	-54.39%	54.39%	97.89%	99.73%

Descriptive Statistics

Mean	-0.003%
Standard Error	1.521%
Median	-1.113%
Mode	-36.745%
Standard Deviation	18.130%
Sample Variance	328.708%
Kurtosis	3.77
Skewness	1.18
Range	119.285%
Minimum	-36.745%
Maximum	82.540%
Count	142

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	13.904%	65	45.77%	6.365%
Negative	-11.743%	77	54.23%	-6.368%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	29.87%
12	1 Year	47.29%
36	3 Years	37.84%
60	5 Years	28.12%
120	10 Years	26.59%
240	20 Years	25.64%
600	50 Years	25.64%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.18. Further, an Excess Kurtosis of 8.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -32.65%	0	0.00%	0.00%
-32.65% to -16.90%	0	0.00%	0.00%
-16.90% to -1.15%	0	0.00%	0.00%
-1.15% to 14.60%	27	18.88%	18.88%
14.60% to 30.35%	56	39.16%	58.04%
30.35% to 46.09%	40	27.97%	86.01%
46.09% to 61.84%	12	8.39%	94.41%
61.84% to 77.59%	3	2.10%	96.50%
77.59% to 93.34%	3	2.10%	98.60%
Greater than 93.34%	2	1.40%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	9.35%	51.34%	81.82%	68.27%
±2σ	-11.65%	72.34%	96.50%	95.45%
±3σ	-32.65%	93.34%	98.60%	99.73%

Descriptive Statistics

Mean	30.346%
Standard Error	1.756%
Median	25.581%
Mode	1.879%
Standard Deviation	20.999%
Sample Variance	440.961%
Kurtosis	8.00
Skewness	2.18
Range	136.164%
Minimum	1.879%
Maximum	138.043%
Count	143

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	30.346%	143	100.00%	30.346%
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 0.61. Further, an Excess Kurtosis of 1.18 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -50.69%	0	0.00%	0.00%
-50.69% to -37.23%	3	2.10%	2.10%
-37.23% to -23.78%	1	0.70%	2.80%
-23.78% to -10.33%	24	16.78%	19.58%
-10.33% to 3.13%	52	36.36%	55.94%
3.13% to 16.58%	37	25.87%	81.82%
16.58% to 30.03%	12	8.39%	90.21%
30.03% to 43.49%	9	6.29%	96.50%
43.49% to 56.94%	4	2.80%	99.30%
Greater than 56.94%	1	0.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.81%	21.06%	71.33%	68.27%
±2σ	-32.75%	39.00%	93.71%	95.45%
±3σ	-50.69%	56.94%	99.30%	99.73%

Descriptive Statistics

Mean	3.127%
Standard Error	1.500%
Median	1.079%
Mode	-44.058%
Standard Deviation	17.938%
Sample Variance	321.789%
Kurtosis	1.18
Skewness	0.61
Range	106.299%
Minimum	-44.058%
Maximum	62.241%
Count	143

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.793%	78	54.55%	8.069%
Negative	-11.043%	64	44.76%	-4.942%
Zero	0.000%	1	0.70%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.03. Further, an Excess Kurtosis of 6.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -95.14%	0	0.00%	0.00%
-95.14% to -71.48%	0	0.00%	0.00%
-71.48% to -47.81%	0	0.00%	0.00%
-47.81% to -24.15%	7	14.58%	14.58%
-24.15% to -0.49%	20	41.67%	56.25%
-0.49% to 23.17%	15	31.25%	87.50%
23.17% to 46.84%	3	6.25%	93.75%
46.84% to 70.50%	1	2.08%	95.83%
70.50% to 94.16%	0	0.00%	95.83%
Greater than 94.16%	2	4.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.04%	31.06%	79.17%	68.27%
±2σ	-63.59%	62.61%	95.83%	95.45%
±3σ	-95.14%	94.16%	95.83%	99.73%

Descriptive Statistics

Mean	-0.489%
Standard Error	4.554%
Median	-3.583%
Mode	-45.027%
Standard Deviation	31.550%
Sample Variance	995.378%
Kurtosis	6.15
Skewness	2.03
Range	169.748%
Minimum	-45.027%
Maximum	124.721%
Count	48

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	22.650%	21	43.75%	9.909%
Negative	-18.486%	27	56.25%	-10.398%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	68.62%
12	3 Years	56.87%
20	5 Years	44.46%
40	10 Years	45.28%
80	20 Years	44.18%
200	50 Years	44.18%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.13. Further, an Excess Kurtosis of 1.13 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -49.94%	0	0.00%	0.00%
-49.94% to -22.94%	0	0.00%	0.00%
-22.94% to 4.06%	1	2.04%	2.04%
4.06% to 31.07%	9	18.37%	20.41%
31.07% to 58.07%	22	44.90%	65.31%
58.07% to 85.07%	6	12.24%	77.55%
85.07% to 112.07%	6	12.24%	89.80%
112.07% to 139.07%	3	6.12%	95.92%
139.07% to 166.08%	2	4.08%	100.00%
Greater than 166.08%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	22.06%	94.07%	77.55%	68.27%
±2σ	-13.94%	130.07%	93.88%	95.45%
±3σ	-49.94%	166.08%	100.00%	99.73%

Descriptive Statistics

Mean	58.068%
Standard Error	5.143%
Median	48.000%
Mode	3.379%
Standard Deviation	36.003%
Sample Variance	1296.185%
Kurtosis	1.13
Skewness	1.13
Range	160.706%
Minimum	3.379%
Maximum	164.085%
Count	49

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	58.068%	49	100.00%	58.068%
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 1.60 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -79.83%	0	0.00%	0.00%
-79.83% to -57.81%	0	0.00%	0.00%
-57.81% to -35.79%	2	4.08%	4.08%
-35.79% to -13.77%	7	14.29%	18.37%
-13.77% to 8.25%	18	36.73%	55.10%
8.25% to 30.27%	15	30.61%	85.71%
30.27% to 52.29%	3	6.12%	91.84%
52.29% to 74.30%	1	2.04%	93.88%
74.30% to 96.32%	3	6.12%	100.00%
Greater than 96.32%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.11%	37.61%	79.59%	68.27%
±2σ	-50.47%	66.97%	89.80%	95.45%
±3σ	-79.83%	96.32%	100.00%	99.73%

Descriptive Statistics

Mean	8.249%
Standard Error	4.194%
Median	2.260%
Mode	-56.495%
Standard Deviation	29.358%
Sample Variance	861.867%
Kurtosis	1.60
Skewness	0.75
Range	145.614%
Minimum	-56.495%
Maximum	89.119%
Count	49

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	26.372%	27	55.10%	14.531%
Negative	-13.993%	22	44.90%	-6.283%
Zero	0.000%	0	0.00%	0.000%

SPWH Deep Analytical Report