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%	1.50%	2.81%	3.19%	3.59%	7.49	7.98	7.25	8.24
Weekly	6.51%	4.97%	5.48%	7.25%	7.02%	7.91%	7.21	8.29	6.72	8.89
Monthly	12.27%	11.23%	12.58%	16.06%	14.61%	16.46%	6.68	8.95	5.77	10.35
Quarterly	19.59%	19.00%	19.47%	27.69%	25.31%	28.52%	6.00	9.96	4.66	12.82
Annual	—	—	—	—	50.61%	57.03%	4.66	12.82	2.81	21.27
Option Time Horizon	—	—	—	—	16.54%	18.64%	6.55	9.12	5.55	10.76

Calculation Notes: Computed at 2026-02-22T14:24 UTC | Reference Contract: Call option expiring 2026-04-02 (39 days) | Spot Price (S): $7.73 | Strike (K): $8.50 (first OTM call ≥ spot) | Observed Mid-Price: $0.2250 (Bid $0.1500 / Ask $0.3000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 9.05% | Binomial IV (Annual): 50.61% (CRR binomial tree, American, n=20 steps) | BS IV: 51.05% (European Black-Scholes) | Yahoo IV (Annual): 57.03% → 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 1.19. Further, an Excess Kurtosis of 30.00 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%	1.75%
-6.97% to -4.62%	70	2.26%	4.01%
-4.62% to -2.27%	307	9.93%	13.93%
-2.27% to 0.08%	1130	36.53%	50.47%
0.08% to 2.43%	1052	34.01%	84.48%
2.43% to 4.79%	358	11.57%	96.06%
4.79% to 7.14%	74	2.39%	98.45%
7.14% to 9.49%	26	0.84%	99.29%
Greater than 9.49%	22	0.71%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.05%	3.22%	81.54%	68.27%
±2σ	-6.19%	6.35%	95.96%	95.45%
±3σ	-9.32%	9.49%	98.42%	99.73%

Descriptive Statistics

Mean	0.083%
Standard Error	0.056%
Median	0.056%
Mode	0.000%
Standard Deviation	3.135%
Sample Variance	9.826%
Kurtosis	30.00
Skewness	1.19
Range	74.216%
Minimum	-23.690%
Maximum	50.526%
Count	3093

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.102%	1556	50.31%	1.057%
Negative	-2.022%	1491	48.21%	-0.975%
Zero	0.000%	46	1.49%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	3.32%
20	1 Month	4.84%
60	1 Quarter	3.53%
250	1 Year	3.72%
750	3 Years	2.80%
1,250	5 Years	2.81%
2,500	10 Years	2.86%
5,000	20 Years	3.05%
12,500	50 Years	3.05%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.63. Further, an Excess Kurtosis of 98.07 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -2.59%	0	0.00%	0.00%
-2.59% to -1.42%	0	0.00%	0.00%
-1.42% to -0.25%	0	0.00%	0.00%
-0.25% to 0.91%	273	8.82%	8.82%
0.91% to 2.08%	1731	55.95%	64.77%
2.08% to 3.25%	702	22.69%	87.46%
3.25% to 4.42%	237	7.66%	95.12%
4.42% to 5.58%	80	2.59%	97.71%
5.58% to 6.75%	27	0.87%	98.58%
Greater than 6.75%	44	1.42%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.52%	3.64%	89.01%	68.27%
±2σ	-1.03%	5.19%	97.09%	95.45%
±3σ	-2.59%	6.75%	98.58%	99.73%

Descriptive Statistics

Mean	2.081%
Standard Error	0.028%
Median	1.709%
Mode	1.233%
Standard Deviation	1.556%
Sample Variance	2.421%
Kurtosis	98.07
Skewness	6.63
Range	35.594%
Minimum	0.083%
Maximum	35.677%
Count	3094

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.081%	3094	100.00%	2.081%
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 0.45. Further, an Excess Kurtosis of 8.36 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%	28	0.90%	1.49%
-3.31% to -2.18%	95	3.07%	4.56%
-2.18% to -1.05%	399	12.90%	17.45%
-1.05% to 0.08%	1039	33.58%	51.03%
0.08% to 1.20%	1008	32.58%	83.61%
1.20% to 2.33%	342	11.05%	94.67%
2.33% to 3.46%	107	3.46%	98.13%
3.46% to 4.59%	29	0.94%	99.06%
Greater than 4.59%	29	0.94%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.43%	1.58%	77.83%	68.27%
±2σ	-2.93%	3.08%	95.54%	95.45%
±3σ	-4.44%	4.59%	98.48%	99.73%

Descriptive Statistics

Mean	0.076%
Standard Error	0.027%
Median	0.053%
Mode	0.000%
Standard Deviation	1.504%
Sample Variance	2.263%
Kurtosis	8.36
Skewness	0.45
Range	27.797%
Minimum	-14.229%
Maximum	13.568%
Count	3094

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	1.123%	1556	50.29%	0.565%
Negative	-1.045%	1448	46.80%	-0.489%
Zero	0.000%	90	2.91%	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 5.59 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 -14.29%	7	0.98%	1.97%
-14.29% to -9.41%	29	4.07%	6.04%
-9.41% to -4.53%	74	10.39%	16.43%
-4.53% to 0.35%	228	32.02%	48.46%
0.35% to 5.24%	246	34.55%	83.01%
5.24% to 10.12%	84	11.80%	94.80%
10.12% to 15.00%	25	3.51%	98.31%
15.00% to 19.88%	7	0.98%	99.30%
Greater than 19.88%	5	0.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.16%	6.86%	77.67%	68.27%
±2σ	-12.67%	13.37%	94.52%	95.45%
±3σ	-19.18%	19.88%	98.31%	99.73%

Descriptive Statistics

Mean	0.354%
Standard Error	0.244%
Median	0.631%
Mode	0.000%
Standard Deviation	6.510%
Sample Variance	42.379%
Kurtosis	5.59
Skewness	0.31
Range	73.530%
Minimum	-26.162%
Maximum	47.368%
Count	712

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.684%	378	53.09%	2.487%
Negative	-4.587%	331	46.49%	-2.132%
Zero	0.000%	3	0.42%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	13.73%
12	1 Quarter	9.48%
52	1 Year	9.67%
156	3 Years	7.30%
260	5 Years	7.25%
520	10 Years	7.32%
1,040	20 Years	7.59%
2,600	50 Years	7.59%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.74. Further, an Excess Kurtosis of 13.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -8.00%	0	0.00%	0.00%
-8.00% to -4.27%	0	0.00%	0.00%
-4.27% to -0.54%	0	0.00%	0.00%
-0.54% to 3.19%	116	16.27%	16.27%
3.19% to 6.91%	319	44.74%	61.01%
6.91% to 10.64%	177	24.82%	85.83%
10.64% to 14.37%	57	7.99%	93.83%
14.37% to 18.10%	19	2.66%	96.49%
18.10% to 21.83%	13	1.82%	98.32%
Greater than 21.83%	12	1.68%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.94%	11.88%	81.91%	68.27%
±2σ	-3.03%	16.86%	95.51%	95.45%
±3σ	-8.00%	21.83%	98.32%	99.73%

Descriptive Statistics

Mean	6.913%
Standard Error	0.186%
Median	5.950%
Mode	2.456%
Standard Deviation	4.971%
Sample Variance	24.711%
Kurtosis	13.99
Skewness	2.74
Range	48.121%
Minimum	0.101%
Maximum	48.222%
Count	713

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.913%	713	100.00%	6.913%
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 1.32. Further, an Excess Kurtosis of 6.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.07%	2	0.28%	0.28%
-16.07% to -11.96%	4	0.56%	0.84%
-11.96% to -7.85%	19	2.66%	3.51%
-7.85% to -3.75%	102	14.31%	17.81%
-3.75% to 0.36%	261	36.61%	54.42%
0.36% to 4.47%	208	29.17%	83.59%
4.47% to 8.58%	76	10.66%	94.25%
8.58% to 12.69%	23	3.23%	97.48%
12.69% to 16.79%	9	1.26%	98.74%
Greater than 16.79%	9	1.26%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.12%	5.84%	77.98%	68.27%
±2σ	-10.59%	11.32%	95.51%	95.45%
±3σ	-16.07%	16.79%	98.46%	99.73%

Descriptive Statistics

Mean	0.362%
Standard Error	0.205%
Median	-0.046%
Mode	0.000%
Standard Deviation	5.477%
Sample Variance	29.999%
Kurtosis	6.70
Skewness	1.32
Range	56.821%
Minimum	-18.653%
Maximum	38.168%
Count	713

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.238%	350	49.09%	2.080%
Negative	-3.432%	357	50.07%	-1.718%
Zero	0.000%	6	0.84%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.43. Further, an Excess Kurtosis of 1.28 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -35.44%	3	1.67%	1.67%
-35.44% to -26.24%	0	0.00%	1.67%
-26.24% to -17.04%	5	2.78%	4.44%
-17.04% to -7.84%	32	17.78%	22.22%
-7.84% to 1.36%	53	29.44%	51.67%
1.36% to 10.56%	47	26.11%	77.78%
10.56% to 19.75%	31	17.22%	95.00%
19.75% to 28.95%	8	4.44%	99.44%
28.95% to 38.15%	1	0.56%	100.00%
Greater than 38.15%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.91%	13.62%	67.22%	68.27%
±2σ	-23.17%	25.89%	96.67%	95.45%
±3σ	-35.44%	38.15%	98.33%	99.73%

Descriptive Statistics

Mean	1.357%
Standard Error	0.914%
Median	0.740%
Mode	-44.722%
Standard Deviation	12.265%
Sample Variance	150.437%
Kurtosis	1.28
Skewness	-0.43
Range	80.204%
Minimum	-44.722%
Maximum	35.482%
Count	180

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.149%	97	53.89%	5.469%
Negative	-8.918%	83	46.11%	-4.112%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	23.14%
12	1 Year	19.36%
36	3 Years	16.04%
60	5 Years	16.06%
120	10 Years	16.91%
240	20 Years	17.11%
600	50 Years	17.11%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.53. Further, an Excess Kurtosis of 24.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.07%	0	0.00%	0.00%
-16.07% to -7.65%	0	0.00%	0.00%
-7.65% to 0.78%	4	2.21%	2.21%
0.78% to 9.20%	20	11.05%	13.26%
9.20% to 17.63%	81	44.75%	58.01%
17.63% to 26.05%	51	28.18%	86.19%
26.05% to 34.48%	16	8.84%	95.03%
34.48% to 42.91%	5	2.76%	97.79%
42.91% to 51.33%	2	1.10%	98.90%
Greater than 51.33%	2	1.10%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.40%	28.86%	84.53%	68.27%
±2σ	-4.84%	40.10%	97.24%	95.45%
±3σ	-16.07%	51.33%	98.90%	99.73%

Descriptive Statistics

Mean	17.629%
Standard Error	0.835%
Median	15.820%
Mode	0.173%
Standard Deviation	11.234%
Sample Variance	126.193%
Kurtosis	24.73
Skewness	3.53
Range	109.327%
Minimum	0.173%
Maximum	109.500%
Count	181

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.629%	181	100.00%	17.629%
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 1.27. Further, an Excess Kurtosis of 4.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -36.83%	0	0.00%	0.00%
-36.83% to -27.40%	1	0.55%	0.55%
-27.40% to -17.97%	7	3.87%	4.42%
-17.97% to -8.54%	27	14.92%	19.34%
-8.54% to 0.90%	67	37.02%	56.35%
0.90% to 10.33%	43	23.76%	80.11%
10.33% to 19.76%	22	12.15%	92.27%
19.76% to 29.20%	12	6.63%	98.90%
29.20% to 38.63%	0	0.00%	98.90%
Greater than 38.63%	2	1.10%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.68%	13.47%	71.27%	68.27%
±2σ	-24.26%	26.05%	96.13%	95.45%
±3σ	-36.83%	38.63%	98.90%	99.73%

Descriptive Statistics

Mean	0.898%
Standard Error	0.935%
Median	-0.488%
Mode	-30.286%
Standard Deviation	12.577%
Sample Variance	158.175%
Kurtosis	4.82
Skewness	1.27
Range	99.410%
Minimum	-30.286%
Maximum	69.124%
Count	181

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.399%	87	48.07%	4.998%
Negative	-7.979%	93	51.38%	-4.100%
Zero	0.000%	1	0.55%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.04. 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 -55.50%	0	0.00%	0.00%
-55.50% to -40.81%	0	0.00%	0.00%
-40.81% to -26.12%	4	6.56%	6.56%
-26.12% to -11.43%	9	14.75%	21.31%
-11.43% to 3.26%	15	24.59%	45.90%
3.26% to 17.95%	21	34.43%	80.33%
17.95% to 32.65%	8	13.11%	93.44%
32.65% to 47.34%	3	4.92%	98.36%
47.34% to 62.03%	1	1.64%	100.00%
Greater than 62.03%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.32%	22.85%	70.49%	68.27%
±2σ	-35.91%	42.44%	96.72%	95.45%
±3σ	-55.50%	62.03%	100.00%	99.73%

Descriptive Statistics

Mean	3.264%
Standard Error	2.508%
Median	5.372%
Mode	-35.185%
Standard Deviation	19.588%
Sample Variance	383.704%
Kurtosis	-0.33
Skewness	0.04
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	-15.354%	26	42.62%	-6.544%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	29.46%
12	3 Years	28.69%
20	5 Years	27.69%
40	10 Years	30.08%
80	20 Years	30.16%
200	50 Years	30.16%

High-to-Low 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 10.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -21.41%	0	0.00%	0.00%
-21.41% to -7.17%	0	0.00%	0.00%
-7.17% to 7.08%	0	0.00%	0.00%
7.08% to 21.33%	8	12.90%	12.90%
21.33% to 35.58%	31	50.00%	62.90%
35.58% to 49.83%	15	24.19%	87.10%
49.83% to 64.08%	4	6.45%	93.55%
64.08% to 78.33%	2	3.23%	96.77%
78.33% to 92.58%	1	1.61%	98.39%
Greater than 92.58%	1	1.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	16.58%	54.58%	87.10%	68.27%
±2σ	-2.42%	73.58%	96.77%	95.45%
±3σ	-21.41%	92.58%	98.39%	99.73%

Descriptive Statistics

Mean	35.582%
Standard Error	2.413%
Median	29.360%
Mode	12.125%
Standard Deviation	18.999%
Sample Variance	360.944%
Kurtosis	10.50
Skewness	2.65
Range	120.042%
Minimum	12.125%
Maximum	132.167%
Count	62

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	35.582%	62	100.00%	35.582%
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 0.57. Further, an Excess Kurtosis of -0.27 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -56.99%	0	0.00%	0.00%
-56.99% to -42.39%	0	0.00%	0.00%
-42.39% to -27.79%	3	4.84%	4.84%
-27.79% to -13.19%	13	20.97%	25.81%
-13.19% to 1.42%	19	30.65%	56.45%
1.42% to 16.02%	12	19.35%	75.81%
16.02% to 30.62%	10	16.13%	91.94%
30.62% to 45.22%	3	4.84%	96.77%
45.22% to 59.83%	2	3.23%	100.00%
Greater than 59.83%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.05%	20.88%	69.35%	68.27%
±2σ	-37.52%	40.35%	96.77%	95.45%
±3σ	-56.99%	59.82%	100.00%	99.73%

Descriptive Statistics

Mean	1.415%
Standard Error	2.473%
Median	-2.680%
Mode	-32.302%
Standard Deviation	19.470%
Sample Variance	379.070%
Kurtosis	-0.27
Skewness	0.57
Range	83.638%
Minimum	-32.302%
Maximum	51.336%
Count	62

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	18.392%	29	46.77%	8.603%
Negative	-13.504%	33	53.23%	-7.188%
Zero	0.000%	0	0.00%	0.000%

STLA Deep Analytical Report