Markets Data Volatility Heatmap Portfolio Calculator

TGT Deep Analytical Report

Target Corporation | Category: Equity Mega Cap | Ann. Div Yield: 3.89% ($4.50) | Last Updated: 2026-02-22 | Data Range: 1973-02-01 → 2026-02-01 (637 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% 2.59% 2.70% 113.70 119.76 110.79 122.90
Weekly 4.50% 4.35% 4.58% 6.42% 5.71% 5.94% 110.21 123.55 104.09 130.81
Monthly 8.62% 10.34% 9.02% 14.11% 11.89% 12.37% 103.61 131.42 91.99 148.01
Quarterly 15.11% 17.37% 14.14% 25.61% 20.59% 21.42% 94.97 143.37 77.30 176.16
Annual — — — — 41.19% 42.85% 77.30 176.16 51.20 265.93
Option Time Horizon — — — — 15.84% 16.48% 99.59 136.72 85.00 160.19
Calculation Notes: Computed at 2026-02-22T14:22 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $116.69  |  Strike (K): $120.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $5.9750 (Bid $5.6500 / Ask $6.3000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.89%  |  Binomial IV (Annual): 41.19% (CRR binomial tree, American, n=20 steps)  |  BS IV: 41.69% (European Black-Scholes)  |  Yahoo IV (Annual): 42.85% → 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 13.60 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%1.54%
-4.52% to -2.99%4283.21%4.75%
-2.99% to -1.46%151811.38%16.13%
-1.46% to 0.07%486736.50%52.63%
0.07% to 1.60%413831.03%83.66%
1.60% to 3.13%148711.15%94.81%
3.13% to 4.66%4373.28%98.09%
4.66% to 6.19%1561.17%99.26%
Greater than 6.19%990.74%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.97%2.11% 78.13%68.27%
±2σ -4.01%4.15% 95.22%95.45%
±3σ -6.05%6.19% 98.66%99.73%
Descriptive Statistics
Mean0.069%
Standard Error0.018%
Median0.000%
Mode0.000%
Standard Deviation2.041%
Sample Variance4.165%
Kurtosis13.60
Skewness-0.20
Range53.387%
Minimum-32.961%
Maximum20.426%
Count13335
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.520% 6438 48.28% 0.734%
Negative -1.419% 6241 46.80% -0.664%
Zero 0.000% 656 4.92% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.77%
20 1 Month 3.12%
60 1 Quarter 2.97%
250 1 Year 3.02%
750 3 Years 2.64%
1,250 5 Years 2.66%
2,500 10 Years 2.48%
5,000 20 Years 2.44%
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 97.98 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 -1.50%00.00%0.00%
-1.50% to -0.20%00.00%0.00%
-0.20% to 1.10%188214.11%14.11%
1.10% to 2.39%653048.97%63.08%
2.39% to 3.69%300022.50%85.57%
3.69% to 4.99%10938.20%93.77%
4.99% to 6.28%4313.23%97.00%
6.28% to 7.58%2031.52%98.52%
Greater than 7.58%1971.48%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.67%4.12% 86.41%68.27%
±2σ -1.06%5.85% 96.18%95.45%
±3σ -2.79%7.58% 98.52%99.73%
Descriptive Statistics
Mean2.394%
Standard Error0.015%
Median1.961%
Mode1.299%
Standard Deviation1.729%
Sample Variance2.990%
Kurtosis97.98
Skewness5.44
Range53.277%
Minimum0.211%
Maximum53.488%
Count13336
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.394% 13336 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 19.27 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%4813.61%5.41%
-2.68% to -1.34%148611.14%16.55%
-1.34% to -0.01%401230.08%46.63%
-0.01% to 1.33%492936.96%83.59%
1.33% to 2.67%152611.44%95.04%
2.67% to 4.01%4333.25%98.28%
4.01% to 5.35%1371.03%99.31%
Greater than 5.35%920.69%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.79%1.78% 78.04%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 Deviation1.785%
Sample Variance3.185%
Kurtosis19.27
Skewness0.82
Range49.349%
Minimum-12.682%
Maximum36.667%
Count13336
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.290% 6310 47.32% 0.610%
Negative -1.319% 6220 46.64% -0.615%
Zero 0.000% 806 6.04% 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 -13.17%120.43%0.43%
-13.17% to -9.79%250.90%1.34%
-9.79% to -6.41%1033.73%5.06%
-6.41% to -3.04%35812.95%18.01%
-3.04% to 0.34%91933.24%51.25%
0.34% to 3.72%86131.14%82.39%
3.72% to 7.09%33512.12%94.50%
7.09% to 10.47%943.40%97.90%
10.47% to 13.85%341.23%99.13%
Greater than 13.85%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%13.85% 98.70%99.73%
Descriptive Statistics
Mean0.339%
Standard Error0.086%
Median0.209%
Mode0.000%
Standard Deviation4.502%
Sample Variance20.270%
Kurtosis7.43
Skewness0.04
Range75.177%
Minimum-45.455%
Maximum29.722%
Count2765
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.441% 1422 51.43% 1.770%
Negative -3.083% 1283 46.40% -1.431%
Zero 0.000% 60 2.17% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 5.85%
12 1 Quarter 6.42%
52 1 Year 6.80%
156 3 Years 6.28%
260 5 Years 6.42%
520 10 Years 5.95%
1,040 20 Years 5.68%
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 4.54. Further, an Excess Kurtosis of 51.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.76%00.00%0.00%
-6.76% to -3.50%00.00%0.00%
-3.50% to -0.24%00.00%0.00%
-0.24% to 3.02%40614.68%14.68%
3.02% to 6.28%133248.16%62.83%
6.28% to 9.54%64023.14%85.97%
9.54% to 12.80%2177.85%93.82%
12.80% to 16.06%873.15%96.96%
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% 87.31%68.27%
±2σ -2.41%14.98% 96.28%95.45%
±3σ -6.76%19.32% 98.34%99.73%
Descriptive Statistics
Mean6.283%
Standard Error0.083%
Median5.248%
Mode6.667%
Standard Deviation4.347%
Sample Variance18.897%
Kurtosis51.96
Skewness4.54
Range85.131%
Minimum0.702%
Maximum85.833%
Count2766
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.283% 2766 100.00% 6.283%
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 45.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -13.81%90.33%0.33%
-13.81% to -10.37%361.30%1.63%
-10.37% to -6.93%722.60%4.23%
-6.93% to -3.49%35312.76%16.99%
-3.49% to -0.06%92933.59%50.58%
-0.06% to 3.38%91533.08%83.66%
3.38% to 6.82%31211.28%94.94%
6.82% to 10.26%993.58%98.52%
10.26% to 13.70%270.98%99.49%
Greater than 13.70%140.51%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.64%4.53% 78.52%68.27%
±2σ -9.22%9.12% 95.59%95.45%
±3σ -13.81%13.70% 99.17%99.73%
Descriptive Statistics
Mean-0.055%
Standard Error0.087%
Median-0.132%
Mode0.000%
Standard Deviation4.585%
Sample Variance21.021%
Kurtosis45.28
Skewness2.60
Range106.295%
Minimum-21.712%
Maximum84.583%
Count2766
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.278% 1291 46.67% 1.530%
Negative -3.117% 1406 50.83% -1.584%
Zero 0.000% 69 2.50% 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 1.90 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.46%20.31%0.31%
-24.46% to -17.99%71.10%1.42%
-17.99% to -11.53%233.62%5.03%
-11.53% to -5.06%9715.25%20.28%
-5.06% to 1.41%19831.13%51.42%
1.41% to 7.88%17928.14%79.56%
7.88% to 14.34%8613.52%93.08%
14.34% to 20.81%325.03%98.11%
20.81% to 27.28%101.57%99.69%
Greater than 27.28%20.31%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.21%10.03% 71.54%68.27%
±2σ -15.84%18.65% 94.81%95.45%
±3σ -24.46%27.28% 99.37%99.73%
Descriptive Statistics
Mean1.409%
Standard Error0.342%
Median1.232%
Mode0.000%
Standard Deviation8.623%
Sample Variance74.353%
Kurtosis1.90
Skewness-0.03
Range77.232%
Minimum-47.708%
Maximum29.524%
Count636
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.070% 360 56.60% 4.002%
Negative -6.063% 272 42.77% -2.593%
Zero 0.000% 4 0.63% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 14.94%
12 1 Year 14.16%
36 3 Years 13.29%
60 5 Years 14.11%
120 10 Years 13.37%
240 20 Years 12.26%
600 50 Years 12.83%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 7.58. Further, an Excess Kurtosis of 108.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.51%00.00%0.00%
-16.51% to -8.76%00.00%0.00%
-8.76% to -1.00%00.00%0.00%
-1.00% to 6.75%6610.36%10.36%
6.75% to 14.50%33151.96%62.32%
14.50% to 22.26%16225.43%87.76%
22.26% to 30.01%538.32%96.08%
30.01% to 37.76%132.04%98.12%
37.76% to 45.51%50.78%98.90%
Greater than 45.51%71.10%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.17%24.84% 90.27%68.27%
±2σ -6.17%35.18% 97.33%95.45%
±3σ -16.51%45.51% 98.90%99.73%
Descriptive Statistics
Mean14.503%
Standard Error0.410%
Median12.546%
Mode16.667%
Standard Deviation10.337%
Sample Variance106.849%
Kurtosis108.62
Skewness7.58
Range178.454%
Minimum2.941%
Maximum181.395%
Count637
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 14.503% 637 100.00% 14.503%
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 1.87. Further, an Excess Kurtosis of 16.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -27.49%00.00%0.00%
-27.49% to -20.73%40.63%0.63%
-20.73% to -13.96%274.24%4.87%
-13.96% to -7.20%9815.38%20.25%
-7.20% to -0.44%20932.81%53.06%
-0.44% to 6.32%18328.73%81.79%
6.32% to 13.09%8212.87%94.66%
13.09% to 19.85%213.30%97.96%
19.85% to 26.61%101.57%99.53%
Greater than 26.61%30.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.46%8.58% 75.04%68.27%
±2σ -18.47%17.59% 96.08%95.45%
±3σ -27.49%26.61% 99.53%99.73%
Descriptive Statistics
Mean-0.439%
Standard Error0.357%
Median-0.946%
Mode-7.553%
Standard Deviation9.017%
Sample Variance81.315%
Kurtosis16.14
Skewness1.87
Range112.466%
Minimum-22.426%
Maximum90.040%
Count637
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.774% 285 44.74% 3.031%
Negative -6.316% 350 54.95% -3.470%
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 0.64. Further, an Excess Kurtosis of 1.35 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 -18.43%62.83%3.77%
-18.43% to -7.10%3516.51%20.28%
-7.10% to 4.23%7334.43%54.72%
4.23% to 15.56%5827.36%82.08%
15.56% to 26.89%2210.38%92.45%
26.89% to 38.22%115.19%97.64%
38.22% to 49.55%20.94%98.58%
Greater than 49.55%31.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -10.88%19.34% 71.70%68.27%
±2σ -25.99%34.44% 94.81%95.45%
±3σ -41.09%49.55% 98.58%99.73%
Descriptive Statistics
Mean4.228%
Standard Error1.038%
Median2.380%
Mode3.898%
Standard Deviation15.107%
Sample Variance228.223%
Kurtosis1.35
Skewness0.64
Range97.955%
Minimum-38.359%
Maximum59.596%
Count212
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 13.095% 128 60.38% 7.906%
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 21.67%
12 3 Years 25.31%
20 5 Years 25.61%
40 10 Years 24.68%
80 20 Years 22.19%
200 50 Years 23.09%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.04. Further, an Excess Kurtosis of 29.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -24.56%00.00%0.00%
-24.56% to -11.53%00.00%0.00%
-11.53% to 1.50%00.00%0.00%
1.50% to 14.53%3114.55%14.55%
14.53% to 27.56%10649.77%64.32%
27.56% to 40.59%4320.19%84.51%
40.59% to 53.62%188.45%92.96%
53.62% to 66.64%104.69%97.65%
66.64% to 79.67%31.41%99.06%
Greater than 79.67%20.94%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 10.18%44.93% 86.38%68.27%
±2σ -7.19%62.30% 96.71%95.45%
±3σ -24.56%79.67% 99.06%99.73%
Descriptive Statistics
Mean27.557%
Standard Error1.190%
Median23.404%
Mode50.000%
Standard Deviation17.372%
Sample Variance301.771%
Kurtosis29.27
Skewness4.04
Range172.635%
Minimum8.760%
Maximum181.395%
Count213
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 27.557% 213 100.00% 27.557%
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 0.62. 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 -44.03%00.00%0.00%
-44.03% to -33.42%31.41%1.41%
-33.42% to -22.82%94.23%5.63%
-22.82% to -12.21%3215.02%20.66%
-12.21% to -1.60%6630.99%51.64%
-1.60% to 9.01%6229.11%80.75%
9.01% to 19.62%3114.55%95.31%
19.62% to 30.23%52.35%97.65%
30.23% 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 -15.74%12.54% 72.30%68.27%
±2σ -29.89%26.69% 95.31%95.45%
±3σ -44.03%40.83% 98.59%99.73%
Descriptive Statistics
Mean-1.599%
Standard Error0.969%
Median-1.748%
Mode-37.342%
Standard Deviation14.144%
Sample Variance200.056%
Kurtosis2.17
Skewness0.62
Range99.095%
Minimum-37.342%
Maximum61.753%
Count213
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 11.114% 87 40.84% 4.540%
Negative -10.460% 125 58.69% -6.138%
Zero 0.000% 1 0.47% 0.000%