UPST - 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	7.31%	5.09%	5.72%	8.91%	4.73%	4.80%	27.94	30.71	26.64	32.20
Weekly	18.45%	18.31%	15.48%	22.45%	10.42%	10.56%	26.39	32.51	23.78	36.08
Monthly	34.98%	48.94%	31.88%	49.27%	21.70%	21.99%	23.58	36.39	18.98	45.20
Quarterly	102.86%	113.42%	79.86%	102.23%	37.58%	38.09%	20.11	42.65	13.81	62.11
Annual	—	—	—	—	75.16%	76.17%	13.81	62.11	6.51	131.70
Option Time Horizon	—	—	—	—	28.91%	29.30%	21.94	39.11	16.43	52.22

Calculation Notes: Computed at 2026-02-22T14:23 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $29.29 | Strike (K): $30.00 (first OTM call ≥ spot) | Observed Mid-Price: $3.1400 (Bid $2.9300 / Ask $3.3500) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 75.16% (CRR binomial tree, American, n=20 steps) | BS IV: 75.34% (European Black-Scholes) | Yahoo IV (Annual): 76.17% → 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 Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.77. Further, an Excess Kurtosis of 22.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -21.67%	4	0.31%	0.31%
-21.67% to -16.19%	6	0.46%	0.77%
-16.19% to -10.71%	26	2.00%	2.77%
-10.71% to -5.23%	181	13.93%	16.71%
-5.23% to 0.26%	478	36.80%	53.50%
0.26% to 5.74%	407	31.33%	84.83%
5.74% to 11.22%	137	10.55%	95.38%
11.22% to 16.70%	34	2.62%	98.00%
16.70% to 22.19%	12	0.92%	98.92%
Greater than 22.19%	14	1.08%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.05%	7.57%	79.98%	68.27%
±2σ	-14.36%	14.88%	96.30%	95.45%
±3σ	-21.67%	22.19%	98.61%	99.73%

Descriptive Statistics

Mean	0.257%
Standard Error	0.203%
Median	-0.254%
Mode	-0.998%
Standard Deviation	7.310%
Sample Variance	53.430%
Kurtosis	22.98
Skewness	1.77
Range	145.748%
Minimum	-56.424%
Maximum	89.324%
Count	1299

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.356%	620	47.73%	2.556%
Negative	-4.418%	676	52.04%	-2.299%
Zero	0.000%	3	0.23%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	5.80%
20	1 Month	6.80%
60	1 Quarter	5.83%
250	1 Year	6.77%
750	3 Years	7.68%
1,250	5 Years	8.91%
2,500	10 Years	9.12%
5,000	20 Years	9.12%
12,500	50 Years	9.12%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.36. Further, an Excess Kurtosis of 9.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -6.43%	0	0.00%	0.00%
-6.43% to -2.60%	0	0.00%	0.00%
-2.60% to 1.22%	0	0.00%	0.00%
1.22% to 5.04%	258	19.85%	19.85%
5.04% to 8.86%	550	42.31%	62.15%
8.86% to 12.68%	295	22.69%	84.85%
12.68% to 16.50%	109	8.38%	93.23%
16.50% to 20.32%	33	2.54%	95.77%
20.32% to 24.14%	30	2.31%	98.08%
Greater than 24.14%	25	1.92%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.76%	13.95%	82.38%	68.27%
±2σ	-1.33%	19.05%	95.15%	95.45%
±3σ	-6.43%	24.14%	98.08%	99.73%

Descriptive Statistics

Mean	8.859%
Standard Error	0.141%
Median	7.595%
Mode	3.450%
Standard Deviation	5.095%
Sample Variance	25.964%
Kurtosis	9.42
Skewness	2.36
Range	50.053%
Minimum	2.155%
Maximum	52.208%
Count	1300

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.859%	1300	100.00%	8.859%
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 0.02. Further, an Excess Kurtosis of 2.62 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -17.08%	8	0.62%	0.62%
-17.08% to -12.79%	18	1.38%	2.00%
-12.79% to -8.50%	53	4.08%	6.08%
-8.50% to -4.22%	174	13.38%	19.46%
-4.22% to 0.07%	378	29.08%	48.54%
0.07% to 4.36%	438	33.69%	82.23%
4.36% to 8.65%	156	12.00%	94.23%
8.65% to 12.93%	53	4.08%	98.31%
12.93% to 17.22%	16	1.23%	99.54%
Greater than 17.22%	6	0.46%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.65%	5.79%	74.00%	68.27%
±2σ	-11.36%	11.50%	94.62%	95.45%
±3σ	-17.08%	17.22%	98.92%	99.73%

Descriptive Statistics

Mean	0.071%
Standard Error	0.159%
Median	0.216%
Mode	0.000%
Standard Deviation	5.717%
Sample Variance	32.688%
Kurtosis	2.62
Skewness	0.02
Range	62.435%
Minimum	-27.413%
Maximum	35.022%
Count	1300

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.156%	671	51.62%	2.145%
Negative	-4.313%	625	48.08%	-2.074%
Zero	0.000%	4	0.31%	0.000%

Close-to-Close 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 21.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -54.05%	0	0.00%	0.00%
-54.05% to -40.21%	1	0.37%	0.37%
-40.21% to -26.37%	6	2.22%	2.59%
-26.37% to -12.53%	42	15.56%	18.15%
-12.53% to 1.31%	94	34.81%	52.96%
1.31% to 15.15%	89	32.96%	85.93%
15.15% to 28.99%	24	8.89%	94.81%
28.99% to 42.83%	9	3.33%	98.15%
42.83% to 56.67%	3	1.11%	99.26%
Greater than 56.67%	2	0.74%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.14%	19.76%	76.67%	68.27%
±2σ	-35.60%	38.21%	97.04%	95.45%
±3σ	-54.05%	56.67%	99.26%	99.73%

Descriptive Statistics

Mean	1.309%
Standard Error	1.123%
Median	0.233%
Mode	-2.830%
Standard Deviation	18.453%
Sample Variance	340.502%
Kurtosis	21.06
Skewness	2.74
Range	212.995%
Minimum	-51.005%
Maximum	161.990%
Count	270

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	13.442%	137	50.74%	6.821%
Negative	-11.189%	133	49.26%	-5.512%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	18.23%
12	1 Quarter	13.60%
52	1 Year	15.87%
156	3 Years	19.26%
260	5 Years	22.45%
520	10 Years	22.67%
1,040	20 Years	22.67%
2,600	50 Years	22.67%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.36. Further, an Excess Kurtosis of 34.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -29.58%	0	0.00%	0.00%
-29.58% to -15.85%	0	0.00%	0.00%
-15.85% to -2.11%	0	0.00%	0.00%
-2.11% to 11.62%	32	11.81%	11.81%
11.62% to 25.36%	141	52.03%	63.84%
25.36% to 39.09%	55	20.30%	84.13%
39.09% to 52.83%	26	9.59%	93.73%
52.83% to 66.56%	13	4.80%	98.52%
66.56% to 80.29%	2	0.74%	99.26%
Greater than 80.29%	2	0.74%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.04%	43.67%	88.56%	68.27%
±2σ	-11.27%	61.98%	97.79%	95.45%
±3σ	-29.58%	80.29%	99.26%	99.73%

Descriptive Statistics

Mean	25.357%
Standard Error	1.112%
Median	19.503%
Mode	18.118%
Standard Deviation	18.312%
Sample Variance	335.344%
Kurtosis	34.73
Skewness	4.36
Range	197.491%
Minimum	6.472%
Maximum	203.963%
Count	271

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	25.357%	271	100.00%	25.357%
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 0.05. Further, an Excess Kurtosis of 0.98 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -45.62%	1	0.37%	0.37%
-45.62% to -34.01%	3	1.11%	1.48%
-34.01% to -22.41%	10	3.69%	5.17%
-22.41% to -10.80%	37	13.65%	18.82%
-10.80% to 0.81%	95	35.06%	53.87%
0.81% to 12.42%	73	26.94%	80.81%
12.42% to 24.03%	31	11.44%	92.25%
24.03% to 35.64%	15	5.54%	97.79%
35.64% to 47.24%	6	2.21%	100.00%
Greater than 47.24%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.67%	16.29%	72.69%	68.27%
±2σ	-30.14%	31.77%	94.46%	95.45%
±3σ	-45.62%	47.24%	99.63%	99.73%

Descriptive Statistics

Mean	0.811%
Standard Error	0.940%
Median	0.040%
Mode	-62.231%
Standard Deviation	15.478%
Sample Variance	239.564%
Kurtosis	0.98
Skewness	0.05
Range	105.628%
Minimum	-62.231%
Maximum	43.397%
Count	271

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	12.490%	136	50.19%	6.268%
Negative	-10.954%	135	49.81%	-5.457%
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 1.08. Further, an Excess Kurtosis of 0.71 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -100.39%	0	0.00%	0.00%
-100.39% to -74.15%	0	0.00%	0.00%
-74.15% to -47.91%	1	1.61%	1.61%
-47.91% to -21.68%	14	22.58%	24.19%
-21.68% to 4.56%	24	38.71%	62.90%
4.56% to 30.80%	9	14.52%	77.42%
30.80% to 57.03%	9	14.52%	91.94%
57.03% to 83.27%	1	1.61%	93.55%
83.27% to 109.51%	4	6.45%	100.00%
Greater than 109.51%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.42%	39.54%	69.35%	68.27%
±2σ	-65.41%	74.52%	93.55%	95.45%
±3σ	-100.39%	109.51%	100.00%	99.73%

Descriptive Statistics

Mean	4.559%
Standard Error	4.443%
Median	-3.943%
Mode	-53.166%
Standard Deviation	34.983%
Sample Variance	1223.800%
Kurtosis	0.71
Skewness	1.08
Range	149.479%
Minimum	-53.166%
Maximum	96.313%
Count	62

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	35.304%	27	43.55%	15.374%
Negative	-19.158%	35	56.45%	-10.815%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	26.87%
12	1 Year	32.06%
36	3 Years	43.91%
60	5 Years	49.27%
120	10 Years	50.21%
240	20 Years	50.21%
600	50 Years	50.21%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.82. Further, an Excess Kurtosis of 10.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -78.38%	0	0.00%	0.00%
-78.38% to -41.67%	0	0.00%	0.00%
-41.67% to -4.97%	0	0.00%	0.00%
-4.97% to 31.74%	9	14.29%	14.29%
31.74% to 68.45%	33	52.38%	66.67%
68.45% to 105.15%	13	20.63%	87.30%
105.15% to 141.86%	4	6.35%	93.65%
141.86% to 178.56%	2	3.17%	96.83%
178.56% to 215.27%	0	0.00%	96.83%
Greater than 215.27%	2	3.17%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	19.50%	117.39%	88.89%	68.27%
±2σ	-29.44%	166.33%	96.83%	95.45%
±3σ	-78.38%	215.27%	96.83%	99.73%

Descriptive Statistics

Mean	68.446%
Standard Error	6.166%
Median	58.417%
Mode	19.169%
Standard Deviation	48.941%
Sample Variance	2395.265%
Kurtosis	10.03
Skewness	2.82
Range	270.518%
Minimum	19.169%
Maximum	289.687%
Count	63

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	68.446%	63	100.00%	68.446%
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 0.51 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -90.82%	0	0.00%	0.00%
-90.82% to -66.92%	0	0.00%	0.00%
-66.92% to -43.01%	4	6.35%	6.35%
-43.01% to -19.10%	12	19.05%	25.40%
-19.10% to 4.81%	16	25.40%	50.79%
4.81% to 28.72%	18	28.57%	79.37%
28.72% to 52.62%	10	15.87%	95.24%
52.62% to 76.53%	2	3.17%	98.41%
76.53% to 100.44%	0	0.00%	98.41%
Greater than 100.44%	1	1.59%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.07%	36.69%	65.08%	68.27%
±2σ	-58.95%	68.56%	98.41%	95.45%
±3σ	-90.82%	100.44%	98.41%	99.73%

Descriptive Statistics

Mean	4.808%
Standard Error	4.016%
Median	4.399%
Mode	-49.192%
Standard Deviation	31.877%
Sample Variance	1016.165%
Kurtosis	0.51
Skewness	0.47
Range	157.958%
Minimum	-49.192%
Maximum	108.766%
Count	63

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	28.133%	34	53.97%	15.183%
Negative	-22.538%	29	46.03%	-10.375%
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 2.63. Further, an Excess Kurtosis of 8.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -286.55%	0	0.00%	0.00%
-286.55% to -209.40%	0	0.00%	0.00%
-209.40% to -132.25%	0	0.00%	0.00%
-132.25% to -55.11%	3	14.29%	14.29%
-55.11% to 22.04%	10	47.62%	61.90%
22.04% to 99.19%	6	28.57%	90.48%
99.19% to 176.33%	1	4.76%	95.24%
176.33% to 253.48%	0	0.00%	95.24%
253.48% to 330.62%	0	0.00%	95.24%
Greater than 330.62%	1	4.76%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-80.82%	124.90%	90.48%	68.27%
±2σ	-183.69%	227.76%	95.24%	95.45%
±3σ	-286.55%	330.62%	95.24%	99.73%

Descriptive Statistics

Mean	22.039%
Standard Error	22.446%
Median	-17.403%
Mode	-67.569%
Standard Deviation	102.862%
Sample Variance	10580.533%
Kurtosis	8.48
Skewness	2.63
Range	461.742%
Minimum	-67.569%
Maximum	394.173%
Count	21

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	98.177%	9	42.86%	42.076%
Negative	-35.065%	12	57.14%	-20.037%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	52.90%
12	3 Years	104.02%
20	5 Years	102.23%
40	10 Years	106.67%
80	20 Years	106.67%
200	50 Years	106.67%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.23. Further, an Excess Kurtosis of 1.19 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -169.45%	0	0.00%	0.00%
-169.45% to -84.38%	0	0.00%	0.00%
-84.38% to 0.68%	0	0.00%	0.00%
0.68% to 85.74%	4	18.18%	18.18%
85.74% to 170.80%	9	40.91%	59.09%
170.80% to 255.86%	5	22.73%	81.82%
255.86% to 340.93%	2	9.09%	90.91%
340.93% to 425.99%	1	4.55%	95.45%
425.99% to 511.05%	1	4.55%	100.00%
Greater than 511.05%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	57.39%	284.22%	72.73%	68.27%
±2σ	-56.03%	397.63%	95.45%	95.45%
±3σ	-169.45%	511.05%	100.00%	99.73%

Descriptive Statistics

Mean	170.802%
Standard Error	24.180%
Median	131.907%
Mode	42.994%
Standard Deviation	113.416%
Sample Variance	12863.281%
Kurtosis	1.19
Skewness	1.23
Range	434.718%
Minimum	42.994%
Maximum	477.712%
Count	22

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	170.802%	22	100.00%	170.802%
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 1.22. Further, an Excess Kurtosis of 0.94 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -217.54%	0	0.00%	0.00%
-217.54% to -157.65%	0	0.00%	0.00%
-157.65% to -97.76%	0	0.00%	0.00%
-97.76% to -37.87%	6	27.27%	27.27%
-37.87% to 22.02%	6	27.27%	54.55%
22.02% to 81.91%	7	31.82%	86.36%
81.91% to 141.81%	0	0.00%	86.36%
141.81% to 201.70%	3	13.64%	100.00%
201.70% to 261.59%	0	0.00%	100.00%
Greater than 261.59%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-57.83%	101.88%	72.73%	68.27%
±2σ	-137.69%	181.73%	90.91%	95.45%
±3σ	-217.54%	261.59%	100.00%	99.73%

Descriptive Statistics

Mean	22.023%
Standard Error	17.025%
Median	12.330%
Mode	-79.852%
Standard Deviation	79.855%
Sample Variance	6376.782%
Kurtosis	0.94
Skewness	1.22
Range	280.469%
Minimum	-79.852%
Maximum	200.617%
Count	22

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	73.772%	12	54.55%	40.239%
Negative	-40.077%	10	45.45%	-18.217%
Zero	0.000%	0	0.00%	0.000%

UPST Deep Analytical Report