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	3.18%	2.36%	2.70%	4.62%	4.38%	4.48%	72.72	79.38	69.61	82.94
Weekly	6.97%	6.78%	7.61%	11.13%	9.64%	9.86%	69.00	83.67	62.65	92.14
Monthly	13.51%	11.61%	14.45%	23.52%	20.07%	20.53%	62.16	92.87	50.86	113.52
Quarterly	23.10%	15.85%	23.64%	40.34%	34.77%	35.56%	53.67	107.57	37.91	152.30
Annual	—	—	—	—	69.54%	71.12%	37.91	152.30	18.91	305.28
Option Time Horizon	—	—	—	—	26.75%	27.35%	58.15	99.28	44.50	129.72

Calculation Notes: Computed at 2026-02-22T14:20 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $75.98 | Strike (K): $80.00 (first OTM call ≥ spot) | Observed Mid-Price: $6.7000 (Bid $6.2000 / Ask $7.2000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 69.54% (CRR binomial tree, American, n=20 steps) | BS IV: 70.35% (European Black-Scholes) | Yahoo IV (Annual): 71.12% → 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 Fairly Symmetrical with a Skewness factor of 0.02. Further, an Excess Kurtosis of 7.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -9.44%	14	0.55%	0.55%
-9.44% to -7.06%	34	1.33%	1.87%
-7.06% to -4.68%	107	4.18%	6.05%
-4.68% to -2.29%	274	10.69%	16.74%
-2.29% to 0.09%	807	31.50%	48.24%
0.09% to 2.47%	930	36.30%	84.54%
2.47% to 4.86%	273	10.66%	95.20%
4.86% to 7.24%	79	3.08%	98.28%
7.24% to 9.62%	24	0.94%	99.22%
Greater than 9.62%	20	0.78%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.09%	3.27%	78.34%	68.27%
±2σ	-6.26%	6.44%	94.54%	95.45%
±3σ	-9.44%	9.62%	98.67%	99.73%

Descriptive Statistics

Mean	0.090%
Standard Error	0.063%
Median	0.174%
Mode	0.000%
Standard Deviation	3.177%
Sample Variance	10.096%
Kurtosis	7.96
Skewness	0.02
Range	53.606%
Minimum	-28.960%
Maximum	24.646%
Count	2562

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.111%	1381	53.90%	1.138%
Negative	-2.285%	1175	45.86%	-1.048%
Zero	0.000%	6	0.23%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	6.11%
20	1 Month	7.30%
60	1 Quarter	4.94%
250	1 Year	4.47%
750	3 Years	4.12%
1,250	5 Years	4.62%
2,500	10 Years	4.16%
5,000	20 Years	4.23%
12,500	50 Years	4.23%

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 19.46 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 -1.25%	0	0.00%	0.00%
-1.25% to 0.52%	0	0.00%	0.00%
0.52% to 2.29%	521	20.33%	20.33%
2.29% to 4.06%	1100	42.92%	63.25%
4.06% to 5.83%	508	19.82%	83.07%
5.83% to 7.60%	245	9.56%	92.63%
7.60% to 9.37%	97	3.78%	96.41%
9.37% to 11.14%	53	2.07%	98.48%
Greater than 11.14%	39	1.52%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.70%	6.42%	81.51%	68.27%
±2σ	-0.66%	8.78%	95.16%	95.45%
±3σ	-3.02%	11.14%	98.48%	99.73%

Descriptive Statistics

Mean	4.061%
Standard Error	0.047%
Median	3.495%
Mode	2.082%
Standard Deviation	2.359%
Sample Variance	5.564%
Kurtosis	19.46
Skewness	2.74
Range	36.387%
Minimum	0.707%
Maximum	37.094%
Count	2563

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.061%	2563	100.00%	4.061%
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 0.47. Further, an Excess Kurtosis of 2.50 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -8.13%	8	0.31%	0.31%
-8.13% to -6.11%	31	1.21%	1.52%
-6.11% to -4.08%	90	3.51%	5.03%
-4.08% to -2.06%	345	13.46%	18.49%
-2.06% to -0.04%	883	34.45%	52.95%
-0.04% to 1.99%	735	28.68%	81.62%
1.99% to 4.01%	297	11.59%	93.21%
4.01% to 6.04%	114	4.45%	97.66%
6.04% to 8.06%	42	1.64%	99.30%
Greater than 8.06%	18	0.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.73%	2.66%	75.19%	68.27%
±2σ	-5.43%	5.36%	93.91%	95.45%
±3σ	-8.13%	8.06%	98.99%	99.73%

Descriptive Statistics

Mean	-0.035%
Standard Error	0.053%
Median	-0.177%
Mode	0.000%
Standard Deviation	2.699%
Sample Variance	7.287%
Kurtosis	2.50
Skewness	0.47
Range	31.227%
Minimum	-12.356%
Maximum	18.871%
Count	2563

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.110%	1180	46.04%	0.971%
Negative	-1.876%	1375	53.65%	-1.006%
Zero	0.000%	8	0.31%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.33. Further, an Excess Kurtosis of 3.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -20.46%	3	0.56%	0.56%
-20.46% to -15.23%	8	1.50%	2.07%
-15.23% to -10.00%	20	3.76%	5.83%
-10.00% to -4.78%	68	12.78%	18.61%
-4.78% to 0.45%	159	29.89%	48.50%
0.45% to 5.68%	174	32.71%	81.20%
5.68% to 10.90%	71	13.35%	94.55%
10.90% to 16.13%	20	3.76%	98.31%
16.13% to 21.36%	7	1.32%	99.62%
Greater than 21.36%	2	0.38%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.52%	7.42%	75.19%	68.27%
±2σ	-13.49%	14.39%	94.92%	95.45%
±3σ	-20.46%	21.36%	99.06%	99.73%

Descriptive Statistics

Mean	0.449%
Standard Error	0.302%
Median	0.580%
Mode	-5.107%
Standard Deviation	6.969%
Sample Variance	48.563%
Kurtosis	3.57
Skewness	-0.33
Range	73.839%
Minimum	-41.188%
Maximum	32.651%
Count	532

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.052%	293	55.08%	2.782%
Negative	-5.194%	239	44.92%	-2.333%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	17.96%
12	1 Quarter	13.01%
52	1 Year	11.09%
156	3 Years	10.08%
260	5 Years	11.13%
520	10 Years	9.90%
1,040	20 Years	10.03%
2,600	50 Years	10.03%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.70. Further, an Excess Kurtosis of 30.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -9.67%	0	0.00%	0.00%
-9.67% to -4.59%	0	0.00%	0.00%
-4.59% to 0.50%	0	0.00%	0.00%
0.50% to 5.58%	94	17.64%	17.64%
5.58% to 10.66%	230	43.15%	60.79%
10.66% to 15.75%	129	24.20%	84.99%
15.75% to 20.83%	49	9.19%	94.18%
20.83% to 25.92%	18	3.38%	97.56%
25.92% to 31.00%	6	1.13%	98.69%
Greater than 31.00%	7	1.31%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.89%	17.44%	84.05%	68.27%
±2σ	-2.89%	24.22%	96.81%	95.45%
±3σ	-9.67%	31.00%	98.69%	99.73%

Descriptive Statistics

Mean	10.665%
Standard Error	0.294%
Median	8.984%
Mode	4.000%
Standard Deviation	6.779%
Sample Variance	45.956%
Kurtosis	30.25
Skewness	3.70
Range	83.533%
Minimum	2.244%
Maximum	85.777%
Count	533

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.665%	533	100.00%	10.665%
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 2.27. Further, an Excess Kurtosis of 18.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -22.74%	1	0.19%	0.19%
-22.74% to -17.03%	3	0.56%	0.75%
-17.03% to -11.32%	13	2.44%	3.19%
-11.32% to -5.62%	75	14.07%	17.26%
-5.62% to 0.09%	208	39.02%	56.29%
0.09% to 5.80%	145	27.20%	83.49%
5.80% to 11.51%	58	10.88%	94.37%
11.51% to 17.22%	18	3.38%	97.75%
17.22% to 22.93%	6	1.13%	98.87%
Greater than 22.93%	6	1.13%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.52%	7.71%	77.86%	68.27%
±2σ	-15.13%	15.32%	95.87%	95.45%
±3σ	-22.74%	22.93%	98.69%	99.73%

Descriptive Statistics

Mean	0.093%
Standard Error	0.330%
Median	-0.758%
Mode	-11.194%
Standard Deviation	7.612%
Sample Variance	57.935%
Kurtosis	18.99
Skewness	2.27
Range	102.636%
Minimum	-26.615%
Maximum	76.021%
Count	533

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.035%	235	44.09%	2.661%
Negative	-4.624%	296	55.53%	-2.568%
Zero	0.000%	2	0.38%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.09. Further, an Excess Kurtosis of 0.68 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -38.85%	0	0.00%	0.00%
-38.85% to -28.72%	3	2.46%	2.46%
-28.72% to -18.58%	5	4.10%	6.56%
-18.58% to -8.45%	14	11.48%	18.03%
-8.45% to 1.69%	42	34.43%	52.46%
1.69% to 11.82%	29	23.77%	76.23%
11.82% to 21.96%	20	16.39%	92.62%
21.96% to 32.09%	7	5.74%	98.36%
32.09% to 42.23%	2	1.64%	100.00%
Greater than 42.23%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.83%	15.20%	75.41%	68.27%
±2σ	-25.34%	28.71%	94.26%	95.45%
±3σ	-38.85%	42.23%	100.00%	99.73%

Descriptive Statistics

Mean	1.687%
Standard Error	1.223%
Median	1.182%
Mode	-35.708%
Standard Deviation	13.513%
Sample Variance	182.609%
Kurtosis	0.68
Skewness	-0.09
Range	75.509%
Minimum	-35.708%
Maximum	39.801%
Count	122

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	11.669%	63	51.64%	6.026%
Negative	-8.973%	59	48.36%	-4.339%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	26.85%
12	1 Year	21.73%
36	3 Years	21.60%
60	5 Years	23.52%
120	10 Years	20.77%
240	20 Years	21.03%
600	50 Years	21.03%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.93. Further, an Excess Kurtosis of 6.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -11.01%	0	0.00%	0.00%
-11.01% to -2.30%	0	0.00%	0.00%
-2.30% to 6.40%	1	0.81%	0.81%
6.40% to 15.11%	21	17.07%	17.89%
15.11% to 23.82%	57	46.34%	64.23%
23.82% to 32.52%	22	17.89%	82.11%
32.52% to 41.23%	10	8.13%	90.24%
41.23% to 49.94%	10	8.13%	98.37%
49.94% to 58.64%	0	0.00%	98.37%
Greater than 58.64%	2	1.63%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.21%	35.42%	78.05%	68.27%
±2σ	0.60%	47.03%	96.75%	95.45%
±3σ	-11.01%	58.64%	98.37%	99.73%

Descriptive Statistics

Mean	23.816%
Standard Error	1.047%
Median	20.291%
Mode	6.195%
Standard Deviation	11.609%
Sample Variance	134.767%
Kurtosis	6.27
Skewness	1.93
Range	79.998%
Minimum	6.195%
Maximum	86.193%
Count	123

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	23.816%	123	100.00%	23.816%
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 1.38. Further, an Excess Kurtosis of 3.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -43.04%	0	0.00%	0.00%
-43.04% to -32.21%	0	0.00%	0.00%
-32.21% to -21.37%	1	0.81%	0.81%
-21.37% to -10.54%	27	21.95%	22.76%
-10.54% to 0.29%	36	29.27%	52.03%
0.29% to 11.13%	40	32.52%	84.55%
11.13% to 21.96%	10	8.13%	92.68%
21.96% to 32.79%	4	3.25%	95.93%
32.79% to 43.63%	3	2.44%	98.37%
Greater than 43.63%	2	1.63%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.15%	14.74%	74.80%	68.27%
±2σ	-28.60%	29.18%	95.12%	95.45%
±3σ	-43.04%	43.63%	98.37%	99.73%

Descriptive Statistics

Mean	0.293%
Standard Error	1.302%
Median	-1.326%
Mode	1.933%
Standard Deviation	14.445%
Sample Variance	208.650%
Kurtosis	3.33
Skewness	1.38
Range	87.177%
Minimum	-27.641%
Maximum	59.536%
Count	123

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.741%	61	49.59%	5.327%
Negative	-9.987%	62	50.41%	-5.034%
Zero	0.000%	0	0.00%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.10. Further, an Excess Kurtosis of -0.37 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -63.54%	0	0.00%	0.00%
-63.54% to -46.22%	0	0.00%	0.00%
-46.22% to -28.89%	5	12.20%	12.20%
-28.89% to -11.57%	5	12.20%	24.39%
-11.57% to 5.76%	11	26.83%	51.22%
5.76% to 23.08%	9	21.95%	73.17%
23.08% to 40.41%	9	21.95%	95.12%
40.41% to 57.73%	1	2.44%	97.56%
57.73% to 75.06%	1	2.44%	100.00%
Greater than 75.06%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.34%	28.86%	63.41%	68.27%
±2σ	-40.44%	51.96%	97.56%	95.45%
±3σ	-63.54%	75.06%	100.00%	99.73%

Descriptive Statistics

Mean	5.756%
Standard Error	3.608%
Median	4.834%
Mode	-35.708%
Standard Deviation	23.100%
Sample Variance	533.621%
Kurtosis	-0.37
Skewness	0.10
Range	98.421%
Minimum	-35.708%
Maximum	62.713%
Count	41

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	19.613%	26	63.41%	12.438%
Negative	-18.263%	15	36.59%	-6.682%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	30.72%
12	3 Years	37.44%
20	5 Years	40.34%
40	10 Years	36.75%
80	20 Years	36.83%
200	50 Years	36.83%

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 0.65 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -2.55%	0	0.00%	0.00%
-2.55% to 9.34%	0	0.00%	0.00%
9.34% to 21.23%	2	4.76%	4.76%
21.23% to 33.12%	10	23.81%	28.57%
33.12% to 45.01%	9	21.43%	50.00%
45.01% to 56.90%	14	33.33%	83.33%
56.90% to 68.79%	5	11.90%	95.24%
68.79% to 80.68%	0	0.00%	95.24%
80.68% to 92.57%	2	4.76%	100.00%
Greater than 92.57%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	29.16%	60.86%	76.19%	68.27%
±2σ	13.31%	76.72%	95.24%	95.45%
±3σ	-2.55%	92.57%	100.00%	99.73%

Descriptive Statistics

Mean	45.011%
Standard Error	2.446%
Median	44.948%
Mode	19.620%
Standard Deviation	15.853%
Sample Variance	251.329%
Kurtosis	0.65
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	45.011%	42	100.00%	45.011%
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 0.81. Further, an Excess Kurtosis of -0.39 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -70.49%	0	0.00%	0.00%
-70.49% to -52.75%	0	0.00%	0.00%
-52.75% to -35.02%	0	0.00%	0.00%
-35.02% to -17.29%	12	28.57%	28.57%
-17.29% to 0.45%	15	35.71%	64.29%
0.45% to 18.18%	6	14.29%	78.57%
18.18% to 35.92%	4	9.52%	88.10%
35.92% to 53.65%	4	9.52%	97.62%
53.65% to 71.38%	1	2.38%	100.00%
Greater than 71.38%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.20%	24.09%	64.29%	68.27%
±2σ	-46.84%	47.74%	97.62%	95.45%
±3σ	-70.49%	71.38%	100.00%	99.73%

Descriptive Statistics

Mean	0.448%
Standard Error	3.648%
Median	-5.008%
Mode	-29.234%
Standard Deviation	23.645%
Sample Variance	559.065%
Kurtosis	-0.39
Skewness	0.81
Range	84.327%
Minimum	-29.234%
Maximum	55.093%
Count	42

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	27.258%	15	35.71%	9.735%
Negative	-14.447%	27	64.29%	-9.287%
Zero	0.000%	0	0.00%	0.000%

TEAM Deep Analytical Report