STLA - 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	3.13%	1.56%	1.51%	2.82%	14.87%	3.46%	5.65	7.61	4.87	8.83
Weekly	6.50%	4.97%	5.47%	7.30%	32.74%	7.61%	4.72	9.09	3.41	12.62
Monthly	12.29%	11.21%	12.54%	16.21%	68.16%	15.84%	3.32	12.96	1.68	25.62
Quarterly	19.90%	19.32%	20.18%	28.07%	118.05%	27.44%	2.01	21.34	0.62	69.50
Annual	—	—	—	—	236.10%	54.88%	0.62	69.50	0.06	736.80
Option Time Horizon	—	—	—	—	89.12%	20.72%	2.69	15.98	1.10	38.96

Calculation Notes: Computed at 2026-03-23T16:42 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $6.55 | Strike (K): $7.00 (first OTM call ≥ spot) | Observed Mid-Price: $0.3750 (Bid $0.3500 / Ask $0.4000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 1058.00% | Binomial IV (Annual): 236.10% (CRR binomial tree, American, n=20 steps) | BS IV: 430.43% (European Black-Scholes) | Yahoo IV (Annual): 54.88% → period-scaled as σ_period = σ_annual·√h | Price bands: Upper = S·e^+σ√h, Lower = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2025-04-23	$0.7700
2024-04-22	$1.6520
2023-04-24	$1.4730
2022-04-19	$1.1220
2021-04-19	$0.3830
2021-03-15	$0.1160
2021-01-14	$2.2370
2019-05-20	$1.4510
2019-04-23	$0.7320
2016-01-04	$0.0109

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

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -9.32%	27	0.87%	0.87%
-9.32% to -6.97%	27	0.87%	1.73%
-6.97% to -4.62%	72	2.31%	4.05%
-4.62% to -2.27%	310	9.96%	14.00%
-2.27% to 0.08%	1136	36.48%	50.48%
0.08% to 2.43%	1059	34.01%	84.49%
2.43% to 4.78%	361	11.59%	96.08%
4.78% to 7.12%	74	2.38%	98.46%
7.12% to 9.47%	25	0.80%	99.26%
Greater than 9.47%	23	0.74%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.06%	3.21%	81.41%	68.27%
±2σ	-6.19%	6.34%	95.95%	95.45%
±3σ	-9.32%	9.47%	98.39%	99.73%

Descriptive Statistics

Mean	0.077%
Standard Error	0.056%
Median	0.051%
Mode	0.000%
Standard Deviation	3.132%
Sample Variance	9.807%
Kurtosis	29.93
Skewness	1.18
Range	74.216%
Minimum	-23.690%
Maximum	50.526%
Count	3114

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.103%	1562	50.16%	1.055%
Negative	-2.023%	1505	48.33%	-0.978%
Zero	0.000%	47	1.51%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	4.12%
20	1 Month	4.08%
60	1 Quarter	3.93%
250	1 Year	3.71%
750	3 Years	2.84%
1,250	5 Years	2.82%
2,500	10 Years	2.87%
5,000	20 Years	3.06%
12,500	50 Years	3.06%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.58. Further, an Excess Kurtosis of 97.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -2.58%	0	0.00%	0.00%
-2.58% to -1.41%	0	0.00%	0.00%
-1.41% to -0.24%	0	0.00%	0.00%
-0.24% to 0.92%	286	9.18%	9.18%
0.92% to 2.09%	1730	55.54%	64.72%
2.09% to 3.26%	704	22.60%	87.32%
3.26% to 4.42%	243	7.80%	95.12%
4.42% to 5.59%	81	2.60%	97.72%
5.59% to 6.76%	27	0.87%	98.59%
Greater than 6.76%	44	1.41%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.53%	3.65%	88.92%	68.27%
±2σ	-1.02%	5.20%	97.14%	95.45%
±3σ	-2.58%	6.76%	98.59%	99.73%

Descriptive Statistics

Mean	2.089%
Standard Error	0.028%
Median	1.715%
Mode	1.233%
Standard Deviation	1.556%
Sample Variance	2.420%
Kurtosis	97.36
Skewness	6.58
Range	35.594%
Minimum	0.083%
Maximum	35.677%
Count	3115

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.089%	3115	100.00%	2.089%
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 0.44. Further, an Excess Kurtosis of 8.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -4.44%	18	0.58%	0.58%
-4.44% to -3.31%	29	0.93%	1.51%
-3.31% to -2.18%	94	3.02%	4.53%
-2.18% to -1.05%	403	12.94%	17.46%
-1.05% to 0.08%	1048	33.64%	51.11%
0.08% to 1.21%	1011	32.46%	83.56%
1.21% to 2.34%	349	11.20%	94.77%
2.34% to 3.47%	104	3.34%	98.11%
3.47% to 4.60%	29	0.93%	99.04%
Greater than 4.60%	30	0.96%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.43%	1.59%	77.78%	68.27%
±2σ	-2.93%	3.09%	95.47%	95.45%
±3σ	-4.44%	4.60%	98.46%	99.73%

Descriptive Statistics

Mean	0.079%
Standard Error	0.027%
Median	0.054%
Mode	0.000%
Standard Deviation	1.507%
Sample Variance	2.272%
Kurtosis	8.25
Skewness	0.44
Range	27.797%
Minimum	-14.229%
Maximum	13.568%
Count	3115

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	1.127%	1569	50.37%	0.568%
Negative	-1.047%	1455	46.71%	-0.489%
Zero	0.000%	91	2.92%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.31. Further, an Excess Kurtosis of 5.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -19.18%	7	0.98%	0.98%
-19.18% to -14.31%	7	0.98%	1.96%
-14.31% to -9.43%	29	4.05%	6.01%
-9.43% to -4.55%	76	10.61%	16.62%
-4.55% to 0.33%	229	31.98%	48.60%
0.33% to 5.21%	247	34.50%	83.10%
5.21% to 10.09%	84	11.73%	94.83%
10.09% to 14.97%	25	3.49%	98.32%
14.97% to 19.84%	7	0.98%	99.30%
Greater than 19.84%	5	0.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.17%	6.83%	77.51%	68.27%
±2σ	-12.68%	13.34%	94.55%	95.45%
±3σ	-19.19%	19.84%	98.32%	99.73%

Descriptive Statistics

Mean	0.330%
Standard Error	0.243%
Median	0.576%
Mode	0.000%
Standard Deviation	6.505%
Sample Variance	42.309%
Kurtosis	5.58
Skewness	0.31
Range	73.530%
Minimum	-26.162%
Maximum	47.368%
Count	716

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.673%	379	52.93%	2.474%
Negative	-4.595%	334	46.65%	-2.143%
Zero	0.000%	3	0.42%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	10.11%
12	1 Quarter	10.30%
52	1 Year	9.61%
156	3 Years	7.38%
260	5 Years	7.30%
520	10 Years	7.33%
1,040	20 Years	7.60%
2,600	50 Years	7.60%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.72. Further, an Excess Kurtosis of 13.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -7.96%	0	0.00%	0.00%
-7.96% to -4.24%	0	0.00%	0.00%
-4.24% to -0.51%	0	0.00%	0.00%
-0.51% to 3.21%	118	16.46%	16.46%
3.21% to 6.93%	320	44.63%	61.09%
6.93% to 10.66%	177	24.69%	85.77%
10.66% to 14.38%	58	8.09%	93.86%
14.38% to 18.11%	19	2.65%	96.51%
18.11% to 21.83%	13	1.81%	98.33%
Greater than 21.83%	12	1.67%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.97%	11.90%	81.87%	68.27%
±2σ	-3.00%	16.87%	95.68%	95.45%
±3σ	-7.96%	21.83%	98.33%	99.73%

Descriptive Statistics

Mean	6.935%
Standard Error	0.185%
Median	5.965%
Mode	2.456%
Standard Deviation	4.966%
Sample Variance	24.658%
Kurtosis	13.93
Skewness	2.72
Range	48.121%
Minimum	0.101%
Maximum	48.222%
Count	717

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.935%	717	100.00%	6.935%
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 1.31. Further, an Excess Kurtosis of 6.66 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.04%	2	0.28%	0.28%
-16.04% to -11.93%	4	0.56%	0.84%
-11.93% to -7.83%	19	2.65%	3.49%
-7.83% to -3.72%	102	14.23%	17.71%
-3.72% to 0.38%	261	36.40%	54.11%
0.38% to 4.49%	211	29.43%	83.54%
4.49% to 8.59%	77	10.74%	94.28%
8.59% to 12.70%	23	3.21%	97.49%
12.70% to 16.80%	9	1.26%	98.74%
Greater than 16.80%	9	1.26%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.09%	5.85%	77.68%	68.27%
±2σ	-10.56%	11.33%	95.54%	95.45%
±3σ	-16.04%	16.80%	98.47%	99.73%

Descriptive Statistics

Mean	0.382%
Standard Error	0.204%
Median	0.000%
Mode	0.000%
Standard Deviation	5.473%
Sample Variance	29.950%
Kurtosis	6.66
Skewness	1.31
Range	56.821%
Minimum	-18.653%
Maximum	38.168%
Count	717

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.236%	354	49.37%	2.091%
Negative	-3.432%	357	49.79%	-1.709%
Zero	0.000%	6	0.84%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.42. Further, an Excess Kurtosis of 1.22 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -35.60%	3	1.66%	1.66%
-35.60% to -26.39%	0	0.00%	1.66%
-26.39% to -17.17%	6	3.31%	4.97%
-17.17% to -7.95%	32	17.68%	22.65%
-7.95% to 1.26%	52	28.73%	51.38%
1.26% to 10.48%	48	26.52%	77.90%
10.48% to 19.70%	30	16.57%	94.48%
19.70% to 28.92%	9	4.97%	99.45%
28.92% to 38.13%	1	0.55%	100.00%
Greater than 38.13%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.02%	13.55%	67.96%	68.27%
±2σ	-23.31%	25.84%	96.69%	95.45%
±3σ	-35.60%	38.13%	98.34%	99.73%

Descriptive Statistics

Mean	1.265%
Standard Error	0.914%
Median	0.715%
Mode	-44.722%
Standard Deviation	12.290%
Sample Variance	151.043%
Kurtosis	1.22
Skewness	-0.42
Range	80.204%
Minimum	-44.722%
Maximum	35.482%
Count	181

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.149%	97	53.59%	5.439%
Negative	-8.995%	84	46.41%	-4.174%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	25.70%
12	1 Year	19.99%
36	3 Years	16.34%
60	5 Years	16.21%
120	10 Years	16.94%
240	20 Years	17.14%
600	50 Years	17.14%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.52. Further, an Excess Kurtosis of 24.78 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -15.97%	0	0.00%	0.00%
-15.97% to -7.56%	0	0.00%	0.00%
-7.56% to 0.84%	4	2.20%	2.20%
0.84% to 9.25%	21	11.54%	13.74%
9.25% to 17.66%	80	43.96%	57.69%
17.66% to 26.06%	52	28.57%	86.26%
26.06% to 34.47%	16	8.79%	95.05%
34.47% to 42.87%	5	2.75%	97.80%
42.87% to 51.28%	2	1.10%	98.90%
Greater than 51.28%	2	1.10%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.45%	28.86%	84.62%	68.27%
±2σ	-4.76%	40.07%	97.25%	95.45%
±3σ	-15.97%	51.28%	98.90%	99.73%

Descriptive Statistics

Mean	17.655%
Standard Error	0.831%
Median	15.855%
Mode	0.173%
Standard Deviation	11.208%
Sample Variance	125.623%
Kurtosis	24.78
Skewness	3.52
Range	109.327%
Minimum	0.173%
Maximum	109.500%
Count	182

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.655%	182	100.00%	17.655%
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 1.24. Further, an Excess Kurtosis of 4.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -36.65%	0	0.00%	0.00%
-36.65% to -27.25%	1	0.55%	0.55%
-27.25% to -17.85%	7	3.85%	4.40%
-17.85% to -8.45%	27	14.84%	19.23%
-8.45% to 0.95%	68	37.36%	56.59%
0.95% to 10.35%	42	23.08%	79.67%
10.35% to 19.76%	23	12.64%	92.31%
19.76% to 29.16%	12	6.59%	98.90%
29.16% to 38.56%	0	0.00%	98.90%
Greater than 38.56%	2	1.10%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.58%	13.49%	70.33%	68.27%
±2σ	-24.12%	26.02%	96.70%	95.45%
±3σ	-36.65%	38.56%	98.90%	99.73%

Descriptive Statistics

Mean	0.953%
Standard Error	0.929%
Median	-0.364%
Mode	-30.286%
Standard Deviation	12.535%
Sample Variance	157.137%
Kurtosis	4.80
Skewness	1.24
Range	99.410%
Minimum	-30.286%
Maximum	69.124%
Count	182

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.403%	88	48.35%	5.030%
Negative	-7.979%	93	51.10%	-4.077%
Zero	0.000%	1	0.55%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.00. Further, an Excess Kurtosis of -0.33 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -56.63%	0	0.00%	0.00%
-56.63% to -41.70%	0	0.00%	0.00%
-41.70% to -26.78%	5	8.20%	8.20%
-26.78% to -11.86%	8	13.11%	21.31%
-11.86% to 3.07%	14	22.95%	44.26%
3.07% to 17.99%	22	36.07%	80.33%
17.99% to 32.92%	8	13.11%	93.44%
32.92% to 47.84%	3	4.92%	98.36%
47.84% to 62.77%	1	1.64%	100.00%
Greater than 62.77%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.83%	22.97%	70.49%	68.27%
±2σ	-36.73%	42.87%	96.72%	95.45%
±3σ	-56.63%	62.77%	100.00%	99.73%

Descriptive Statistics

Mean	3.068%
Standard Error	2.548%
Median	5.372%
Mode	-35.185%
Standard Deviation	19.899%
Sample Variance	395.987%
Kurtosis	-0.33
Skewness	0.00
Range	85.322%
Minimum	-35.185%
Maximum	50.137%
Count	61

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.095%	35	57.38%	9.809%
Negative	-15.813%	26	42.62%	-6.740%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	31.36%
12	3 Years	29.32%
20	5 Years	28.07%
40	10 Years	30.27%
80	20 Years	30.29%
200	50 Years	30.29%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.54. Further, an Excess Kurtosis of 9.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -22.10%	0	0.00%	0.00%
-22.10% to -7.61%	0	0.00%	0.00%
-7.61% to 6.88%	0	0.00%	0.00%
6.88% to 21.38%	9	14.52%	14.52%
21.38% to 35.87%	30	48.39%	62.90%
35.87% to 50.36%	14	22.58%	85.48%
50.36% to 64.85%	4	6.45%	91.94%
64.85% to 79.34%	3	4.84%	96.77%
79.34% to 93.83%	1	1.61%	98.39%
Greater than 93.83%	1	1.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.55%	55.19%	85.48%	68.27%
±2σ	-2.78%	74.51%	96.77%	95.45%
±3σ	-22.10%	93.83%	98.39%	99.73%

Descriptive Statistics

Mean	35.868%
Standard Error	2.454%
Median	29.360%
Mode	12.125%
Standard Deviation	19.322%
Sample Variance	373.335%
Kurtosis	9.55
Skewness	2.54
Range	120.042%
Minimum	12.125%
Maximum	132.167%
Count	62

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	35.868%	62	100.00%	35.868%
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 0.67. Further, an Excess Kurtosis of -0.12 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -58.77%	0	0.00%	0.00%
-58.77% to -43.63%	0	0.00%	0.00%
-43.63% to -28.49%	2	3.23%	3.23%
-28.49% to -13.35%	14	22.58%	25.81%
-13.35% to 1.79%	19	30.65%	56.45%
1.79% to 16.92%	13	20.97%	77.42%
16.92% to 32.06%	8	12.90%	90.32%
32.06% to 47.20%	4	6.45%	96.77%
47.20% to 62.34%	2	3.23%	100.00%
Greater than 62.34%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.40%	21.97%	70.97%	68.27%
±2σ	-38.58%	42.15%	95.16%	95.45%
±3σ	-58.77%	62.34%	100.00%	99.73%

Descriptive Statistics

Mean	1.786%
Standard Error	2.563%
Median	-2.679%
Mode	-32.302%
Standard Deviation	20.184%
Sample Variance	407.413%
Kurtosis	-0.12
Skewness	0.67
Range	83.638%
Minimum	-32.302%
Maximum	51.336%
Count	62

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	19.185%	29	46.77%	8.974%
Negative	-13.504%	33	53.23%	-7.188%
Zero	0.000%	0	0.00%	0.000%

STLA Deep Analytical Report