SRPT - 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	6.04%	5.01%	4.29%	4.81%	6.06%	6.00%	16.32	18.42	15.36	19.57
Weekly	12.65%	15.55%	12.06%	11.52%	13.35%	13.20%	15.17	19.81	13.27	22.64
Monthly	26.52%	36.92%	26.52%	24.71%	27.78%	27.49%	13.13	22.89	9.95	30.22
Quarterly	44.43%	84.46%	44.56%	44.86%	48.12%	47.61%	10.71	28.05	6.62	45.38
Annual	—	—	—	—	96.24%	95.21%	6.62	45.38	2.53	118.81
Option Time Horizon	—	—	—	—	36.33%	35.94%	12.05	24.93	8.38	35.85

Calculation Notes: Computed at 2026-03-23T16:39 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $17.33 | Strike (K): $17.50 (first OTM call ≥ spot) | Observed Mid-Price: $2.4500 (Bid $2.2500 / Ask $2.6500) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 96.24% (CRR binomial tree, American, n=20 steps) | BS IV: 95.55% (European Black-Scholes) | Yahoo IV (Annual): 95.21% → 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 7.99. Further, an Excess Kurtosis of 234.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -17.98%	23	0.32%	0.32%
-17.98% to -13.45%	25	0.35%	0.66%
-13.45% to -8.91%	116	1.60%	2.27%
-8.91% to -4.38%	636	8.79%	11.06%
-4.38% to 0.15%	3154	43.59%	54.64%
0.15% to 4.68%	2491	34.43%	89.07%
4.68% to 9.21%	558	7.71%	96.78%
9.21% to 13.74%	125	1.73%	98.51%
13.74% to 18.27%	52	0.72%	99.23%
Greater than 18.27%	56	0.77%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.89%	6.19%	86.44%	68.27%
±2σ	-11.94%	12.23%	97.24%	95.45%
±3σ	-17.98%	18.27%	98.91%	99.73%

Descriptive Statistics

Mean	0.149%
Standard Error	0.071%
Median	0.000%
Mode	0.000%
Standard Deviation	6.042%
Sample Variance	36.502%
Kurtosis	234.86
Skewness	7.99
Range	263.737%
Minimum	-64.004%
Maximum	199.733%
Count	7236

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.707%	3365	46.50%	1.724%
Negative	-3.169%	3597	49.71%	-1.575%
Zero	0.000%	274	3.79%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	4.88%
20	1 Month	5.58%
60	1 Quarter	5.67%
250	1 Year	7.64%
750	3 Years	5.13%
1,250	5 Years	4.81%
2,500	10 Years	5.14%
5,000	20 Years	6.17%
12,500	50 Years	6.59%

High-to-Low 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 47.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -8.53%	0	0.00%	0.00%
-8.53% to -4.78%	0	0.00%	0.00%
-4.78% to -1.02%	0	0.00%	0.00%
-1.02% to 2.73%	759	10.49%	10.49%
2.73% to 6.49%	3946	54.53%	65.01%
6.49% to 10.24%	1588	21.94%	86.96%
10.24% to 13.99%	527	7.28%	94.24%
13.99% to 17.75%	212	2.93%	97.17%
17.75% to 21.50%	94	1.30%	98.47%
Greater than 21.50%	111	1.53%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.48%	11.49%	90.02%	68.27%
±2σ	-3.53%	16.50%	96.61%	95.45%
±3σ	-8.53%	21.50%	98.47%	99.73%

Descriptive Statistics

Mean	6.485%
Standard Error	0.059%
Median	5.185%
Mode	5.263%
Standard Deviation	5.006%
Sample Variance	25.060%
Kurtosis	47.05
Skewness	4.79
Range	99.148%
Minimum	0.781%
Maximum	99.929%
Count	7237

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.485%	7237	100.00%	6.485%
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 -0.25. Further, an Excess Kurtosis of 6.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.54%	61	0.84%	0.84%
-12.54% to -9.32%	79	1.09%	1.93%
-9.32% to -6.10%	215	2.97%	4.91%
-6.10% to -2.88%	842	11.63%	16.54%
-2.88% to 0.33%	2464	34.05%	50.59%
0.33% to 3.55%	2358	32.58%	83.17%
3.55% to 6.77%	836	11.55%	94.72%
6.77% to 9.99%	242	3.34%	98.07%
9.99% to 13.21%	88	1.22%	99.28%
Greater than 13.21%	52	0.72%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.96%	4.62%	77.74%	68.27%
±2σ	-8.25%	8.92%	94.83%	95.45%
±3σ	-12.54%	13.21%	98.44%	99.73%

Descriptive Statistics

Mean	0.333%
Standard Error	0.050%
Median	0.278%
Mode	0.000%
Standard Deviation	4.291%
Sample Variance	18.413%
Kurtosis	6.52
Skewness	-0.25
Range	75.742%
Minimum	-41.132%
Maximum	34.610%
Count	7237

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.163%	3794	52.42%	1.658%
Negative	-3.042%	3153	43.57%	-1.325%
Zero	0.000%	290	4.01%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.65. Further, an Excess Kurtosis of 29.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -37.28%	8	0.53%	0.53%
-37.28% to -27.79%	8	0.53%	1.07%
-27.79% to -18.30%	27	1.80%	2.86%
-18.30% to -8.81%	169	11.25%	14.11%
-8.81% to 0.68%	610	40.61%	54.73%
0.68% to 10.17%	485	32.29%	87.02%
10.17% to 19.66%	113	7.52%	94.54%
19.66% to 29.14%	52	3.46%	98.00%
29.14% to 38.63%	14	0.93%	98.93%
Greater than 38.63%	16	1.07%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.98%	13.33%	82.62%	68.27%
±2σ	-24.63%	25.98%	96.14%	95.45%
±3σ	-37.28%	38.64%	98.40%	99.73%

Descriptive Statistics

Mean	0.676%
Standard Error	0.326%
Median	-0.022%
Mode	0.000%
Standard Deviation	12.653%
Sample Variance	160.102%
Kurtosis	29.95
Skewness	2.65
Range	233.245%
Minimum	-59.546%
Maximum	173.699%
Count	1502

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.870%	730	48.60%	4.311%
Negative	-7.269%	751	50.00%	-3.634%
Zero	0.000%	21	1.40%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	12.80%
12	1 Quarter	13.49%
52	1 Year	17.89%
156	3 Years	12.36%
260	5 Years	11.52%
520	10 Years	12.34%
1,040	20 Years	14.77%
2,600	50 Years	15.66%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.57. Further, an Excess Kurtosis of 32.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -29.43%	0	0.00%	0.00%
-29.43% to -17.77%	0	0.00%	0.00%
-17.77% to -6.11%	0	0.00%	0.00%
-6.11% to 5.55%	72	4.79%	4.79%
5.55% to 17.21%	945	62.87%	67.66%
17.21% to 28.87%	308	20.49%	88.16%
28.87% to 40.53%	111	7.39%	95.54%
40.53% to 52.19%	26	1.73%	97.27%
52.19% to 63.85%	9	0.60%	97.87%
Greater than 63.85%	32	2.13%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.66%	32.76%	91.55%	68.27%
±2σ	-13.89%	48.31%	96.47%	95.45%
±3σ	-29.43%	63.85%	97.87%	99.73%

Descriptive Statistics

Mean	17.211%
Standard Error	0.401%
Median	13.053%
Mode	14.286%
Standard Deviation	15.548%
Sample Variance	241.731%
Kurtosis	32.93
Skewness	4.57
Range	200.196%
Minimum	3.038%
Maximum	203.234%
Count	1503

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.211%	1503	100.00%	17.211%
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 2.14. Further, an Excess Kurtosis of 20.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -35.28%	7	0.47%	0.47%
-35.28% to -26.24%	11	0.73%	1.20%
-26.24% to -17.19%	44	2.93%	4.13%
-17.19% to -8.14%	157	10.45%	14.57%
-8.14% to 0.91%	562	37.39%	51.96%
0.91% to 9.96%	519	34.53%	86.49%
9.96% to 19.01%	141	9.38%	95.87%
19.01% to 28.06%	32	2.13%	98.00%
28.06% to 37.10%	14	0.93%	98.94%
Greater than 37.10%	16	1.06%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.15%	12.97%	81.50%	68.27%
±2σ	-23.22%	25.04%	95.74%	95.45%
±3σ	-35.29%	37.10%	98.47%	99.73%

Descriptive Statistics

Mean	0.910%
Standard Error	0.311%
Median	0.549%
Mode	0.000%
Standard Deviation	12.065%
Sample Variance	145.554%
Kurtosis	20.68
Skewness	2.14
Range	199.560%
Minimum	-55.022%
Maximum	144.538%
Count	1503

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.424%	776	51.63%	4.349%
Negative	-7.353%	703	46.77%	-3.439%
Zero	0.000%	24	1.60%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.99. Further, an Excess Kurtosis of 8.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -76.85%	0	0.00%	0.00%
-76.85% to -56.96%	1	0.29%	0.29%
-56.96% to -37.08%	11	3.19%	3.48%
-37.08% to -17.19%	42	12.17%	15.65%
-17.19% to 2.70%	145	42.03%	57.68%
2.70% to 22.58%	99	28.70%	86.38%
22.58% to 42.47%	30	8.70%	95.07%
42.47% to 62.35%	7	2.03%	97.10%
62.35% to 82.24%	4	1.16%	98.26%
Greater than 82.24%	6	1.74%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.82%	29.21%	82.03%	68.27%
±2σ	-50.33%	55.73%	95.94%	95.45%
±3σ	-76.85%	82.24%	98.26%	99.73%

Descriptive Statistics

Mean	2.696%
Standard Error	1.427%
Median	-0.760%
Mode	-12.500%
Standard Deviation	26.515%
Sample Variance	703.021%
Kurtosis	8.23
Skewness	1.99
Range	216.164%
Minimum	-69.207%
Maximum	146.957%
Count	345

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	20.603%	167	48.41%	9.973%
Negative	-14.265%	176	51.01%	-7.277%
Zero	0.000%	2	0.58%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	20.68%
12	1 Year	35.85%
36	3 Years	27.25%
60	5 Years	24.71%
120	10 Years	27.84%
240	20 Years	33.68%
600	50 Years	35.19%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.59. Further, an Excess Kurtosis of 8.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -66.69%	0	0.00%	0.00%
-66.69% to -39.00%	0	0.00%	0.00%
-39.00% to -11.30%	0	0.00%	0.00%
-11.30% to 16.39%	32	9.25%	9.25%
16.39% to 44.08%	204	58.96%	68.21%
44.08% to 71.77%	62	17.92%	86.13%
71.77% to 99.46%	23	6.65%	92.77%
99.46% to 127.15%	10	2.89%	95.66%
127.15% to 154.84%	7	2.02%	97.69%
Greater than 154.84%	8	2.31%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.16%	81.00%	89.02%	68.27%
±2σ	-29.76%	117.92%	94.22%	95.45%
±3σ	-66.69%	154.84%	97.69%	99.73%

Descriptive Statistics

Mean	44.079%
Standard Error	1.985%
Median	32.041%
Mode	33.333%
Standard Deviation	36.922%
Sample Variance	1363.216%
Kurtosis	8.08
Skewness	2.59
Range	241.315%
Minimum	8.235%
Maximum	249.550%
Count	346

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	44.079%	346	100.00%	44.079%
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 2.34. Further, an Excess Kurtosis of 14.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -76.07%	0	0.00%	0.00%
-76.07% to -56.18%	3	0.87%	0.87%
-56.18% to -36.29%	7	2.02%	2.89%
-36.29% to -16.40%	44	12.72%	15.61%
-16.40% to 3.49%	144	41.62%	57.23%
3.49% to 23.38%	105	30.35%	87.57%
23.38% to 43.27%	25	7.23%	94.80%
43.27% to 63.15%	8	2.31%	97.11%
63.15% to 83.04%	5	1.45%	98.55%
Greater than 83.04%	5	1.45%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.03%	30.01%	82.37%	68.27%
±2σ	-49.55%	56.52%	94.51%	95.45%
±3σ	-76.07%	83.04%	98.55%	99.73%

Descriptive Statistics

Mean	3.488%
Standard Error	1.426%
Median	1.380%
Mode	0.000%
Standard Deviation	26.518%
Sample Variance	703.229%
Kurtosis	14.46
Skewness	2.34
Range	278.462%
Minimum	-59.859%
Maximum	218.603%
Count	346

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	19.989%	179	51.73%	10.341%
Negative	-14.460%	164	47.40%	-6.854%
Zero	0.000%	3	0.87%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.87. Further, an Excess Kurtosis of 4.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -126.55%	0	0.00%	0.00%
-126.55% to -93.23%	0	0.00%	0.00%
-93.23% to -59.91%	1	0.87%	0.87%
-59.91% to -26.59%	17	14.78%	15.65%
-26.59% to 6.73%	53	46.09%	61.74%
6.73% to 40.05%	28	24.35%	86.09%
40.05% to 73.37%	8	6.96%	93.04%
73.37% to 106.69%	3	2.61%	95.65%
106.69% to 140.01%	2	1.74%	97.39%
Greater than 140.01%	3	2.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-37.70%	51.16%	80.00%	68.27%
±2σ	-82.12%	95.58%	95.65%	95.45%
±3σ	-126.55%	140.01%	97.39%	99.73%

Descriptive Statistics

Mean	6.730%
Standard Error	4.143%
Median	1.048%
Mode	-73.686%
Standard Deviation	44.427%
Sample Variance	1973.802%
Kurtosis	4.95
Skewness	1.87
Range	257.637%
Minimum	-73.686%
Maximum	183.951%
Count	115

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	36.009%	58	50.44%	18.161%
Negative	-23.063%	57	49.56%	-11.431%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	54.43%
12	3 Years	49.88%
20	5 Years	44.86%
40	10 Years	50.79%
80	20 Years	64.31%
200	50 Years	65.83%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.67. Further, an Excess Kurtosis of 9.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -157.02%	0	0.00%	0.00%
-157.02% to -93.67%	0	0.00%	0.00%
-93.67% to -30.33%	0	0.00%	0.00%
-30.33% to 33.02%	9	7.76%	7.76%
33.02% to 96.36%	70	60.34%	68.10%
96.36% to 159.71%	19	16.38%	84.48%
159.71% to 223.05%	9	7.76%	92.24%
223.05% to 286.40%	5	4.31%	96.55%
286.40% to 349.74%	2	1.72%	98.28%
Greater than 349.74%	2	1.72%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.90%	180.82%	86.21%	68.27%
±2σ	-72.56%	265.28%	93.97%	95.45%
±3σ	-157.02%	349.74%	98.28%	99.73%

Descriptive Statistics

Mean	96.363%
Standard Error	7.842%
Median	65.698%
Mode	100.000%
Standard Deviation	84.460%
Sample Variance	7133.548%
Kurtosis	9.14
Skewness	2.67
Range	497.064%
Minimum	24.817%
Maximum	521.881%
Count	116

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	96.363%	116	100.00%	96.363%
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 2.40. Further, an Excess Kurtosis of 11.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -125.09%	0	0.00%	0.00%
-125.09% to -91.67%	0	0.00%	0.00%
-91.67% to -58.25%	3	2.59%	2.59%
-58.25% to -24.83%	16	13.79%	16.38%
-24.83% to 8.60%	48	41.38%	57.76%
8.60% to 42.02%	32	27.59%	85.34%
42.02% to 75.44%	10	8.62%	93.97%
75.44% to 108.86%	4	3.45%	97.41%
108.86% to 142.28%	2	1.72%	99.14%
Greater than 142.28%	1	0.86%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-35.97%	53.16%	81.90%	68.27%
±2σ	-80.53%	97.72%	95.69%	95.45%
±3σ	-125.09%	142.28%	99.14%	99.73%

Descriptive Statistics

Mean	8.595%
Standard Error	4.138%
Median	-0.205%
Mode	-63.995%
Standard Deviation	44.563%
Sample Variance	1985.820%
Kurtosis	11.61
Skewness	2.40
Range	344.324%
Minimum	-63.995%
Maximum	280.329%
Count	116

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	37.960%	58	50.00%	18.980%
Negative	-20.770%	58	50.00%	-10.385%
Zero	0.000%	0	0.00%	0.000%

SRPT Deep Analytical Report