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	4.16%	3.59%	3.36%	5.49%	13.00%	12.89%	1.04	1.34	0.91	1.53
Weekly	8.36%	9.77%	7.99%	12.63%	28.61%	28.39%	0.89	1.57	0.67	2.09
Monthly	18.11%	20.93%	17.93%	28.72%	59.56%	59.09%	0.65	2.14	0.36	3.88
Quarterly	31.50%	35.77%	29.35%	45.06%	103.16%	102.34%	0.42	3.31	0.15	9.29
Annual	—	—	—	—	206.33%	204.69%	0.15	9.29	0.02	73.11
Option Time Horizon	—	—	—	—	74.04%	73.45%	0.56	2.47	0.27	5.19

Calculation Notes: Computed at 2026-03-01T12:16 UTC | Reference Contract: Call option expiring 2026-04-17 (47 days) | Spot Price (S): $1.18 | Strike (K): $2.50 (first OTM call ≥ spot) | Observed Mid-Price: $0.1000 (Bid $0.0000 / Ask $0.2000) | Risk-Free Rate (r): 3.74% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 206.33% (CRR binomial tree, American, n=20 steps) | BS IV: 206.51% (European Black-Scholes) | Yahoo IV (Annual): 204.69% → 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 4.79. Further, an Excess Kurtosis of 109.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.46%	14	0.47%	0.47%
-12.46% to -9.34%	17	0.57%	1.03%
-9.34% to -6.22%	67	2.23%	3.27%
-6.22% to -3.10%	338	11.27%	14.54%
-3.10% to 0.01%	1151	38.38%	52.92%
0.01% to 3.13%	1006	33.54%	86.46%
3.13% to 6.25%	285	9.50%	95.97%
6.25% to 9.37%	80	2.67%	98.63%
9.37% to 12.48%	19	0.63%	99.27%
Greater than 12.48%	22	0.73%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.14%	4.17%	82.56%	68.27%
±2σ	-8.30%	8.33%	96.47%	95.45%
±3σ	-12.46%	12.48%	98.80%	99.73%

Descriptive Statistics

Mean	0.014%
Standard Error	0.076%
Median	0.000%
Mode	0.000%
Standard Deviation	4.157%
Sample Variance	17.283%
Kurtosis	109.74
Skewness	4.79
Range	127.723%
Minimum	-29.796%
Maximum	97.927%
Count	2999

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.664%	1412	47.08%	1.254%
Negative	-2.483%	1498	49.95%	-1.240%
Zero	0.000%	89	2.97%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	4.38%
20	1 Month	6.39%
60	1 Quarter	5.60%
250	1 Year	7.68%
750	3 Years	6.89%
1,250	5 Years	5.49%
2,500	10 Years	5.17%
5,000	20 Years	5.02%
12,500	50 Years	5.02%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.11. Further, an Excess Kurtosis of 41.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -5.79%	0	0.00%	0.00%
-5.79% to -3.10%	0	0.00%	0.00%
-3.10% to -0.41%	0	0.00%	0.00%
-0.41% to 2.28%	446	14.87%	14.87%
2.28% to 4.98%	1379	45.97%	60.83%
4.98% to 7.67%	759	25.30%	86.13%
7.67% to 10.36%	245	8.17%	94.30%
10.36% to 13.05%	90	3.00%	97.30%
13.05% to 15.74%	32	1.07%	98.37%
Greater than 15.74%	49	1.63%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.39%	8.56%	82.70%	68.27%
±2σ	-2.20%	12.15%	96.70%	95.45%
±3σ	-5.79%	15.74%	98.37%	99.73%

Descriptive Statistics

Mean	4.976%
Standard Error	0.066%
Median	4.282%
Mode	3.846%
Standard Deviation	3.589%
Sample Variance	12.881%
Kurtosis	41.48
Skewness	4.11
Range	65.796%
Minimum	0.113%
Maximum	65.909%
Count	3000

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.976%	3000	100.00%	4.976%
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 -0.04. Further, an Excess Kurtosis of 7.06 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%	20	0.67%	0.67%
-9.85% to -7.33%	25	0.83%	1.50%
-7.33% to -4.81%	108	3.60%	5.10%
-4.81% to -2.29%	351	11.70%	16.80%
-2.29% to 0.23%	1084	36.13%	52.93%
0.23% to 2.75%	878	29.27%	82.20%
2.75% to 5.27%	367	12.23%	94.43%
5.27% to 7.79%	112	3.73%	98.17%
7.79% to 10.31%	36	1.20%	99.37%
Greater than 10.31%	19	0.63%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.13%	3.59%	77.43%	68.27%
±2σ	-6.49%	6.95%	95.33%	95.45%
±3σ	-9.85%	10.31%	98.70%	99.73%

Descriptive Statistics

Mean	0.230%
Standard Error	0.061%
Median	0.091%
Mode	0.000%
Standard Deviation	3.359%
Sample Variance	11.283%
Kurtosis	7.06
Skewness	-0.04
Range	55.045%
Minimum	-27.225%
Maximum	27.820%
Count	3000

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.516%	1523	50.77%	1.277%
Negative	-2.278%	1380	46.00%	-1.048%
Zero	0.000%	97	3.23%	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 11.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -25.05%	3	0.48%	0.48%
-25.05% to -18.78%	6	0.96%	1.45%
-18.78% to -12.51%	23	3.70%	5.14%
-12.51% to -6.25%	73	11.74%	16.88%
-6.25% to 0.02%	226	36.33%	53.22%
0.02% to 6.29%	201	32.32%	85.53%
6.29% to 12.55%	58	9.32%	94.86%
12.55% to 18.82%	21	3.38%	98.23%
18.82% to 25.09%	7	1.13%	99.36%
Greater than 25.09%	4	0.64%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.34%	8.38%	81.03%	68.27%
±2σ	-16.69%	16.73%	95.02%	95.45%
±3σ	-25.05%	25.09%	98.87%	99.73%

Descriptive Statistics

Mean	0.020%
Standard Error	0.335%
Median	-0.210%
Mode	0.000%
Standard Deviation	8.356%
Sample Variance	69.827%
Kurtosis	11.50
Skewness	1.48
Range	95.952%
Minimum	-30.962%
Maximum	64.990%
Count	622

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.899%	291	46.78%	2.760%
Negative	-5.292%	322	51.77%	-2.740%
Zero	0.000%	9	1.45%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	14.29%
12	1 Quarter	13.15%
52	1 Year	18.08%
156	3 Years	16.36%
260	5 Years	12.63%
520	10 Years	11.75%
1,040	20 Years	11.40%
2,600	50 Years	11.40%

High-to-Low 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 47.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -17.04%	0	0.00%	0.00%
-17.04% to -9.71%	0	0.00%	0.00%
-9.71% to -2.38%	0	0.00%	0.00%
-2.38% to 4.95%	68	10.91%	10.91%
4.95% to 12.28%	331	53.13%	64.04%
12.28% to 19.60%	146	23.43%	87.48%
19.60% to 26.93%	46	7.38%	94.86%
26.93% to 34.26%	13	2.09%	96.95%
34.26% to 41.59%	9	1.44%	98.39%
Greater than 41.59%	10	1.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.51%	22.05%	83.79%	68.27%
±2σ	-7.26%	31.81%	95.83%	95.45%
±3σ	-17.03%	41.59%	98.39%	99.73%

Descriptive Statistics

Mean	12.275%
Standard Error	0.391%
Median	10.145%
Mode	2.312%
Standard Deviation	9.770%
Sample Variance	95.461%
Kurtosis	47.38
Skewness	4.80
Range	137.478%
Minimum	0.565%
Maximum	138.043%
Count	623

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	12.275%	623	100.00%	12.275%
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 0.63. 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	1.44%	1.77%
-17.16% to -11.16%	18	2.89%	4.65%
-11.16% to -5.17%	71	11.40%	16.05%
-5.17% to 0.83%	240	38.52%	54.57%
0.83% to 6.82%	183	29.37%	83.95%
6.82% to 12.82%	64	10.27%	94.22%
12.82% to 18.81%	19	3.05%	97.27%
18.81% to 24.81%	9	1.44%	98.72%
Greater than 24.81%	8	1.28%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.17%	8.82%	79.13%	68.27%
±2σ	-15.16%	16.81%	94.70%	95.45%
±3σ	-23.15%	24.81%	98.39%	99.73%

Descriptive Statistics

Mean	0.827%
Standard Error	0.320%
Median	0.281%
Mode	0.000%
Standard Deviation	7.993%
Sample Variance	63.888%
Kurtosis	4.97
Skewness	0.63
Range	82.653%
Minimum	-37.805%
Maximum	44.848%
Count	623

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.079%	323	51.85%	3.152%
Negative	-4.908%	295	47.35%	-2.324%
Zero	0.000%	5	0.80%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.16. Further, an Excess Kurtosis of 3.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -54.24%	0	0.00%	0.00%
-54.24% to -40.66%	0	0.00%	0.00%
-40.66% to -27.07%	8	5.59%	5.59%
-27.07% to -13.49%	19	13.29%	18.88%
-13.49% to 0.10%	50	34.97%	53.85%
0.10% to 13.68%	43	30.07%	83.92%
13.68% to 27.26%	15	10.49%	94.41%
27.26% to 40.85%	4	2.80%	97.20%
40.85% to 54.43%	1	0.70%	97.90%
Greater than 54.43%	3	2.10%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.02%	18.21%	74.13%	68.27%
±2σ	-36.13%	36.32%	96.50%	95.45%
±3σ	-54.24%	54.43%	97.90%	99.73%

Descriptive Statistics

Mean	0.095%
Standard Error	1.515%
Median	-1.068%
Mode	-36.745%
Standard Deviation	18.113%
Sample Variance	328.072%
Kurtosis	3.73
Skewness	1.16
Range	119.285%
Minimum	-36.745%
Maximum	82.540%
Count	143

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	13.918%	66	46.15%	6.424%
Negative	-11.753%	77	53.85%	-6.329%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	25.54%
12	1 Year	47.74%
36	3 Years	38.49%
60	5 Years	28.72%
120	10 Years	26.76%
240	20 Years	25.75%
600	50 Years	25.75%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.17. Further, an Excess Kurtosis of 8.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -32.34%	0	0.00%	0.00%
-32.34% to -16.64%	0	0.00%	0.00%
-16.64% to -0.94%	0	0.00%	0.00%
-0.94% to 14.76%	27	18.75%	18.75%
14.76% to 30.45%	55	38.19%	56.94%
30.45% to 46.16%	42	29.17%	86.11%
46.16% to 61.85%	12	8.33%	94.44%
61.85% to 77.55%	3	2.08%	96.53%
77.55% to 93.25%	3	2.08%	98.61%
Greater than 93.25%	2	1.39%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	9.52%	51.39%	81.94%	68.27%
±2σ	-11.41%	72.32%	96.53%	95.45%
±3σ	-32.34%	93.25%	98.61%	99.73%

Descriptive Statistics

Mean	30.455%
Standard Error	1.744%
Median	25.669%
Mode	1.879%
Standard Deviation	20.933%
Sample Variance	438.173%
Kurtosis	8.02
Skewness	2.17
Range	136.164%
Minimum	1.879%
Maximum	138.043%
Count	144

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	30.455%	144	100.00%	30.455%
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 1.18 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -50.79%	0	0.00%	0.00%
-50.79% to -37.34%	2	1.39%	1.39%
-37.34% to -23.89%	2	1.39%	2.78%
-23.89% to -10.43%	25	17.36%	20.14%
-10.43% to 3.02%	52	36.11%	56.25%
3.02% to 16.47%	36	25.00%	81.25%
16.47% to 29.92%	13	9.03%	90.28%
29.92% to 43.37%	9	6.25%	96.53%
43.37% to 56.82%	4	2.78%	99.31%
Greater than 56.82%	1	0.69%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.92%	20.95%	71.53%	68.27%
±2σ	-32.85%	38.89%	93.75%	95.45%
±3σ	-50.79%	56.82%	99.31%	99.73%

Descriptive Statistics

Mean	3.017%
Standard Error	1.495%
Median	1.068%
Mode	-44.058%
Standard Deviation	17.935%
Sample Variance	321.679%
Kurtosis	1.18
Skewness	0.62
Range	106.299%
Minimum	-44.058%
Maximum	62.241%
Count	144

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	14.806%	78	54.17%	8.020%
Negative	-11.083%	65	45.14%	-5.003%
Zero	0.000%	1	0.69%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.02. Further, an Excess Kurtosis of 6.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -94.72%	0	0.00%	0.00%
-94.72% to -71.10%	0	0.00%	0.00%
-71.10% to -47.48%	0	0.00%	0.00%
-47.48% to -23.86%	7	14.58%	14.58%
-23.86% to -0.24%	20	41.67%	56.25%
-0.24% to 23.38%	15	31.25%	87.50%
23.38% to 47.00%	3	6.25%	93.75%
47.00% to 70.63%	1	2.08%	95.83%
70.63% to 94.25%	0	0.00%	95.83%
Greater than 94.25%	2	4.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.73%	31.26%	79.17%	68.27%
±2σ	-63.23%	62.75%	95.83%	95.45%
±3σ	-94.72%	94.25%	95.83%	99.73%

Descriptive Statistics

Mean	-0.238%
Standard Error	4.546%
Median	-1.949%
Mode	-45.027%
Standard Deviation	31.495%
Sample Variance	991.917%
Kurtosis	6.14
Skewness	2.02
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	-18.040%	27	56.25%	-10.148%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	71.61%
12	3 Years	57.87%
20	5 Years	45.06%
40	10 Years	45.58%
80	20 Years	44.43%
200	50 Years	44.43%

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 1.18 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -48.88%	0	0.00%	0.00%
-48.88% to -22.05%	0	0.00%	0.00%
-22.05% to 4.77%	1	2.04%	2.04%
4.77% to 31.59%	8	16.33%	18.37%
31.59% to 58.42%	23	46.94%	65.31%
58.42% to 85.24%	6	12.24%	77.55%
85.24% to 112.07%	6	12.24%	89.80%
112.07% to 138.89%	3	6.12%	95.92%
138.89% to 165.71%	2	4.08%	100.00%
Greater than 165.71%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	22.65%	94.18%	77.55%	68.27%
±2σ	-13.11%	129.95%	93.88%	95.45%
±3σ	-48.88%	165.71%	100.00%	99.73%

Descriptive Statistics

Mean	58.419%
Standard Error	5.109%
Median	48.000%
Mode	3.379%
Standard Deviation	35.765%
Sample Variance	1279.145%
Kurtosis	1.18
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	58.419%	49	100.00%	58.419%
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 0.78. Further, an Excess Kurtosis of 1.64 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -80.09%	0	0.00%	0.00%
-80.09% to -58.08%	0	0.00%	0.00%
-58.08% to -36.06%	2	4.08%	4.08%
-36.06% to -14.05%	7	14.29%	18.37%
-14.05% to 7.96%	19	38.78%	57.14%
7.96% to 29.97%	14	28.57%	85.71%
29.97% to 51.99%	3	6.12%	91.84%
51.99% to 74.00%	1	2.04%	93.88%
74.00% to 96.01%	3	6.12%	100.00%
Greater than 96.01%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.39%	37.31%	79.59%	68.27%
±2σ	-50.74%	66.66%	89.80%	95.45%
±3σ	-80.09%	96.01%	100.00%	99.73%

Descriptive Statistics

Mean	7.961%
Standard Error	4.193%
Median	1.845%
Mode	-56.495%
Standard Deviation	29.350%
Sample Variance	861.395%
Kurtosis	1.64
Skewness	0.78
Range	145.614%
Minimum	-56.495%
Maximum	89.119%
Count	49

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	25.849%	27	55.10%	14.243%
Negative	-13.993%	22	44.90%	-6.283%
Zero	0.000%	0	0.00%	0.000%

SPWH Deep Analytical Report