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	6.05%	5.01%	4.29%	4.79%	5.97%	5.99%	17.79	20.04	16.75	21.28
Weekly	12.66%	15.57%	12.07%	11.48%	13.15%	13.19%	16.55	21.53	14.52	24.56
Monthly	26.54%	36.95%	26.54%	24.81%	27.36%	27.46%	14.36	24.82	10.92	32.64
Quarterly	44.40%	84.53%	44.56%	44.52%	47.40%	47.56%	11.75	30.33	7.32	48.72
Annual	—	—	—	—	94.79%	95.12%	7.32	48.72	2.84	125.71
Option Time Horizon	—	—	—	—	30.99%	31.09%	13.85	25.74	10.16	35.09

Calculation Notes: Computed at 2026-02-22T14:23 UTC | Reference Contract: Call option expiring 2026-04-02 (39 days) | Spot Price (S): $18.88 | Strike (K): $21.00 (first OTM call ≥ spot) | Observed Mid-Price: $1.5750 (Bid $1.0000 / Ask $2.1500) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 94.79% (CRR binomial tree, American, n=20 steps) | BS IV: 95.28% (European Black-Scholes) | Yahoo IV (Annual): 95.12% → 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 234.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -17.99%	23	0.32%	0.32%
-17.99% to -13.46%	25	0.35%	0.67%
-13.46% to -8.92%	116	1.61%	2.27%
-8.92% to -4.39%	633	8.77%	11.05%
-4.39% to 0.15%	3147	43.62%	54.66%
0.15% to 4.69%	2481	34.39%	89.05%
4.69% to 9.22%	557	7.72%	96.77%
9.22% to 13.76%	126	1.75%	98.52%
13.76% to 18.29%	51	0.71%	99.22%
Greater than 18.29%	56	0.78%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.90%	6.20%	86.42%	68.27%
±2σ	-11.95%	12.25%	97.23%	95.45%
±3σ	-17.99%	18.29%	98.91%	99.73%

Descriptive Statistics

Mean	0.150%
Standard Error	0.071%
Median	0.000%
Mode	0.000%
Standard Deviation	6.048%
Sample Variance	36.576%
Kurtosis	234.57
Skewness	7.99
Range	263.737%
Minimum	-64.004%
Maximum	199.733%
Count	7215

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.713%	3353	46.47%	1.726%
Negative	-3.168%	3588	49.73%	-1.575%
Zero	0.000%	274	3.80%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	4.02%
20	1 Month	6.12%
60	1 Quarter	5.87%
250	1 Year	7.69%
750	3 Years	5.14%
1,250	5 Years	4.79%
2,500	10 Years	5.18%
5,000	20 Years	6.17%
12,500	50 Years	6.60%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.78. Further, an Excess Kurtosis of 46.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -8.55%	0	0.00%	0.00%
-8.55% to -4.79%	0	0.00%	0.00%
-4.79% to -1.03%	0	0.00%	0.00%
-1.03% to 2.73%	759	10.52%	10.52%
2.73% to 6.49%	3933	54.50%	65.02%
6.49% to 10.25%	1584	21.95%	86.97%
10.25% to 14.01%	523	7.25%	94.22%
14.01% to 17.77%	213	2.95%	97.17%
17.77% to 21.52%	93	1.29%	98.46%
Greater than 21.52%	111	1.54%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.48%	11.50%	90.08%	68.27%
±2σ	-3.53%	16.51%	96.60%	95.45%
±3σ	-8.55%	21.52%	98.46%	99.73%

Descriptive Statistics

Mean	6.489%
Standard Error	0.059%
Median	5.188%
Mode	5.263%
Standard Deviation	5.012%
Sample Variance	25.121%
Kurtosis	46.93
Skewness	4.78
Range	99.148%
Minimum	0.781%
Maximum	99.929%
Count	7216

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.489%	7216	100.00%	6.489%
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 6.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.55%	61	0.85%	0.85%
-12.55% to -9.33%	79	1.09%	1.94%
-9.33% to -6.11%	215	2.98%	4.92%
-6.11% to -2.89%	838	11.61%	16.53%
-2.89% to 0.33%	2454	34.01%	50.54%
0.33% to 3.56%	2352	32.59%	83.13%
3.56% to 6.78%	836	11.59%	94.72%
6.78% to 10.00%	241	3.34%	98.06%
10.00% to 13.22%	88	1.22%	99.28%
Greater than 13.22%	52	0.72%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.96%	4.63%	77.74%	68.27%
±2σ	-8.26%	8.92%	94.83%	95.45%
±3σ	-12.55%	13.22%	98.43%	99.73%

Descriptive Statistics

Mean	0.334%
Standard Error	0.051%
Median	0.280%
Mode	0.000%
Standard Deviation	4.295%
Sample Variance	18.446%
Kurtosis	6.51
Skewness	-0.25
Range	75.742%
Minimum	-41.132%
Maximum	34.610%
Count	7216

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.164%	3787	52.48%	1.660%
Negative	-3.049%	3139	43.50%	-1.326%
Zero	0.000%	290	4.02%	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 29.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -37.31%	8	0.53%	0.53%
-37.31% to -27.81%	8	0.53%	1.07%
-27.81% to -18.31%	27	1.80%	2.87%
-18.31% to -8.82%	168	11.21%	14.09%
-8.82% to 0.68%	609	40.65%	54.74%
0.68% to 10.18%	483	32.24%	86.98%
10.18% to 19.68%	114	7.61%	94.59%
19.68% to 29.18%	51	3.40%	98.00%
29.18% to 38.68%	14	0.93%	98.93%
Greater than 38.68%	16	1.07%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.98%	13.35%	82.78%	68.27%
±2σ	-24.65%	26.01%	96.13%	95.45%
±3σ	-37.31%	38.68%	98.40%	99.73%

Descriptive Statistics

Mean	0.683%
Standard Error	0.327%
Median	-0.022%
Mode	0.000%
Standard Deviation	12.665%
Sample Variance	160.401%
Kurtosis	29.91
Skewness	2.65
Range	233.245%
Minimum	-59.546%
Maximum	173.699%
Count	1498

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.883%	728	48.60%	4.317%
Negative	-7.268%	749	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	13.48%
12	1 Quarter	13.15%
52	1 Year	18.05%
156	3 Years	12.54%
260	5 Years	11.48%
520	10 Years	12.45%
1,040	20 Years	14.78%
2,600	50 Years	15.67%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.56. Further, an Excess Kurtosis of 32.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -29.48%	0	0.00%	0.00%
-29.48% to -17.80%	0	0.00%	0.00%
-17.80% to -6.13%	0	0.00%	0.00%
-6.13% to 5.54%	72	4.80%	4.80%
5.54% to 17.22%	942	62.84%	67.65%
17.22% to 28.89%	307	20.48%	88.13%
28.89% to 40.57%	111	7.40%	95.53%
40.57% to 52.24%	26	1.73%	97.26%
52.24% to 63.92%	9	0.60%	97.87%
Greater than 63.92%	32	2.13%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.65%	32.79%	91.53%	68.27%
±2σ	-13.91%	48.35%	96.46%	95.45%
±3σ	-29.48%	63.92%	97.87%	99.73%

Descriptive Statistics

Mean	17.219%
Standard Error	0.402%
Median	13.053%
Mode	14.286%
Standard Deviation	15.566%
Sample Variance	242.288%
Kurtosis	32.85
Skewness	4.56
Range	200.196%
Minimum	3.038%
Maximum	203.234%
Count	1499

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.219%	1499	100.00%	17.219%
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 -35.31%	7	0.47%	0.47%
-35.31% to -26.26%	11	0.73%	1.20%
-26.26% to -17.20%	44	2.94%	4.14%
-17.20% to -8.15%	156	10.41%	14.54%
-8.15% to 0.91%	561	37.42%	51.97%
0.91% to 9.96%	518	34.56%	86.52%
9.96% to 19.02%	140	9.34%	95.86%
19.02% to 28.07%	32	2.13%	98.00%
28.07% to 37.13%	14	0.93%	98.93%
Greater than 37.13%	16	1.07%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.17%	12.98%	81.52%	68.27%
±2σ	-23.24%	25.05%	95.80%	95.45%
±3σ	-35.31%	37.13%	98.47%	99.73%

Descriptive Statistics

Mean	0.907%
Standard Error	0.312%
Median	0.549%
Mode	0.000%
Standard Deviation	12.073%
Sample Variance	145.764%
Kurtosis	20.68
Skewness	2.14
Range	199.560%
Minimum	-55.022%
Maximum	144.538%
Count	1499

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.422%	774	51.63%	4.349%
Negative	-7.359%	701	46.77%	-3.441%
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 8.22 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -76.89%	0	0.00%	0.00%
-76.89% to -56.98%	1	0.29%	0.29%
-56.98% to -37.08%	11	3.20%	3.49%
-37.08% to -17.18%	42	12.21%	15.70%
-17.18% to 2.72%	145	42.15%	57.85%
2.72% to 22.62%	98	28.49%	86.34%
22.62% to 42.53%	30	8.72%	95.06%
42.53% to 62.43%	7	2.03%	97.09%
62.43% to 82.33%	4	1.16%	98.26%
Greater than 82.33%	6	1.74%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.81%	29.26%	81.98%	68.27%
±2σ	-50.35%	55.80%	95.93%	95.45%
±3σ	-76.89%	82.33%	98.26%	99.73%

Descriptive Statistics

Mean	2.723%
Standard Error	1.431%
Median	-0.772%
Mode	-12.500%
Standard Deviation	26.536%
Sample Variance	704.149%
Kurtosis	8.22
Skewness	1.99
Range	216.164%
Minimum	-69.207%
Maximum	146.957%
Count	344

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	20.703%	166	48.26%	9.990%
Negative	-14.205%	176	51.16%	-7.268%
Zero	0.000%	2	0.58%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	20.20%
12	1 Year	37.81%
36	3 Years	27.55%
60	5 Years	24.81%
120	10 Years	28.21%
240	20 Years	33.70%
600	50 Years	35.24%

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

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -66.71%	0	0.00%	0.00%
-66.71% to -39.00%	0	0.00%	0.00%
-39.00% to -11.28%	0	0.00%	0.00%
-11.28% to 16.43%	32	9.28%	9.28%
16.43% to 44.15%	203	58.84%	68.12%
44.15% to 71.86%	62	17.97%	86.09%
71.86% to 99.57%	23	6.67%	92.75%
99.57% to 127.29%	10	2.90%	95.65%
127.29% to 155.00%	7	2.03%	97.68%
Greater than 155.00%	8	2.32%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.19%	81.10%	88.99%	68.27%
±2σ	-29.76%	118.05%	94.20%	95.45%
±3σ	-66.71%	155.00%	97.68%	99.73%

Descriptive Statistics

Mean	44.146%
Standard Error	1.989%
Median	32.081%
Mode	33.333%
Standard Deviation	36.952%
Sample Variance	1365.420%
Kurtosis	8.05
Skewness	2.59
Range	241.315%
Minimum	8.235%
Maximum	249.550%
Count	345

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	44.146%	345	100.00%	44.146%
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 -76.14%	0	0.00%	0.00%
-76.14% to -56.23%	3	0.87%	0.87%
-56.23% to -36.33%	7	2.03%	2.90%
-36.33% to -16.43%	44	12.75%	15.65%
-16.43% to 3.48%	143	41.45%	57.10%
3.48% to 23.38%	105	30.43%	87.54%
23.38% to 43.28%	25	7.25%	94.78%
43.28% to 63.19%	8	2.32%	97.10%
63.19% to 83.09%	5	1.45%	98.55%
Greater than 83.09%	5	1.45%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.06%	30.02%	82.32%	68.27%
±2σ	-49.60%	56.55%	94.49%	95.45%
±3σ	-76.14%	83.09%	98.55%	99.73%

Descriptive Statistics

Mean	3.478%
Standard Error	1.429%
Median	1.389%
Mode	0.000%
Standard Deviation	26.538%
Sample Variance	704.267%
Kurtosis	14.46
Skewness	2.34
Range	278.462%
Minimum	-59.859%
Maximum	218.603%
Count	345

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	19.914%	179	51.88%	10.332%
Negative	-14.508%	163	47.25%	-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 4.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -126.41%	0	0.00%	0.00%
-126.41% to -93.11%	0	0.00%	0.00%
-93.11% to -59.81%	1	0.87%	0.87%
-59.81% to -26.51%	17	14.78%	15.65%
-26.51% to 6.79%	53	46.09%	61.74%
6.79% to 40.09%	28	24.35%	86.09%
40.09% to 73.40%	8	6.96%	93.04%
73.40% to 106.70%	3	2.61%	95.65%
106.70% to 140.00%	2	1.74%	97.39%
Greater than 140.00%	3	2.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-37.61%	51.20%	80.00%	68.27%
±2σ	-82.01%	95.60%	95.65%	95.45%
±3σ	-126.41%	140.00%	97.39%	99.73%

Descriptive Statistics

Mean	6.793%
Standard Error	4.141%
Median	1.048%
Mode	-73.686%
Standard Deviation	44.402%
Sample Variance	1971.576%
Kurtosis	4.96
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	-22.936%	57	49.56%	-11.368%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	52.72%
12	3 Years	49.31%
20	5 Years	44.52%
40	10 Years	50.62%
80	20 Years	64.23%
200	50 Years	65.77%

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

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -157.34%	0	0.00%	0.00%
-157.34% to -93.94%	0	0.00%	0.00%
-93.94% to -30.53%	0	0.00%	0.00%
-30.53% to 32.87%	9	7.76%	7.76%
32.87% to 96.27%	70	60.34%	68.10%
96.27% to 159.67%	19	16.38%	84.48%
159.67% to 223.07%	9	7.76%	92.24%
223.07% to 286.47%	5	4.31%	96.55%
286.47% to 349.87%	2	1.72%	98.28%
Greater than 349.87%	2	1.72%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.73%	180.80%	86.21%	68.27%
±2σ	-72.80%	265.34%	93.97%	95.45%
±3σ	-157.34%	349.87%	98.28%	99.73%

Descriptive Statistics

Mean	96.267%
Standard Error	7.849%
Median	65.698%
Mode	100.000%
Standard Deviation	84.534%
Sample Variance	7146.025%
Kurtosis	9.12
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	96.267%	116	100.00%	96.267%
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 2.41. Further, an Excess Kurtosis of 11.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -125.16%	0	0.00%	0.00%
-125.16% to -91.74%	0	0.00%	0.00%
-91.74% to -58.32%	3	2.59%	2.59%
-58.32% to -24.90%	16	13.79%	16.38%
-24.90% to 8.52%	49	42.24%	58.62%
8.52% to 41.94%	31	26.72%	85.34%
41.94% to 75.36%	10	8.62%	93.97%
75.36% to 108.78%	4	3.45%	97.41%
108.78% to 142.19%	2	1.72%	99.14%
Greater than 142.19%	1	0.86%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-36.04%	53.08%	81.90%	68.27%
±2σ	-80.60%	97.64%	95.69%	95.45%
±3σ	-125.16%	142.19%	99.14%	99.73%

Descriptive Statistics

Mean	8.518%
Standard Error	4.137%
Median	-0.205%
Mode	-63.995%
Standard Deviation	44.559%
Sample Variance	1985.523%
Kurtosis	11.63
Skewness	2.41
Range	344.324%
Minimum	-63.995%
Maximum	280.329%
Count	116

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	37.806%	58	50.00%	18.903%
Negative	-20.770%	58	50.00%	-10.385%
Zero	0.000%	0	0.00%	0.000%

SRPT Deep Analytical Report