TSLA - 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	3.63%	2.66%	2.97%	4.97%	2.71%	2.79%	400.81	423.13	390.09	434.76
Weekly	8.41%	7.36%	7.95%	12.15%	5.97%	6.14%	387.97	437.14	365.50	464.01
Monthly	18.09%	18.15%	15.72%	26.09%	12.42%	12.78%	363.72	466.28	321.24	527.94
Quarterly	33.59%	35.21%	21.63%	45.95%	21.51%	22.14%	332.11	510.66	267.83	633.23
Annual	—	—	—	—	43.02%	44.27%	267.83	633.23	174.18	973.67
Option Time Horizon	—	—	—	—	16.55%	17.03%	349.01	485.93	295.78	573.39

Calculation Notes: Computed at 2026-02-22T14:16 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $411.82 | Strike (K): $415.00 (first OTM call ≥ spot) | Observed Mid-Price: $26.6500 (Bid $26.5500 / Ask $26.7500) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 43.02% (CRR binomial tree, American, n=20 steps) | BS IV: 42.88% (European Black-Scholes) | Yahoo IV (Annual): 44.27% → 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 0.37. Further, an Excess Kurtosis of 4.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.68%	26	0.66%	0.66%
-10.68% to -7.96%	39	0.99%	1.65%
-7.96% to -5.24%	124	3.15%	4.80%
-5.24% to -2.52%	477	12.12%	16.93%
-2.52% to 0.21%	1373	34.89%	51.82%
0.21% to 2.93%	1247	31.69%	83.51%
2.93% to 5.65%	444	11.28%	94.79%
5.65% to 8.38%	124	3.15%	97.94%
8.38% to 11.10%	43	1.09%	99.03%
Greater than 11.10%	38	0.97%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.42%	3.84%	77.59%	68.27%
±2σ	-7.05%	7.47%	94.89%	95.45%
±3σ	-10.68%	11.10%	98.37%	99.73%

Descriptive Statistics

Mean	0.207%
Standard Error	0.058%
Median	0.117%
Mode	0.000%
Standard Deviation	3.630%
Sample Variance	13.179%
Kurtosis	4.92
Skewness	0.37
Range	45.458%
Minimum	-21.063%
Maximum	24.395%
Count	3935

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.649%	2031	51.61%	1.367%
Negative	-2.411%	1894	48.13%	-1.160%
Zero	0.000%	10	0.25%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	2.81%
20	1 Month	3.55%
60	1 Quarter	3.51%
250	1 Year	5.00%
750	3 Years	4.76%
1,250	5 Years	4.97%
2,500	10 Years	4.67%
5,000	20 Years	4.63%
12,500	50 Years	4.63%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.40. Further, an Excess Kurtosis of 23.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.62%	0	0.00%	0.00%
-3.62% to -1.63%	0	0.00%	0.00%
-1.63% to 0.37%	0	0.00%	0.00%
0.37% to 2.36%	660	16.77%	16.77%
2.36% to 4.36%	1814	46.09%	62.86%
4.36% to 6.36%	892	22.66%	85.52%
6.36% to 8.35%	345	8.77%	94.28%
8.35% to 10.35%	101	2.57%	96.85%
10.35% to 12.34%	57	1.45%	98.30%
Greater than 12.34%	67	1.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.70%	7.02%	85.42%	68.27%
±2σ	-0.96%	9.68%	96.21%	95.45%
±3σ	-3.62%	12.34%	98.30%	99.73%

Descriptive Statistics

Mean	4.359%
Standard Error	0.042%
Median	3.754%
Mode	3.187%
Standard Deviation	2.661%
Sample Variance	7.079%
Kurtosis	23.99
Skewness	3.40
Range	41.683%
Minimum	0.848%
Maximum	42.531%
Count	3936

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.359%	3936	100.00%	4.359%
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 0.33. Further, an Excess Kurtosis of 5.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -8.84%	22	0.56%	0.56%
-8.84% to -6.62%	37	0.94%	1.50%
-6.62% to -4.39%	138	3.51%	5.01%
-4.39% to -2.17%	544	13.82%	18.83%
-2.17% to 0.06%	1257	31.94%	50.76%
0.06% to 2.28%	1231	31.28%	82.04%
2.28% to 4.51%	479	12.17%	94.21%
4.51% to 6.73%	162	4.12%	98.32%
6.73% to 8.96%	43	1.09%	99.42%
Greater than 8.96%	23	0.58%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.91%	3.02%	75.43%	68.27%
±2σ	-5.88%	5.99%	95.15%	95.45%
±3σ	-8.84%	8.96%	98.86%	99.73%

Descriptive Statistics

Mean	0.057%
Standard Error	0.047%
Median	0.011%
Mode	0.000%
Standard Deviation	2.966%
Sample Variance	8.796%
Kurtosis	5.50
Skewness	0.33
Range	45.085%
Minimum	-20.469%
Maximum	24.616%
Count	3936

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.183%	1974	50.15%	1.095%
Negative	-2.090%	1955	49.67%	-1.038%
Zero	0.000%	7	0.18%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.90. Further, an Excess Kurtosis of 3.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -24.17%	2	0.25%	0.25%
-24.17% to -17.87%	5	0.61%	0.86%
-17.87% to -11.56%	31	3.80%	4.66%
-11.56% to -5.26%	115	14.09%	18.75%
-5.26% to 1.05%	282	34.56%	53.31%
1.05% to 7.35%	242	29.66%	82.97%
7.35% to 13.66%	87	10.66%	93.63%
13.66% to 19.96%	33	4.04%	97.67%
19.96% to 26.27%	9	1.10%	98.77%
Greater than 26.27%	10	1.23%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.36%	9.45%	76.35%	68.27%
±2σ	-15.76%	17.86%	94.85%	95.45%
±3σ	-24.17%	26.27%	98.53%	99.73%

Descriptive Statistics

Mean	1.048%
Standard Error	0.294%
Median	0.428%
Mode	-2.593%
Standard Deviation	8.406%
Sample Variance	70.667%
Kurtosis	3.49
Skewness	0.90
Range	74.361%
Minimum	-26.798%
Maximum	47.563%
Count	816

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.797%	428	52.45%	3.565%
Negative	-5.307%	387	47.43%	-2.517%
Zero	0.000%	1	0.12%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	6.44%
12	1 Quarter	6.94%
52	1 Year	11.73%
156	3 Years	11.51%
260	5 Years	12.15%
520	10 Years	11.56%
1,040	20 Years	11.33%
2,600	50 Years	11.33%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.49. Further, an Excess Kurtosis of 10.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.02%	0	0.00%	0.00%
-10.02% to -4.51%	0	0.00%	0.00%
-4.51% to 1.01%	0	0.00%	0.00%
1.01% to 6.53%	147	17.99%	17.99%
6.53% to 12.05%	373	45.65%	63.65%
12.05% to 17.57%	166	20.32%	83.97%
17.57% to 23.08%	72	8.81%	92.78%
23.08% to 28.60%	28	3.43%	96.21%
28.60% to 34.12%	15	1.84%	98.04%
Greater than 34.12%	16	1.96%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.69%	19.40%	83.11%	68.27%
±2σ	-2.67%	26.76%	95.35%	95.45%
±3σ	-10.02%	34.12%	98.04%	99.73%

Descriptive Statistics

Mean	12.047%
Standard Error	0.257%
Median	10.215%
Mode	8.348%
Standard Deviation	7.357%
Sample Variance	54.125%
Kurtosis	10.67
Skewness	2.49
Range	71.228%
Minimum	2.204%
Maximum	73.432%
Count	817

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	12.047%	817	100.00%	12.047%
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 0.39. Further, an Excess Kurtosis of 3.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -24.02%	5	0.61%	0.61%
-24.02% to -18.06%	7	0.86%	1.47%
-18.06% to -12.10%	32	3.92%	5.39%
-12.10% to -6.13%	111	13.59%	18.97%
-6.13% to -0.17%	269	32.93%	51.90%
-0.17% to 5.80%	242	29.62%	81.52%
5.80% to 11.76%	103	12.61%	94.12%
11.76% to 17.73%	30	3.67%	97.80%
17.73% to 23.69%	11	1.35%	99.14%
Greater than 23.69%	7	0.86%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.12%	7.79%	75.40%	68.27%
±2σ	-16.07%	15.74%	94.37%	95.45%
±3σ	-24.03%	23.69%	98.53%	99.73%

Descriptive Statistics

Mean	-0.166%
Standard Error	0.278%
Median	-0.421%
Mode	-7.665%
Standard Deviation	7.953%
Sample Variance	63.256%
Kurtosis	3.01
Skewness	0.39
Range	77.548%
Minimum	-29.385%
Maximum	48.163%
Count	817

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.032%	383	46.88%	2.828%
Negative	-5.649%	433	53.00%	-2.994%
Zero	0.000%	1	0.12%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.17. Further, an Excess Kurtosis of 2.54 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -49.84%	0	0.00%	0.00%
-49.84% to -36.27%	1	0.53%	0.53%
-36.27% to -22.70%	3	1.60%	2.13%
-22.70% to -9.13%	36	19.15%	21.28%
-9.13% to 4.43%	68	36.17%	57.45%
4.43% to 18.00%	43	22.87%	80.32%
18.00% to 31.57%	23	12.23%	92.55%
31.57% to 45.14%	8	4.26%	96.81%
45.14% to 58.71%	3	1.60%	98.40%
Greater than 58.71%	3	1.60%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.66%	22.53%	75.53%	68.27%
±2σ	-31.75%	40.62%	94.68%	95.45%
±3σ	-49.84%	58.71%	98.40%	99.73%

Descriptive Statistics

Mean	4.435%
Standard Error	1.319%
Median	1.135%
Mode	-36.733%
Standard Deviation	18.091%
Sample Variance	327.287%
Kurtosis	2.54
Skewness	1.17
Range	117.804%
Minimum	-36.733%
Maximum	81.071%
Count	188

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	16.704%	100	53.19%	8.885%
Negative	-9.506%	88	46.81%	-4.450%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	13.06%
12	1 Year	22.05%
36	3 Years	24.64%
60	5 Years	26.09%
120	10 Years	26.20%
240	20 Years	25.46%
600	50 Years	25.46%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.40. Further, an Excess Kurtosis of 8.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -25.00%	0	0.00%	0.00%
-25.00% to -11.39%	0	0.00%	0.00%
-11.39% to 2.23%	0	0.00%	0.00%
2.23% to 15.84%	36	19.05%	19.05%
15.84% to 29.45%	88	46.56%	65.61%
29.45% to 43.06%	39	20.63%	86.24%
43.06% to 56.67%	15	7.94%	94.18%
56.67% to 70.29%	2	1.06%	95.24%
70.29% to 83.90%	6	3.17%	98.41%
Greater than 83.90%	3	1.59%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.30%	47.60%	86.24%	68.27%
±2σ	-6.85%	65.75%	94.71%	95.45%
±3σ	-25.00%	83.90%	98.41%	99.73%

Descriptive Statistics

Mean	29.450%
Standard Error	1.320%
Median	25.546%
Mode	22.705%
Standard Deviation	18.150%
Sample Variance	329.410%
Kurtosis	8.19
Skewness	2.40
Range	121.106%
Minimum	9.124%
Maximum	130.230%
Count	189

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	29.450%	189	100.00%	29.450%
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 0.22. Further, an Excess Kurtosis of 0.90 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -48.49%	0	0.00%	0.00%
-48.49% to -36.69%	3	1.59%	1.59%
-36.69% to -24.90%	8	4.23%	5.82%
-24.90% to -13.11%	31	16.40%	22.22%
-13.11% to -1.32%	51	26.98%	49.21%
-1.32% to 10.47%	57	30.16%	79.37%
10.47% to 22.26%	28	14.81%	94.18%
22.26% to 34.05%	8	4.23%	98.41%
34.05% to 45.85%	2	1.06%	99.47%
Greater than 45.85%	1	0.53%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.04%	14.40%	73.54%	68.27%
±2σ	-32.76%	30.12%	94.71%	95.45%
±3σ	-48.49%	45.85%	99.47%	99.73%

Descriptive Statistics

Mean	-1.320%
Standard Error	1.144%
Median	-0.622%
Mode	-42.727%
Standard Deviation	15.722%
Sample Variance	247.183%
Kurtosis	0.90
Skewness	0.22
Range	102.721%
Minimum	-42.727%
Maximum	59.994%
Count	189

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	11.635%	88	46.56%	5.417%
Negative	-12.606%	101	53.44%	-6.737%
Zero	0.000%	0	0.00%	0.000%

Close-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 4.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -87.30%	0	0.00%	0.00%
-87.30% to -62.11%	0	0.00%	0.00%
-62.11% to -36.92%	0	0.00%	0.00%
-36.92% to -11.73%	11	17.46%	17.46%
-11.73% to 13.47%	30	47.62%	65.08%
13.47% to 38.66%	13	20.63%	85.71%
38.66% to 63.85%	5	7.94%	93.65%
63.85% to 89.04%	1	1.59%	95.24%
89.04% to 114.23%	2	3.17%	98.41%
Greater than 114.23%	1	1.59%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.12%	47.05%	77.78%	68.27%
±2σ	-53.71%	80.64%	93.65%	95.45%
±3σ	-87.30%	114.23%	98.41%	99.73%

Descriptive Statistics

Mean	13.466%
Standard Error	4.232%
Median	6.871%
Mode	-30.262%
Standard Deviation	33.589%
Sample Variance	1128.245%
Kurtosis	4.39
Skewness	1.87
Range	178.975%
Minimum	-30.262%
Maximum	148.713%
Count	63

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	28.550%	40	63.49%	18.127%
Negative	-12.768%	23	36.51%	-4.661%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	32.01%
12	3 Years	47.38%
20	5 Years	45.95%
40	10 Years	49.23%
80	20 Years	46.94%
200	50 Years	46.94%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.74. Further, an Excess Kurtosis of 2.87 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -48.21%	0	0.00%	0.00%
-48.21% to -21.80%	0	0.00%	0.00%
-21.80% to 4.60%	0	0.00%	0.00%
4.60% to 31.01%	11	17.19%	17.19%
31.01% to 57.41%	31	48.44%	65.62%
57.41% to 83.82%	10	15.62%	81.25%
83.82% to 110.23%	6	9.38%	90.62%
110.23% to 136.63%	3	4.69%	95.31%
136.63% to 163.04%	2	3.12%	98.44%
Greater than 163.04%	1	1.56%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	22.21%	92.62%	85.94%	68.27%
±2σ	-13.00%	127.83%	92.19%	95.45%
±3σ	-48.21%	163.04%	98.44%	99.73%

Descriptive Statistics

Mean	57.415%
Standard Error	4.401%
Median	47.064%
Mode	12.598%
Standard Deviation	35.207%
Sample Variance	1239.517%
Kurtosis	2.87
Skewness	1.74
Range	163.853%
Minimum	12.598%
Maximum	176.451%
Count	64

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	57.415%	64	100.00%	57.415%
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 -0.21. Further, an Excess Kurtosis of 0.00 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -70.51%	0	0.00%	0.00%
-70.51% to -54.29%	1	1.56%	1.56%
-54.29% to -38.07%	4	6.25%	7.81%
-38.07% to -21.84%	7	10.94%	18.75%
-21.84% to -5.62%	20	31.25%	50.00%
-5.62% to 10.60%	20	31.25%	81.25%
10.60% to 26.82%	6	9.38%	90.62%
26.82% to 43.04%	6	9.38%	100.00%
43.04% to 59.26%	0	0.00%	100.00%
Greater than 59.26%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.25%	16.00%	68.75%	68.27%
±2σ	-48.88%	37.63%	95.31%	95.45%
±3σ	-70.51%	59.26%	100.00%	99.73%

Descriptive Statistics

Mean	-5.625%
Standard Error	2.703%
Median	-5.425%
Mode	-58.304%
Standard Deviation	21.627%
Sample Variance	467.713%
Kurtosis	0.00
Skewness	-0.21
Range	95.347%
Minimum	-58.304%
Maximum	37.043%
Count	64

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	16.704%	22	34.38%	5.742%
Negative	-17.321%	42	65.62%	-11.367%
Zero	0.000%	0	0.00%	0.000%

TSLA Deep Analytical Report