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	3.62%	2.66%	2.96%	4.91%	2.94%	2.97%	366.81	389.02	356.19	400.63
Weekly	8.39%	7.34%	7.94%	11.99%	6.47%	6.54%	354.09	403.00	331.90	429.94
Monthly	18.07%	18.14%	15.69%	25.88%	13.47%	13.62%	330.15	432.22	288.55	494.53
Quarterly	33.70%	35.07%	21.75%	46.23%	23.33%	23.59%	299.16	477.01	236.91	602.33
Annual	—	—	—	—	46.66%	47.19%	236.91	602.33	148.58	960.42
Option Time Horizon	—	—	—	—	17.61%	17.81%	316.76	450.50	265.61	537.24

Calculation Notes: Computed at 2026-03-23T16:30 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $377.76 | Strike (K): $380.00 (first OTM call ≥ spot) | Observed Mid-Price: $26.2500 (Bid $26.2000 / Ask $26.3000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 46.66% (CRR binomial tree, American, n=20 steps) | BS IV: 46.40% (European Black-Scholes) | Yahoo IV (Annual): 47.19% → 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 0.38. Further, an Excess Kurtosis of 4.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.67%	26	0.66%	0.66%
-10.67% to -7.95%	39	0.99%	1.64%
-7.95% to -5.23%	125	3.16%	4.80%
-5.23% to -2.52%	481	12.16%	16.97%
-2.52% to 0.20%	1381	34.92%	51.88%
0.20% to 2.92%	1250	31.61%	83.49%
2.92% to 5.64%	448	11.33%	94.82%
5.64% to 8.36%	124	3.14%	97.95%
8.36% to 11.07%	43	1.09%	99.04%
Greater than 11.07%	38	0.96%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.42%	3.83%	77.67%	68.27%
±2σ	-7.04%	7.45%	94.92%	95.45%
±3σ	-10.67%	11.07%	98.38%	99.73%

Descriptive Statistics

Mean	0.203%
Standard Error	0.058%
Median	0.116%
Mode	0.000%
Standard Deviation	3.624%
Sample Variance	13.136%
Kurtosis	4.93
Skewness	0.38
Range	45.458%
Minimum	-21.063%
Maximum	24.395%
Count	3955

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.644%	2040	51.58%	1.364%
Negative	-2.410%	1905	48.17%	-1.161%
Zero	0.000%	10	0.25%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	3.09%
20	1 Month	3.34%
60	1 Quarter	3.37%
250	1 Year	4.68%
750	3 Years	4.70%
1,250	5 Years	4.91%
2,500	10 Years	4.66%
5,000	20 Years	4.62%
12,500	50 Years	4.62%

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 24.06 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%	666	16.84%	16.84%
2.36% to 4.35%	1821	46.03%	62.87%
4.35% to 6.34%	896	22.65%	85.52%
6.34% to 8.34%	347	8.77%	94.29%
8.34% to 10.33%	101	2.55%	96.84%
10.33% to 12.32%	58	1.47%	98.31%
Greater than 12.32%	67	1.69%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.70%	7.01%	85.36%	68.27%
±2σ	-0.96%	9.67%	96.18%	95.45%
±3σ	-3.62%	12.32%	98.31%	99.73%

Descriptive Statistics

Mean	4.352%
Standard Error	0.042%
Median	3.749%
Mode	3.187%
Standard Deviation	2.657%
Sample Variance	7.057%
Kurtosis	24.06
Skewness	3.40
Range	41.683%
Minimum	0.848%
Maximum	42.531%
Count	3956

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.352%	3956	100.00%	4.352%
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 5.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -8.83%	22	0.56%	0.56%
-8.83% to -6.61%	37	0.94%	1.49%
-6.61% to -4.38%	138	3.49%	4.98%
-4.38% to -2.16%	549	13.88%	18.86%
-2.16% to 0.06%	1260	31.85%	50.71%
0.06% to 2.28%	1240	31.34%	82.05%
2.28% to 4.50%	481	12.16%	94.21%
4.50% to 6.72%	162	4.10%	98.31%
6.72% to 8.94%	44	1.11%	99.42%
Greater than 8.94%	23	0.58%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.90%	3.02%	75.40%	68.27%
±2σ	-5.86%	5.98%	95.15%	95.45%
±3σ	-8.83%	8.94%	98.86%	99.73%

Descriptive Statistics

Mean	0.057%
Standard Error	0.047%
Median	0.011%
Mode	0.000%
Standard Deviation	2.961%
Sample Variance	8.768%
Kurtosis	5.51
Skewness	0.33
Range	45.085%
Minimum	-20.469%
Maximum	24.616%
Count	3956

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.178%	1986	50.20%	1.093%
Negative	-2.089%	1963	49.62%	-1.037%
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 0.91. Further, an Excess Kurtosis of 3.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -24.15%	2	0.24%	0.24%
-24.15% to -17.85%	5	0.61%	0.85%
-17.85% to -11.56%	31	3.78%	4.63%
-11.56% to -5.26%	116	14.15%	18.78%
-5.26% to 1.03%	285	34.76%	53.54%
1.03% to 7.33%	242	29.51%	83.05%
7.33% to 13.62%	87	10.61%	93.66%
13.62% to 19.91%	32	3.90%	97.56%
19.91% to 26.21%	10	1.22%	98.78%
Greater than 26.21%	10	1.22%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.36%	9.42%	76.34%	68.27%
±2σ	-15.76%	17.82%	94.76%	95.45%
±3σ	-24.15%	26.21%	98.54%	99.73%

Descriptive Statistics

Mean	1.030%
Standard Error	0.293%
Median	0.417%
Mode	-2.593%
Standard Deviation	8.393%
Sample Variance	70.437%
Kurtosis	3.51
Skewness	0.91
Range	74.361%
Minimum	-26.798%
Maximum	47.563%
Count	820

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.783%	429	52.32%	3.549%
Negative	-5.296%	390	47.56%	-2.519%
Zero	0.000%	1	0.12%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	7.81%
12	1 Quarter	6.95%
52	1 Year	10.80%
156	3 Years	11.44%
260	5 Years	11.99%
520	10 Years	11.54%
1,040	20 Years	11.31%
2,600	50 Years	11.31%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.50. Further, an Excess Kurtosis of 10.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -10.00%	0	0.00%	0.00%
-10.00% to -4.49%	0	0.00%	0.00%
-4.49% to 1.02%	0	0.00%	0.00%
1.02% to 6.52%	146	17.78%	17.78%
6.52% to 12.03%	377	45.92%	63.70%
12.03% to 17.54%	167	20.34%	84.04%
17.54% to 23.05%	72	8.77%	92.81%
23.05% to 28.55%	28	3.41%	96.22%
28.55% to 34.06%	15	1.83%	98.05%
Greater than 34.06%	16	1.95%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.69%	19.37%	83.31%	68.27%
±2σ	-2.65%	26.72%	95.25%	95.45%
±3σ	-10.00%	34.06%	98.05%	99.73%

Descriptive Statistics

Mean	12.031%
Standard Error	0.256%
Median	10.198%
Mode	8.348%
Standard Deviation	7.343%
Sample Variance	53.914%
Kurtosis	10.73
Skewness	2.50
Range	71.228%
Minimum	2.204%
Maximum	73.432%
Count	821

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	12.031%	821	100.00%	12.031%
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 3.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -23.97%	5	0.61%	0.61%
-23.97% to -18.02%	8	0.97%	1.58%
-18.02% to -12.06%	32	3.90%	5.48%
-12.06% to -6.11%	110	13.40%	18.88%
-6.11% to -0.15%	272	33.13%	52.01%
-0.15% to 5.80%	242	29.48%	81.49%
5.80% to 11.76%	104	12.67%	94.15%
11.76% to 17.71%	30	3.65%	97.81%
17.71% to 23.67%	11	1.34%	99.15%
Greater than 23.67%	7	0.85%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.09%	7.79%	75.52%	68.27%
±2σ	-16.03%	15.73%	94.40%	95.45%
±3σ	-23.97%	23.67%	98.54%	99.73%

Descriptive Statistics

Mean	-0.153%
Standard Error	0.277%
Median	-0.421%
Mode	-7.665%
Standard Deviation	7.940%
Sample Variance	63.038%
Kurtosis	3.02
Skewness	0.39
Range	77.548%
Minimum	-29.385%
Maximum	48.163%
Count	821

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.032%	385	46.89%	2.829%
Negative	-5.627%	435	52.98%	-2.981%
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 1.18. Further, an Excess Kurtosis of 2.55 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -49.87%	0	0.00%	0.00%
-49.87% to -36.31%	1	0.53%	0.53%
-36.31% to -22.76%	3	1.59%	2.12%
-22.76% to -9.20%	36	19.05%	21.16%
-9.20% to 4.36%	69	36.51%	57.67%
4.36% to 17.91%	43	22.75%	80.42%
17.91% to 31.47%	23	12.17%	92.59%
31.47% to 45.02%	8	4.23%	96.83%
45.02% to 58.58%	3	1.59%	98.41%
Greater than 58.58%	3	1.59%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.72%	22.43%	75.66%	68.27%
±2σ	-31.79%	40.50%	94.71%	95.45%
±3σ	-49.87%	58.58%	98.41%	99.73%

Descriptive Statistics

Mean	4.355%
Standard Error	1.315%
Median	1.103%
Mode	-36.733%
Standard Deviation	18.074%
Sample Variance	326.668%
Kurtosis	2.55
Skewness	1.18
Range	117.804%
Minimum	-36.733%
Maximum	81.071%
Count	189

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	16.704%	100	52.91%	8.838%
Negative	-9.520%	89	47.09%	-4.483%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	11.48%
12	1 Year	20.75%
36	3 Years	24.42%
60	5 Years	25.88%
120	10 Years	26.06%
240	20 Years	25.39%
600	50 Years	25.39%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.41. Further, an Excess Kurtosis of 8.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -25.04%	0	0.00%	0.00%
-25.04% to -11.43%	0	0.00%	0.00%
-11.43% to 2.17%	0	0.00%	0.00%
2.17% to 15.77%	35	18.42%	18.42%
15.77% to 29.37%	90	47.37%	65.79%
29.37% to 42.97%	39	20.53%	86.32%
42.97% to 56.57%	15	7.89%	94.21%
56.57% to 70.17%	2	1.05%	95.26%
70.17% to 83.78%	5	2.63%	97.89%
Greater than 83.78%	4	2.11%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.23%	47.51%	86.32%	68.27%
±2σ	-6.90%	65.64%	94.74%	95.45%
±3σ	-25.04%	83.78%	97.89%	99.73%

Descriptive Statistics

Mean	29.370%
Standard Error	1.316%
Median	25.513%
Mode	22.705%
Standard Deviation	18.135%
Sample Variance	328.884%
Kurtosis	8.21
Skewness	2.41
Range	121.106%
Minimum	9.124%
Maximum	130.230%
Count	190

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	29.370%	190	100.00%	29.370%
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 0.90 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -48.35%	0	0.00%	0.00%
-48.35% to -36.58%	3	1.58%	1.58%
-36.58% to -24.81%	8	4.21%	5.79%
-24.81% to -13.04%	31	16.32%	22.11%
-13.04% to -1.27%	51	26.84%	48.95%
-1.27% to 10.50%	58	30.53%	79.47%
10.50% to 22.27%	28	14.74%	94.21%
22.27% to 34.04%	8	4.21%	98.42%
34.04% to 45.81%	2	1.05%	99.47%
Greater than 45.81%	1	0.53%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.96%	14.43%	73.16%	68.27%
±2σ	-32.66%	30.12%	94.74%	95.45%
±3σ	-48.35%	45.81%	99.47%	99.73%

Descriptive Statistics

Mean	-1.268%
Standard Error	1.139%
Median	-0.613%
Mode	-42.727%
Standard Deviation	15.694%
Sample Variance	246.288%
Kurtosis	0.90
Skewness	0.21
Range	102.721%
Minimum	-42.727%
Maximum	59.994%
Count	190

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	11.600%	89	46.84%	5.434%
Negative	-12.606%	101	53.16%	-6.701%
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 1.86. Further, an Excess Kurtosis of 4.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -87.80%	0	0.00%	0.00%
-87.80% to -62.52%	0	0.00%	0.00%
-62.52% to -37.25%	0	0.00%	0.00%
-37.25% to -11.97%	12	19.05%	19.05%
-11.97% to 13.30%	28	44.44%	63.49%
13.30% to 38.58%	14	22.22%	85.71%
38.58% to 63.86%	5	7.94%	93.65%
63.86% to 89.13%	1	1.59%	95.24%
89.13% to 114.41%	2	3.17%	98.41%
Greater than 114.41%	1	1.59%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.40%	47.01%	77.78%	68.27%
±2σ	-54.10%	80.71%	93.65%	95.45%
±3σ	-87.80%	114.41%	98.41%	99.73%

Descriptive Statistics

Mean	13.304%
Standard Error	4.246%
Median	6.871%
Mode	-30.262%
Standard Deviation	33.701%
Sample Variance	1135.740%
Kurtosis	4.34
Skewness	1.86
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	-13.211%	23	36.51%	-4.823%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	33.38%
12	3 Years	47.84%
20	5 Years	46.23%
40	10 Years	49.37%
80	20 Years	47.03%
200	50 Years	47.03%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.77. Further, an Excess Kurtosis of 2.92 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -47.70%	0	0.00%	0.00%
-47.70% to -21.39%	0	0.00%	0.00%
-21.39% to 4.92%	0	0.00%	0.00%
4.92% to 31.22%	11	17.19%	17.19%
31.22% to 57.53%	31	48.44%	65.62%
57.53% to 83.83%	10	15.62%	81.25%
83.83% to 110.14%	6	9.38%	90.62%
110.14% to 136.44%	3	4.69%	95.31%
136.44% to 162.75%	1	1.56%	96.88%
Greater than 162.75%	2	3.12%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	22.45%	92.60%	85.94%	68.27%
±2σ	-12.62%	127.67%	92.19%	95.45%
±3σ	-47.70%	162.75%	96.88%	99.73%

Descriptive Statistics

Mean	57.526%
Standard Error	4.384%
Median	47.064%
Mode	19.725%
Standard Deviation	35.074%
Sample Variance	1230.171%
Kurtosis	2.92
Skewness	1.77
Range	156.726%
Minimum	19.725%
Maximum	176.451%
Count	64

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	57.526%	64	100.00%	57.526%
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 -0.05 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -70.69%	0	0.00%	0.00%
-70.69% to -54.38%	1	1.56%	1.56%
-54.38% to -38.06%	4	6.25%	7.81%
-38.06% to -21.75%	7	10.94%	18.75%
-21.75% to -5.43%	20	31.25%	50.00%
-5.43% to 10.88%	19	29.69%	79.69%
10.88% to 27.19%	7	10.94%	90.62%
27.19% to 43.51%	6	9.38%	100.00%
43.51% to 59.82%	0	0.00%	100.00%
Greater than 59.82%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.19%	16.32%	68.75%	68.27%
±2σ	-48.94%	38.07%	95.31%	95.45%
±3σ	-70.69%	59.82%	100.00%	99.73%

Descriptive Statistics

Mean	-5.435%
Standard Error	2.719%
Median	-5.425%
Mode	-58.304%
Standard Deviation	21.751%
Sample Variance	473.104%
Kurtosis	-0.05
Skewness	-0.22
Range	95.347%
Minimum	-58.304%
Maximum	37.043%
Count	64

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.258%	22	34.38%	5.932%
Negative	-17.321%	42	65.62%	-11.367%
Zero	0.000%	0	0.00%	0.000%

TSLA Deep Analytical Report