TEAM - 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	3.19%	2.37%	2.71%	4.65%	5.34%	5.36%	69.24	77.05	65.64	81.28
Weekly	7.01%	6.81%	7.67%	11.23%	11.76%	11.80%	64.93	82.16	57.73	92.41
Monthly	13.48%	12.07%	14.44%	23.57%	24.49%	24.56%	57.18	93.31	44.76	119.19
Quarterly	23.20%	16.43%	23.96%	40.64%	42.41%	42.55%	47.79	111.62	31.27	170.59
Annual	—	—	—	—	84.83%	85.10%	31.27	170.59	13.39	398.44
Option Time Horizon	—	—	—	—	32.02%	32.12%	53.03	100.60	38.50	138.57

Calculation Notes: Computed at 2026-03-23T16:35 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $73.04 | Strike (K): $75.00 (first OTM call ≥ spot) | Observed Mid-Price: $8.6500 (Bid $8.1000 / Ask $9.2000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 84.83% (CRR binomial tree, American, n=20 steps) | BS IV: 85.03% (European Black-Scholes) | Yahoo IV (Annual): 85.10% → 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 Fairly Symmetrical with a Skewness factor of 0.02. Further, an Excess Kurtosis of 7.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -9.47%	14	0.54%	0.54%
-9.47% to -7.08%	35	1.36%	1.90%
-7.08% to -4.69%	109	4.22%	6.12%
-4.69% to -2.30%	275	10.65%	16.76%
-2.30% to 0.09%	814	31.51%	48.28%
0.09% to 2.48%	936	36.24%	84.51%
2.48% to 4.87%	275	10.65%	95.16%
4.87% to 7.26%	79	3.06%	98.22%
7.26% to 9.65%	26	1.01%	99.23%
Greater than 9.65%	20	0.77%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.10%	3.28%	78.28%	68.27%
±2σ	-6.29%	6.47%	94.54%	95.45%
±3σ	-9.47%	9.65%	98.68%	99.73%

Descriptive Statistics

Mean	0.089%
Standard Error	0.063%
Median	0.174%
Mode	0.000%
Standard Deviation	3.188%
Sample Variance	10.160%
Kurtosis	7.80
Skewness	0.02
Range	53.606%
Minimum	-28.960%
Maximum	24.646%
Count	2583

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.123%	1390	53.81%	1.142%
Negative	-2.293%	1187	45.95%	-1.054%
Zero	0.000%	6	0.23%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	5.28%
20	1 Month	6.64%
60	1 Quarter	6.22%
250	1 Year	4.58%
750	3 Years	4.17%
1,250	5 Years	4.65%
2,500	10 Years	4.18%
5,000	20 Years	4.25%
12,500	50 Years	4.25%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.70. Further, an Excess Kurtosis of 18.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.02%	0	0.00%	0.00%
-3.02% to -1.24%	0	0.00%	0.00%
-1.24% to 0.53%	0	0.00%	0.00%
0.53% to 2.31%	532	20.59%	20.59%
2.31% to 4.08%	1102	42.65%	63.24%
4.08% to 5.85%	509	19.70%	82.93%
5.85% to 7.63%	245	9.48%	92.41%
7.63% to 9.40%	104	4.02%	96.44%
9.40% to 11.18%	53	2.05%	98.49%
Greater than 11.18%	39	1.51%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.71%	6.45%	81.15%	68.27%
±2σ	-0.65%	8.81%	95.16%	95.45%
±3σ	-3.02%	11.18%	98.49%	99.73%

Descriptive Statistics

Mean	4.080%
Standard Error	0.047%
Median	3.512%
Mode	2.082%
Standard Deviation	2.366%
Sample Variance	5.599%
Kurtosis	18.97
Skewness	2.70
Range	36.387%
Minimum	0.707%
Maximum	37.094%
Count	2584

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.080%	2584	100.00%	4.080%
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 0.46. Further, an Excess Kurtosis of 2.47 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -8.16%	8	0.31%	0.31%
-8.16% to -6.13%	31	1.20%	1.51%
-6.13% to -4.10%	93	3.60%	5.11%
-4.10% to -2.07%	348	13.47%	18.58%
-2.07% to -0.04%	883	34.17%	52.75%
-0.04% to 1.99%	747	28.91%	81.66%
1.99% to 4.02%	300	11.61%	93.27%
4.02% to 6.05%	113	4.37%	97.64%
6.05% to 8.08%	44	1.70%	99.34%
Greater than 8.08%	17	0.66%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.75%	2.67%	75.12%	68.27%
±2σ	-5.45%	5.38%	93.85%	95.45%
±3σ	-8.16%	8.08%	99.03%	99.73%

Descriptive Statistics

Mean	-0.039%
Standard Error	0.053%
Median	-0.179%
Mode	0.000%
Standard Deviation	2.707%
Sample Variance	7.326%
Kurtosis	2.47
Skewness	0.46
Range	31.227%
Minimum	-12.356%
Maximum	18.871%
Count	2584

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.112%	1190	46.05%	0.973%
Negative	-1.885%	1386	53.64%	-1.011%
Zero	0.000%	8	0.31%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.34. Further, an Excess Kurtosis of 3.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -20.58%	3	0.56%	0.56%
-20.58% to -15.32%	8	1.49%	2.05%
-15.32% to -10.07%	21	3.92%	5.97%
-10.07% to -4.81%	67	12.50%	18.47%
-4.81% to 0.44%	161	30.04%	48.51%
0.44% to 5.70%	174	32.46%	80.97%
5.70% to 10.96%	72	13.43%	94.40%
10.96% to 16.21%	22	4.10%	98.51%
16.21% to 21.47%	6	1.12%	99.63%
Greater than 21.47%	2	0.37%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.56%	7.45%	75.00%	68.27%
±2σ	-13.57%	14.46%	94.78%	95.45%
±3σ	-20.58%	21.47%	99.07%	99.73%

Descriptive Statistics

Mean	0.444%
Standard Error	0.303%
Median	0.581%
Mode	-5.107%
Standard Deviation	7.008%
Sample Variance	49.105%
Kurtosis	3.48
Skewness	-0.34
Range	73.839%
Minimum	-41.188%
Maximum	32.651%
Count	536

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.080%	295	55.04%	2.796%
Negative	-5.231%	241	44.96%	-2.352%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	15.48%
12	1 Quarter	16.95%
52	1 Year	11.38%
156	3 Years	10.22%
260	5 Years	11.23%
520	10 Years	9.96%
1,040	20 Years	10.08%
2,600	50 Years	10.08%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.62. Further, an Excess Kurtosis of 29.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -9.71%	0	0.00%	0.00%
-9.71% to -4.60%	0	0.00%	0.00%
-4.60% to 0.51%	0	0.00%	0.00%
0.51% to 5.62%	95	17.69%	17.69%
5.62% to 10.73%	230	42.83%	60.52%
10.73% to 15.84%	130	24.21%	84.73%
15.84% to 20.95%	51	9.50%	94.23%
20.95% to 26.06%	17	3.17%	97.39%
26.06% to 31.17%	8	1.49%	98.88%
Greater than 31.17%	6	1.12%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.91%	17.54%	83.61%	68.27%
±2σ	-2.90%	24.36%	96.65%	95.45%
±3σ	-9.71%	31.17%	98.88%	99.73%

Descriptive Statistics

Mean	10.727%
Standard Error	0.294%
Median	9.016%
Mode	4.000%
Standard Deviation	6.814%
Sample Variance	46.431%
Kurtosis	29.28
Skewness	3.62
Range	83.533%
Minimum	2.244%
Maximum	85.777%
Count	537

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.727%	537	100.00%	10.727%
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 2.24. Further, an Excess Kurtosis of 18.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -22.90%	1	0.19%	0.19%
-22.90% to -17.15%	2	0.37%	0.56%
-17.15% to -11.40%	15	2.79%	3.35%
-11.40% to -5.65%	74	13.78%	17.13%
-5.65% to 0.10%	210	39.11%	56.24%
0.10% to 5.85%	146	27.19%	83.43%
5.85% to 11.59%	60	11.17%	94.60%
11.59% to 17.34%	17	3.17%	97.77%
17.34% to 23.09%	5	0.93%	98.70%
Greater than 23.09%	7	1.30%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.57%	7.76%	77.84%	68.27%
±2σ	-15.23%	15.43%	95.72%	95.45%
±3σ	-22.90%	23.09%	98.51%	99.73%

Descriptive Statistics

Mean	0.097%
Standard Error	0.331%
Median	-0.758%
Mode	-11.194%
Standard Deviation	7.665%
Sample Variance	58.757%
Kurtosis	18.40
Skewness	2.24
Range	102.636%
Minimum	-26.615%
Maximum	76.021%
Count	537

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.074%	237	44.13%	2.681%
Negative	-4.656%	298	55.49%	-2.584%
Zero	0.000%	2	0.37%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.10. Further, an Excess Kurtosis of 0.72 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -38.79%	0	0.00%	0.00%
-38.79% to -28.68%	3	2.44%	2.44%
-28.68% to -18.57%	5	4.07%	6.50%
-18.57% to -8.46%	14	11.38%	17.89%
-8.46% to 1.65%	41	33.33%	51.22%
1.65% to 11.76%	31	25.20%	76.42%
11.76% to 21.87%	20	16.26%	92.68%
21.87% to 31.98%	7	5.69%	98.37%
31.98% to 42.09%	2	1.63%	100.00%
Greater than 42.09%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.83%	15.13%	75.61%	68.27%
±2σ	-25.31%	28.61%	94.31%	95.45%
±3σ	-38.79%	42.09%	100.00%	99.73%

Descriptive Statistics

Mean	1.649%
Standard Error	1.215%
Median	1.042%
Mode	-36.427%
Standard Deviation	13.479%
Sample Variance	181.685%
Kurtosis	0.72
Skewness	-0.10
Range	76.228%
Minimum	-36.427%
Maximum	39.801%
Count	123

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	11.669%	63	51.22%	5.977%
Negative	-8.873%	60	48.78%	-4.328%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	31.28%
12	1 Year	21.49%
36	3 Years	21.70%
60	5 Years	23.57%
120	10 Years	20.85%
240	20 Years	21.07%
600	50 Years	21.07%

High-to-Low 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 7.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -12.30%	0	0.00%	0.00%
-12.30% to -3.24%	0	0.00%	0.00%
-3.24% to 5.81%	0	0.00%	0.00%
5.81% to 14.87%	20	16.13%	16.13%
14.87% to 23.93%	60	48.39%	64.52%
23.93% to 32.98%	22	17.74%	82.26%
32.98% to 42.04%	11	8.87%	91.13%
42.04% to 51.09%	9	7.26%	98.39%
51.09% to 60.15%	0	0.00%	98.39%
Greater than 60.15%	2	1.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.85%	36.00%	78.23%	68.27%
±2σ	-0.22%	48.08%	98.39%	95.45%
±3σ	-12.30%	60.15%	98.39%	99.73%

Descriptive Statistics

Mean	23.925%
Standard Error	1.084%
Median	20.308%
Mode	6.195%
Standard Deviation	12.075%
Sample Variance	145.807%
Kurtosis	7.15
Skewness	2.14
Range	79.998%
Minimum	6.195%
Maximum	86.193%
Count	124

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	23.925%	124	100.00%	23.925%
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 1.42. Further, an Excess Kurtosis of 3.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -43.02%	0	0.00%	0.00%
-43.02% to -32.19%	0	0.00%	0.00%
-32.19% to -21.36%	1	0.81%	0.81%
-21.36% to -10.53%	27	21.77%	22.58%
-10.53% to 0.30%	37	29.84%	52.42%
0.30% to 11.13%	40	32.26%	84.68%
11.13% to 21.96%	10	8.06%	92.74%
21.96% to 32.79%	4	3.23%	95.97%
32.79% to 43.62%	3	2.42%	98.39%
Greater than 43.62%	2	1.61%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.14%	14.74%	75.00%	68.27%
±2σ	-28.58%	29.18%	95.16%	95.45%
±3σ	-43.02%	43.62%	98.39%	99.73%

Descriptive Statistics

Mean	0.299%
Standard Error	1.297%
Median	-1.004%
Mode	1.933%
Standard Deviation	14.441%
Sample Variance	208.550%
Kurtosis	3.52
Skewness	1.42
Range	87.177%
Minimum	-27.641%
Maximum	59.536%
Count	124

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.770%	61	49.19%	5.298%
Negative	-9.839%	63	50.81%	-4.999%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.08. Further, an Excess Kurtosis of -0.35 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -63.90%	0	0.00%	0.00%
-63.90% to -46.50%	0	0.00%	0.00%
-46.50% to -29.10%	5	12.20%	12.20%
-29.10% to -11.70%	4	9.76%	21.95%
-11.70% to 5.70%	12	29.27%	51.22%
5.70% to 23.10%	9	21.95%	73.17%
23.10% to 40.50%	9	21.95%	95.12%
40.50% to 57.90%	1	2.44%	97.56%
57.90% to 75.30%	1	2.44%	100.00%
Greater than 75.30%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.50%	28.90%	63.41%	68.27%
±2σ	-40.70%	52.10%	97.56%	95.45%
±3σ	-63.90%	75.30%	100.00%	99.73%

Descriptive Statistics

Mean	5.703%
Standard Error	3.623%
Median	4.834%
Mode	-37.883%
Standard Deviation	23.200%
Sample Variance	538.245%
Kurtosis	-0.35
Skewness	0.08
Range	100.596%
Minimum	-37.883%
Maximum	62.713%
Count	41

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	19.613%	26	63.41%	12.438%
Negative	-18.408%	15	36.59%	-6.735%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	32.24%
12	3 Years	37.95%
20	5 Years	40.64%
40	10 Years	36.90%
80	20 Years	36.98%
200	50 Years	36.98%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.73. Further, an Excess Kurtosis of 0.40 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.88%	0	0.00%	0.00%
-3.88% to 8.44%	0	0.00%	0.00%
8.44% to 20.77%	2	4.76%	4.76%
20.77% to 33.09%	10	23.81%	28.57%
33.09% to 45.41%	10	23.81%	52.38%
45.41% to 57.73%	14	33.33%	85.71%
57.73% to 70.06%	3	7.14%	92.86%
70.06% to 82.38%	1	2.38%	95.24%
82.38% to 94.70%	2	4.76%	100.00%
Greater than 94.70%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	28.98%	61.84%	73.81%	68.27%
±2σ	12.55%	78.27%	95.24%	95.45%
±3σ	-3.88%	94.70%	100.00%	99.73%

Descriptive Statistics

Mean	45.411%
Standard Error	2.535%
Median	44.948%
Mode	19.620%
Standard Deviation	16.430%
Sample Variance	269.930%
Kurtosis	0.40
Skewness	0.73
Range	68.321%
Minimum	19.620%
Maximum	87.941%
Count	42

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	45.411%	42	100.00%	45.411%
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 0.86. Further, an Excess Kurtosis of -0.21 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -71.31%	0	0.00%	0.00%
-71.31% to -53.34%	0	0.00%	0.00%
-53.34% to -35.37%	0	0.00%	0.00%
-35.37% to -17.39%	12	28.57%	28.57%
-17.39% to 0.58%	15	35.71%	64.29%
0.58% to 18.55%	6	14.29%	78.57%
18.55% to 36.52%	4	9.52%	88.10%
36.52% to 54.49%	4	9.52%	97.62%
54.49% to 72.47%	1	2.38%	100.00%
Greater than 72.47%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.39%	24.54%	66.67%	68.27%
±2σ	-47.35%	48.50%	97.62%	95.45%
±3σ	-71.31%	72.47%	100.00%	99.73%

Descriptive Statistics

Mean	0.577%
Standard Error	3.698%
Median	-5.008%
Mode	-29.234%
Standard Deviation	23.963%
Sample Variance	574.242%
Kurtosis	-0.21
Skewness	0.86
Range	89.757%
Minimum	-29.234%
Maximum	60.523%
Count	42

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	27.620%	15	35.71%	9.864%
Negative	-14.447%	27	64.29%	-9.287%
Zero	0.000%	0	0.00%	0.000%

TEAM Deep Analytical Report