Markets Data Volatility Heatmap Portfolio Calculator

TGT Deep Analytical Report

Target Corporation | Category: Equity Mega Cap | Ann. Div Yield: 3.99% ($4.52) | Last Updated: 2026-03-24 | Data Range: 1973-02-01 → 2026-03-01 (638 months)
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 2.04% 1.73% 1.78% 2.66% 2.03% 2.02% 112.75 117.43 110.49 119.84
Weekly 4.50% 4.34% 4.58% 6.41% 4.47% 4.45% 110.03 120.34 105.22 125.84
Monthly 8.61% 10.33% 9.01% 14.01% 9.31% 9.26% 104.84 126.30 95.51 138.63
Quarterly 15.10% 17.35% 14.14% 25.95% 16.13% 16.03% 97.93 135.22 83.33 158.89
Annual — — — — 32.27% 32.07% 83.33 158.89 60.35 219.40
Option Time Horizon — — — — 12.18% 12.10% 101.88 129.97 90.19 146.81
Calculation Notes: Computed at 2026-03-23T16:38 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $115.07  |  Strike (K): $120.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $3.5750 (Bid $3.5000 / Ask $3.6500)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.99%  |  Binomial IV (Annual): 32.27% (CRR binomial tree, American, n=20 steps)  |  BS IV: 32.47% (European Black-Scholes)  |  Yahoo IV (Annual): 32.07% → period-scaled as σperiod = σannual·√h  |  Price bands: Upper = S·e+σ√h, Lower = S·e−σ√h
Historical Dividend Payouts
Ex-Dividend Date Amount
2026-02-11 $1.1400
2025-11-12 $1.1400
2025-08-13 $1.1400
2025-05-14 $1.1200
2025-02-12 $1.1200
2024-11-20 $1.1200
2024-08-21 $1.1200
2024-05-14 $1.1000
2024-02-20 $1.1000
2023-11-14 $1.1000
2023-08-15 $1.1000
2023-05-16 $1.0800
2023-02-14 $1.0800
2022-11-15 $1.0800
2022-08-16 $1.0800
2022-05-17 $0.9000
2022-02-15 $0.9000
2021-11-16 $0.9000
2021-08-17 $0.9000
2021-05-18 $0.6800
2021-02-16 $0.6800
2020-11-17 $0.6800
2020-08-18 $0.6800
2020-05-19 $0.6600
2020-02-18 $0.6600
2019-11-19 $0.6600
2019-08-20 $0.6600
2019-05-14 $0.6400
2019-02-19 $0.6400
2018-11-20 $0.6400
2018-08-14 $0.6400
2018-05-15 $0.6200
2018-02-20 $0.6200
2017-11-14 $0.6200
2017-08-14 $0.6200
2017-05-15 $0.6000
2017-02-13 $0.6000
2016-11-14 $0.6000
2016-08-15 $0.6000
2016-05-16 $0.5600
2016-02-12 $0.5600
2015-11-16 $0.5600
2015-08-17 $0.5600
2015-05-18 $0.5200
2015-02-13 $0.5200
2014-11-17 $0.5200
2014-08-18 $0.5200
2014-05-19 $0.4300
2014-02-14 $0.4300
2013-11-18 $0.4300
2013-08-19 $0.4300
2013-05-13 $0.3600
2013-02-15 $0.3600
2012-11-19 $0.3600
2012-08-13 $0.3600
2012-05-14 $0.3000
2012-02-13 $0.3000
2011-11-14 $0.3000
2011-08-16 $0.3000
2011-05-16 $0.2500
2011-02-14 $0.2500
2010-11-17 $0.2500
2010-08-18 $0.2500
2010-05-18 $0.1700
2010-02-17 $0.1700
2009-11-18 $0.1700
2009-08-18 $0.1700
2009-05-18 $0.1600
2009-02-18 $0.1600
2008-11-18 $0.1600
2008-08-18 $0.1600
2008-05-16 $0.1400
2008-02-15 $0.1400
2007-11-16 $0.1400
2007-08-16 $0.1400
2007-05-16 $0.1200
2007-02-15 $0.1200
2006-11-16 $0.1200
2006-08-16 $0.1200
2006-05-17 $0.1000
2006-02-15 $0.1000
2005-11-16 $0.1000
2005-08-17 $0.1000
2005-05-18 $0.0800
2005-02-16 $0.0800
2004-11-17 $0.0800
2004-08-18 $0.0800
2004-05-18 $0.0700
2004-02-18 $0.0700
2003-11-18 $0.0700
2003-08-18 $0.0700
2003-05-16 $0.0600
2003-02-18 $0.0600
2002-11-18 $0.0600
2002-08-16 $0.0600
2002-05-16 $0.0600
2002-02-15 $0.0600
2001-11-16 $0.0550
2001-08-16 $0.0550
2001-05-16 $0.0550
2001-02-15 $0.0550
2000-11-16 $0.0550
2000-08-16 $0.0550
2000-05-17 $0.0500
2000-02-16 $0.0500
1999-11-17 $0.0500
1999-08-18 $0.0500
1999-05-18 $0.0500
1999-02-17 $0.0500
1998-11-18 $0.0450
1998-08-18 $0.0450
1998-05-18 $0.0450
1998-02-18 $0.0450
1997-11-18 $0.0450
1997-08-18 $0.0400
1997-05-16 $0.0400
1997-02-18 $0.0400
1996-11-18 $0.0400
1996-08-16 $0.0400
1996-05-16 $0.0367
1996-02-15 $0.0367
1995-11-16 $0.0367
1995-08-16 $0.0367
1995-05-15 $0.0367
1995-02-13 $0.0350
1994-11-14 $0.0350
1994-08-15 $0.0350
1994-05-16 $0.0350
1994-02-14 $0.0350
1993-11-15 $0.0333
1993-08-16 $0.0333
1993-05-14 $0.0333
1993-02-12 $0.0333
1992-11-16 $0.0317
1992-08-14 $0.0317
1992-05-14 $0.0317
1992-02-13 $0.0317
1991-11-14 $0.0300
1991-08-14 $0.0300
1991-05-14 $0.0300
1991-02-13 $0.0300
1990-11-14 $0.0275
1990-08-14 $0.0275
1990-05-14 $0.0275
1990-02-13 $0.0275
1989-11-14 $0.0233
1989-08-14 $0.0233
1989-05-15 $0.0233
1989-02-13 $0.0233
1988-11-14 $0.0213
1988-08-15 $0.0213
1988-05-16 $0.0213
1988-02-12 $0.0213
1987-11-16 $0.0192
1987-08-14 $0.0192
1987-05-14 $0.0192
1987-02-13 $0.0192
1986-11-14 $0.0175
1986-08-14 $0.0175
1986-05-14 $0.0175
1986-02-19 $0.0175
1985-11-14 $0.0171
1985-08-14 $0.0154
1985-05-14 $0.0154
1985-02-13 $0.0154
1984-11-14 $0.0154
1984-08-14 $0.0136
1984-05-14 $0.0135
1984-02-10 $0.0135
1983-11-14 $0.0135
1983-08-15 $0.0125
1983-05-16 $0.0125
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.20. Further, an Excess Kurtosis of 13.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.05%800.60%0.60%
-6.05% to -4.52%1250.94%1.53%
-4.52% to -2.99%4283.20%4.74%
-2.99% to -1.46%152211.40%16.14%
-1.46% to 0.07%487636.51%52.64%
0.07% to 1.60%414431.03%83.67%
1.60% to 3.13%148811.14%94.81%
3.13% to 4.66%4373.27%98.08%
4.66% to 6.19%1561.17%99.25%
Greater than 6.19%1000.75%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.97%2.11% 78.14%68.27%
±2σ -4.01%4.15% 95.22%95.45%
±3σ -6.05%6.19% 98.65%99.73%
Descriptive Statistics
Mean0.069%
Standard Error0.018%
Median0.000%
Mode0.000%
Standard Deviation2.041%
Sample Variance4.165%
Kurtosis13.59
Skewness-0.20
Range53.387%
Minimum-32.961%
Maximum20.426%
Count13356
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.520% 6446 48.26% 0.734%
Negative -1.418% 6254 46.83% -0.664%
Zero 0.000% 656 4.91% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.32%
20 1 Month 3.03%
60 1 Quarter 3.10%
250 1 Year 3.02%
750 3 Years 2.65%
1,250 5 Years 2.66%
2,500 10 Years 2.49%
5,000 20 Years 2.45%
12,500 50 Years 2.47%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.44. Further, an Excess Kurtosis of 97.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.79%00.00%0.00%
-2.79% to -1.49%00.00%0.00%
-1.49% to -0.20%00.00%0.00%
-0.20% to 1.10%188414.10%14.10%
1.10% to 2.39%654048.96%63.07%
2.39% to 3.69%300522.50%85.57%
3.69% to 4.99%10958.20%93.76%
4.99% to 6.28%4313.23%96.99%
6.28% to 7.58%2051.53%98.53%
Greater than 7.58%1971.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.67%4.12% 86.40%68.27%
±2σ -1.06%5.85% 96.17%95.45%
±3σ -2.79%7.58% 98.53%99.73%
Descriptive Statistics
Mean2.394%
Standard Error0.015%
Median1.961%
Mode1.299%
Standard Deviation1.728%
Sample Variance2.988%
Kurtosis97.96
Skewness5.44
Range53.277%
Minimum0.211%
Maximum53.488%
Count13357
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.394% 13357 100.00% 2.394%
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 0.82. Further, an Excess Kurtosis of 19.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.36%860.64%0.64%
-5.36% to -4.02%1541.15%1.80%
-4.02% to -2.68%4833.62%5.41%
-2.68% to -1.34%148911.15%16.56%
-1.34% to -0.01%401830.08%46.64%
-0.01% to 1.33%493236.92%83.57%
1.33% to 2.67%153211.47%95.04%
2.67% to 4.01%4333.24%98.28%
4.01% to 5.35%1381.03%99.31%
Greater than 5.35%920.69%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.79%1.78% 78.03%68.27%
±2σ -3.57%3.56% 95.04%95.45%
±3σ -5.36%5.35% 98.67%99.73%
Descriptive Statistics
Mean-0.005%
Standard Error0.015%
Median0.000%
Mode0.000%
Standard Deviation1.784%
Sample Variance3.184%
Kurtosis19.25
Skewness0.82
Range49.349%
Minimum-12.682%
Maximum36.667%
Count13357
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.291% 6320 47.32% 0.611%
Negative -1.319% 6231 46.65% -0.615%
Zero 0.000% 806 6.03% 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 7.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -13.16%120.43%0.43%
-13.16% to -9.79%260.94%1.37%
-9.79% to -6.41%1023.68%5.06%
-6.41% to -3.04%35812.93%17.98%
-3.04% to 0.34%92333.33%51.32%
0.34% to 3.71%86031.06%82.38%
3.71% to 7.09%33612.13%94.51%
7.09% to 10.46%943.39%97.91%
10.46% to 13.84%341.23%99.13%
Greater than 13.84%240.87%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.16%4.84% 75.95%68.27%
±2σ -8.66%9.34% 95.23%95.45%
±3σ -13.17%13.84% 98.70%99.73%
Descriptive Statistics
Mean0.338%
Standard Error0.086%
Median0.206%
Mode0.000%
Standard Deviation4.501%
Sample Variance20.260%
Kurtosis7.43
Skewness0.04
Range75.177%
Minimum-45.455%
Maximum29.722%
Count2769
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.445% 1422 51.35% 1.769%
Negative -3.079% 1287 46.48% -1.431%
Zero 0.000% 60 2.17% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 7.19%
12 1 Quarter 6.57%
52 1 Year 6.79%
156 3 Years 6.30%
260 5 Years 6.41%
520 10 Years 5.98%
1,040 20 Years 5.69%
2,600 50 Years 5.94%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.55. Further, an Excess Kurtosis of 52.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.75%00.00%0.00%
-6.75% to -3.49%00.00%0.00%
-3.49% to -0.23%00.00%0.00%
-0.23% to 3.03%41014.80%14.80%
3.03% to 6.29%133048.01%62.82%
6.29% to 9.54%64123.14%85.96%
9.54% to 12.80%2187.87%93.83%
12.80% to 16.06%873.14%96.97%
16.06% to 19.32%381.37%98.34%
Greater than 19.32%461.66%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.94%10.63% 87.33%68.27%
±2σ -2.40%14.97% 96.28%95.45%
±3σ -6.75%19.32% 98.34%99.73%
Descriptive Statistics
Mean6.285%
Standard Error0.083%
Median5.262%
Mode6.667%
Standard Deviation4.344%
Sample Variance18.873%
Kurtosis52.01
Skewness4.55
Range85.131%
Minimum0.702%
Maximum85.833%
Count2770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.285% 2770 100.00% 6.285%
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 2.60. Further, an Excess Kurtosis of 45.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -13.80%90.32%0.32%
-13.80% to -10.37%361.30%1.62%
-10.37% to -6.93%722.60%4.22%
-6.93% to -3.49%35312.74%16.97%
-3.49% to -0.05%93033.57%50.54%
-0.05% to 3.38%91833.14%83.68%
3.38% to 6.82%31211.26%94.95%
6.82% to 10.26%993.57%98.52%
10.26% to 13.70%270.97%99.49%
Greater than 13.70%140.51%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.64%4.53% 78.56%68.27%
±2σ -9.22%9.11% 95.60%95.45%
±3σ -13.80%13.70% 99.17%99.73%
Descriptive Statistics
Mean-0.053%
Standard Error0.087%
Median-0.128%
Mode0.000%
Standard Deviation4.583%
Sample Variance21.002%
Kurtosis45.29
Skewness2.60
Range106.295%
Minimum-21.712%
Maximum84.583%
Count2770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.276% 1294 46.72% 1.530%
Negative -3.118% 1407 50.79% -1.584%
Zero 0.000% 69 2.49% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.03. Further, an Excess Kurtosis of 1.92 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.43%20.31%0.31%
-24.43% to -17.97%71.10%1.41%
-17.97% to -11.51%233.61%5.02%
-11.51% to -5.05%9715.23%20.25%
-5.05% to 1.40%19931.24%51.49%
1.40% to 7.86%17827.94%79.43%
7.86% to 14.32%8613.50%92.94%
14.32% to 20.78%335.18%98.12%
20.78% to 27.24%101.57%99.69%
Greater than 27.24%20.31%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.21%10.02% 71.74%68.27%
±2σ -15.82%18.63% 94.82%95.45%
±3σ -24.43%27.24% 99.37%99.73%
Descriptive Statistics
Mean1.404%
Standard Error0.341%
Median1.229%
Mode0.000%
Standard Deviation8.611%
Sample Variance74.158%
Kurtosis1.92
Skewness-0.03
Range77.232%
Minimum-47.708%
Maximum29.524%
Count637
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.045% 361 56.67% 3.993%
Negative -6.063% 272 42.70% -2.589%
Zero 0.000% 4 0.63% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 14.29%
12 1 Year 13.49%
36 3 Years 13.39%
60 5 Years 14.01%
120 10 Years 13.42%
240 20 Years 12.29%
600 50 Years 12.84%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 7.59. Further, an Excess Kurtosis of 108.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.49%00.00%0.00%
-16.49% to -8.74%00.00%0.00%
-8.74% to -0.99%00.00%0.00%
-0.99% to 6.75%6610.34%10.34%
6.75% to 14.50%33252.04%62.38%
14.50% to 22.25%16225.39%87.77%
22.25% to 30.00%538.31%96.08%
30.00% to 37.74%132.04%98.12%
37.74% to 45.49%50.78%98.90%
Greater than 45.49%71.10%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.17%24.83% 90.28%68.27%
±2σ -6.16%35.16% 97.34%95.45%
±3σ -16.49%45.49% 98.90%99.73%
Descriptive Statistics
Mean14.501%
Standard Error0.409%
Median12.549%
Mode16.667%
Standard Deviation10.329%
Sample Variance106.684%
Kurtosis108.80
Skewness7.59
Range178.454%
Minimum2.941%
Maximum181.395%
Count638
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 14.501% 638 100.00% 14.501%
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 1.88. Further, an Excess Kurtosis of 16.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -27.46%00.00%0.00%
-27.46% to -20.70%40.63%0.63%
-20.70% to -13.95%274.23%4.86%
-13.95% to -7.19%9815.36%20.22%
-7.19% to -0.44%21032.92%53.13%
-0.44% to 6.32%18328.68%81.82%
6.32% to 13.07%8212.85%94.67%
13.07% to 19.83%213.29%97.96%
19.83% to 26.58%101.57%99.53%
Greater than 26.58%30.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.45%8.57% 75.08%68.27%
±2σ -18.45%17.57% 96.08%95.45%
±3σ -27.46%26.58% 99.53%99.73%
Descriptive Statistics
Mean-0.439%
Standard Error0.357%
Median-0.978%
Mode-7.553%
Standard Deviation9.007%
Sample Variance81.135%
Kurtosis16.19
Skewness1.88
Range112.466%
Minimum-22.426%
Maximum90.040%
Count638
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.774% 285 44.67% 3.026%
Negative -6.299% 351 55.02% -3.465%
Zero 0.000% 2 0.31% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.65. Further, an Excess Kurtosis of 1.36 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -41.09%00.00%0.00%
-41.09% to -29.76%20.94%0.94%
-29.76% to -18.44%62.83%3.77%
-18.44% to -7.11%3516.51%20.28%
-7.11% to 4.22%7334.43%54.72%
4.22% to 15.55%5827.36%82.08%
15.55% to 26.88%2210.38%92.45%
26.88% to 38.20%115.19%97.64%
38.20% to 49.53%20.94%98.58%
Greater than 49.53%31.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.88%19.32% 71.70%68.27%
±2σ -25.99%34.43% 94.81%95.45%
±3σ -41.09%49.53% 98.58%99.73%
Descriptive Statistics
Mean4.220%
Standard Error1.037%
Median2.381%
Mode3.898%
Standard Deviation15.104%
Sample Variance228.121%
Kurtosis1.36
Skewness0.65
Range97.955%
Minimum-38.359%
Maximum59.596%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 13.083% 128 60.38% 7.899%
Negative -9.285% 84 39.62% -3.679%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 23.34%
12 3 Years 25.86%
20 5 Years 25.95%
40 10 Years 24.85%
80 20 Years 22.27%
200 50 Years 23.13%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.05. Further, an Excess Kurtosis of 29.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.47%00.00%0.00%
-24.47% to -11.46%00.00%0.00%
-11.46% to 1.56%00.00%0.00%
1.56% to 14.57%3215.02%15.02%
14.57% to 27.59%10549.30%64.32%
27.59% to 40.60%4320.19%84.51%
40.60% to 53.62%188.45%92.96%
53.62% to 66.64%104.69%97.65%
66.64% to 79.65%31.41%99.06%
Greater than 79.65%20.94%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 10.23%44.94% 86.38%68.27%
±2σ -7.12%62.30% 96.71%95.45%
±3σ -24.47%79.65% 99.06%99.73%
Descriptive Statistics
Mean27.589%
Standard Error1.189%
Median23.404%
Mode50.000%
Standard Deviation17.354%
Sample Variance301.168%
Kurtosis29.37
Skewness4.05
Range172.635%
Minimum8.760%
Maximum181.395%
Count213
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 27.589% 213 100.00% 27.589%
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 0.61. Further, an Excess Kurtosis of 2.17 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -44.02%00.00%0.00%
-44.02% to -33.41%31.41%1.41%
-33.41% to -22.80%94.23%5.63%
-22.80% to -12.20%3215.02%20.66%
-12.20% to -1.59%6630.99%51.64%
-1.59% to 9.01%6229.11%80.75%
9.01% to 19.62%3114.55%95.31%
19.62% to 30.22%52.35%97.65%
30.22% to 40.83%20.94%98.59%
Greater than 40.83%31.41%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -15.73%12.55% 72.30%68.27%
±2σ -29.88%26.69% 95.31%95.45%
±3σ -44.02%40.83% 98.59%99.73%
Descriptive Statistics
Mean-1.593%
Standard Error0.969%
Median-1.748%
Mode-37.342%
Standard Deviation14.141%
Sample Variance199.959%
Kurtosis2.17
Skewness0.61
Range99.095%
Minimum-37.342%
Maximum61.753%
Count213
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 11.114% 87 40.84% 4.540%
Negative -10.450% 125 58.69% -6.133%
Zero 0.000% 1 0.47% 0.000%