Markets Data Volatility Heatmap Portfolio Calculator

WFC Deep Analytical Report

Wells Fargo & Company | Category: Equity Mega Cap | Ann. Div Yield: 2.19% ($1.70) | Last Updated: 2026-03-24 | Data Range: 1972-06-01 → 2026-03-01 (646 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 2.10% 1.87% 1.77% 2.61% 2.40% 2.49% 76.46 80.22 74.65 82.17
Weekly 4.38% 4.68% 4.22% 6.20% 5.28% 5.48% 74.29 82.57 70.47 87.05
Monthly 8.18% 11.35% 8.27% 13.15% 11.00% 11.41% 70.16 87.43 62.85 97.59
Quarterly 12.97% 19.44% 13.49% 22.38% 19.05% 19.77% 64.73 94.76 53.51 114.64
Annual — — — — 38.10% 39.54% 53.51 114.64 36.55 167.81
Option Time Horizon — — — — 14.38% 14.92% 67.83 90.43 58.74 104.42
Calculation Notes: Computed at 2026-03-23T16:32 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $78.32  |  Strike (K): $80.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $3.8500 (Bid $3.7000 / Ask $4.0000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.19%  |  Binomial IV (Annual): 38.10% (CRR binomial tree, American, n=20 steps)  |  BS IV: 38.46% (European Black-Scholes)  |  Yahoo IV (Annual): 39.54% → 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
2026-02-06 $0.4500
2025-11-07 $0.4500
2025-08-08 $0.4500
2025-05-09 $0.4000
2025-02-07 $0.4000
2024-11-08 $0.4000
2024-08-09 $0.4000
2024-05-09 $0.3500
2024-02-01 $0.3500
2023-11-02 $0.3500
2023-08-03 $0.3500
2023-05-04 $0.3000
2023-02-02 $0.3000
2022-11-03 $0.3000
2022-08-04 $0.3000
2022-05-05 $0.2500
2022-02-03 $0.2500
2021-11-04 $0.2000
2021-08-05 $0.2000
2021-05-06 $0.1000
2021-02-04 $0.1000
2020-11-05 $0.1000
2020-08-06 $0.1000
2020-05-07 $0.5100
2020-02-06 $0.5100
2019-11-07 $0.5100
2019-08-08 $0.5100
2019-05-09 $0.4500
2019-01-31 $0.4500
2018-11-08 $0.4300
2018-08-09 $0.4300
2018-05-03 $0.3900
2018-02-01 $0.3900
2017-11-02 $0.3900
2017-08-02 $0.3900
2017-05-03 $0.3800
2017-02-01 $0.3800
2016-11-02 $0.3800
2016-08-03 $0.3800
2016-05-04 $0.3800
2016-02-03 $0.3750
2015-11-04 $0.3750
2015-08-05 $0.3750
2015-05-06 $0.3750
2015-02-04 $0.3500
2014-11-05 $0.3500
2014-08-06 $0.3500
2014-05-07 $0.3500
2014-02-05 $0.3000
2013-11-06 $0.3000
2013-08-07 $0.3000
2013-05-08 $0.3000
2013-01-30 $0.2500
2012-11-07 $0.2200
2012-08-08 $0.2200
2012-05-02 $0.2200
2012-03-22 $0.1000
2012-02-01 $0.1200
2011-11-02 $0.1200
2011-08-03 $0.1200
2011-05-04 $0.1200
2011-03-24 $0.0700
2011-02-02 $0.0500
2010-11-03 $0.0500
2010-08-04 $0.0500
2010-05-05 $0.0500
2010-02-03 $0.0500
2009-11-04 $0.0500
2009-08-05 $0.0500
2009-05-06 $0.0500
2009-02-04 $0.3400
2008-11-05 $0.3400
2008-08-06 $0.3400
2008-05-07 $0.3100
2008-02-06 $0.3100
2007-11-07 $0.3100
2007-08-08 $0.3100
2007-05-02 $0.2800
2007-01-31 $0.2800
2006-11-01 $0.2800
2006-08-02 $0.2800
2006-05-03 $0.2600
2006-02-01 $0.2600
2005-11-02 $0.2600
2005-08-03 $0.2600
2005-05-04 $0.2400
2005-02-02 $0.2400
2004-11-03 $0.2400
2004-08-04 $0.2400
2004-05-05 $0.2250
2004-02-04 $0.2250
2003-11-05 $0.2250
2003-08-06 $0.2250
2003-05-07 $0.1500
2003-02-05 $0.1500
2002-11-06 $0.1400
2002-08-07 $0.1400
2002-05-08 $0.1400
2002-01-30 $0.1300
2001-11-07 $0.1300
2001-08-08 $0.1300
2001-05-02 $0.1200
2001-01-31 $0.1200
2000-11-01 $0.1200
2000-08-02 $0.1100
2000-05-03 $0.1100
2000-02-02 $0.1100
1999-11-03 $0.1000
1999-08-04 $0.1000
1999-05-05 $0.1000
1999-02-03 $0.0925
1998-10-28 $0.0925
1998-08-05 $0.0925
1998-05-06 $0.0825
1998-02-04 $0.0825
1997-11-05 $0.0825
1997-08-06 $0.0750
1997-05-07 $0.0750
1997-02-05 $0.0750
1996-11-06 $0.0675
1996-08-07 $0.0675
1996-05-08 $0.0675
1996-01-31 $0.0600
1995-11-01 $0.0600
1995-08-02 $0.0600
1995-05-01 $0.0525
1995-01-30 $0.0525
1994-10-31 $0.0525
1994-08-01 $0.0462
1994-05-02 $0.0462
1994-01-31 $0.0462
1993-11-01 $0.0413
1993-08-02 $0.0413
1993-05-03 $0.0413
1993-02-01 $0.0362
1992-11-02 $0.0362
1992-08-03 $0.0362
1992-05-04 $0.0312
1992-02-03 $0.0312
1991-11-04 $0.0312
1991-08-05 $0.0288
1991-05-06 $0.0288
1991-01-28 $0.0288
1990-11-05 $0.0288
1990-08-06 $0.0256
1990-04-30 $0.0256
1990-01-29 $0.0256
1989-10-30 $0.0256
1989-07-31 $0.0231
1989-05-01 $0.0231
1989-01-30 $0.0231
1988-10-31 $0.0208
1988-08-01 $0.0208
1988-05-02 $0.0208
1988-02-01 $0.0187
1987-11-02 $0.0187
1987-08-03 $0.0187
1987-05-04 $0.0187
1987-02-02 $0.0187
1986-11-03 $0.0187
1986-08-04 $0.0187
1986-05-05 $0.0187
1986-02-03 $0.0187
1985-11-04 $0.0187
1985-08-05 $0.0187
1985-05-06 $0.0187
1985-01-28 $0.0187
1984-11-02 $0.0187
1984-08-06 $0.0187
1984-04-30 $0.0187
1984-01-30 $0.0187
1983-10-31 $0.0187
1983-08-01 $0.0187
1983-05-02 $0.0187
1983-01-31 $0.0187
1982-10-29 $0.0187
1982-08-02 $0.0171
1982-05-03 $0.0171
1982-02-01 $0.0171
1981-10-30 $0.0171
1981-08-03 $0.0171
1981-05-04 $0.0171
1981-02-02 $0.0154
1980-10-31 $0.0154
1980-07-28 $0.0154
1980-04-28 $0.0154
1980-01-28 $0.0138
1979-10-29 $0.0138
1979-07-30 $0.0138
1979-04-30 $0.0138
1979-01-29 $0.0121
1978-10-30 $0.0121
1978-07-31 $0.0121
1978-05-01 $0.0108
1978-01-30 $0.0108
1977-10-31 $0.0108
1977-08-01 $0.0100
1977-05-02 $0.0100
1977-01-31 $0.0100
1976-10-29 $0.0094
1976-08-02 $0.0094
1976-05-03 $0.0089
1976-02-02 $0.0089
1975-10-31 $0.0089
1975-07-28 $0.0089
1975-04-28 $0.0083
1975-02-03 $0.0083
1974-10-28 $0.0083
1974-07-29 $0.0083
1974-04-29 $0.0083
1974-01-28 $0.0083
1973-10-29 $0.0083
1973-07-30 $0.0083
1973-04-30 $0.0078
1973-01-29 $0.0078
1972-10-30 $0.0078
1972-07-31 $0.0078
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.09. Further, an Excess Kurtosis of 24.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.24%770.58%0.58%
-6.24% to -4.66%1110.84%1.42%
-4.66% to -3.08%3582.71%4.13%
-3.08% to -1.51%145010.97%15.10%
-1.51% to 0.07%513438.85%53.95%
0.07% to 1.65%408830.93%84.88%
1.65% to 3.23%145110.98%95.86%
3.23% to 4.80%3492.64%98.50%
4.80% to 6.38%980.74%99.24%
Greater than 6.38%1000.76%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.03%2.17% 80.68%68.27%
±2σ -4.14%4.28% 95.86%95.45%
±3σ -6.24%6.38% 98.66%99.73%
Descriptive Statistics
Mean0.070%
Standard Error0.018%
Median0.000%
Mode0.000%
Standard Deviation2.103%
Sample Variance4.422%
Kurtosis24.32
Skewness1.09
Range56.586%
Minimum-23.822%
Maximum32.764%
Count13216
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.516% 6210 46.99% 0.712%
Negative -1.450% 5852 44.28% -0.642%
Zero 0.000% 1154 8.73% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.19%
20 1 Month 3.28%
60 1 Quarter 2.88%
250 1 Year 2.62%
750 3 Years 2.42%
1,250 5 Years 2.61%
2,500 10 Years 2.52%
5,000 20 Years 2.78%
12,500 50 Years 2.50%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.52. Further, an Excess Kurtosis of 35.66 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.28%00.00%0.00%
-3.28% to -1.88%00.00%0.00%
-1.88% to -0.48%00.00%0.00%
-0.48% to 0.92%133210.08%10.08%
0.92% to 2.32%722454.66%64.73%
2.32% to 3.72%305323.10%87.83%
3.72% to 5.12%9176.94%94.77%
5.12% to 6.52%3352.53%97.31%
6.52% to 7.92%1601.21%98.52%
Greater than 7.92%1961.48%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.46%4.19% 90.34%68.27%
±2σ -1.41%6.05% 96.74%95.45%
±3σ -3.28%7.92% 98.52%99.73%
Descriptive Statistics
Mean2.321%
Standard Error0.016%
Median1.897%
Mode2.128%
Standard Deviation1.866%
Sample Variance3.481%
Kurtosis35.66
Skewness4.52
Range29.182%
Minimum0.216%
Maximum29.398%
Count13217
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.321% 13217 100.00% 2.321%
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 13.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.32%910.69%0.69%
-5.32% to -3.99%1070.81%1.50%
-3.99% to -2.66%3842.91%4.40%
-2.66% to -1.33%146711.10%15.50%
-1.33% to -0.00%400030.26%45.77%
-0.00% to 1.33%513038.81%84.58%
1.33% to 2.66%139010.52%95.10%
2.66% to 3.99%4213.19%98.28%
3.99% to 5.32%1230.93%99.21%
Greater than 5.32%1040.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.77%1.77% 79.25%68.27%
±2σ -3.55%3.54% 95.51%95.45%
±3σ -5.32%5.32% 98.53%99.73%
Descriptive Statistics
Mean-0.002%
Standard Error0.015%
Median0.000%
Mode0.000%
Standard Deviation1.773%
Sample Variance3.143%
Kurtosis13.11
Skewness0.33
Range38.597%
Minimum-17.276%
Maximum21.321%
Count13217
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.328% 5827 44.09% 0.585%
Negative -1.284% 6049 45.77% -0.588%
Zero 0.000% 1341 10.15% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.56. Further, an Excess Kurtosis of 9.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.81%220.78%0.78%
-12.81% to -9.53%270.96%1.75%
-9.53% to -6.24%842.99%4.74%
-6.24% to -2.96%31411.19%15.92%
-2.96% to 0.32%98535.09%51.02%
0.32% to 3.60%93533.31%84.32%
3.60% to 6.88%30610.90%95.23%
6.88% to 10.17%832.96%98.18%
10.17% to 13.45%281.00%99.18%
Greater than 13.45%230.82%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.06%4.70% 79.69%68.27%
±2σ -8.43%9.07% 95.37%95.45%
±3σ -12.81%13.45% 98.40%99.73%
Descriptive Statistics
Mean0.321%
Standard Error0.083%
Median0.190%
Mode0.000%
Standard Deviation4.376%
Sample Variance19.145%
Kurtosis9.48
Skewness0.56
Range69.526%
Minimum-30.013%
Maximum39.513%
Count2807
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.196% 1443 51.41% 1.643%
Negative -2.982% 1245 44.35% -1.323%
Zero 0.000% 119 4.24% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 8.46%
12 1 Quarter 6.99%
52 1 Year 6.13%
156 3 Years 5.72%
260 5 Years 6.20%
520 10 Years 5.92%
1,040 20 Years 6.37%
2,600 50 Years 5.77%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.43. Further, an Excess Kurtosis of 33.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.20%00.00%0.00%
-8.20% to -4.70%00.00%0.00%
-4.70% to -1.19%00.00%0.00%
-1.19% to 2.32%28810.26%10.26%
2.32% to 5.83%153254.56%64.81%
5.83% to 9.34%64623.01%87.82%
9.34% to 12.84%1906.77%94.59%
12.84% to 16.35%822.92%97.51%
16.35% to 19.86%230.82%98.33%
Greater than 19.86%471.67%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.15%10.50% 90.42%68.27%
±2σ -3.53%15.18% 96.83%95.45%
±3σ -8.20%19.86% 98.33%99.73%
Descriptive Statistics
Mean5.827%
Standard Error0.088%
Median4.687%
Mode5.556%
Standard Deviation4.677%
Sample Variance21.870%
Kurtosis33.82
Skewness4.43
Range70.272%
Minimum0.670%
Maximum70.942%
Count2808
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.827% 2808 100.00% 5.827%
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 0.66. Further, an Excess Kurtosis of 8.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.67%150.53%0.53%
-12.67% to -9.50%220.78%1.32%
-9.50% to -6.34%782.78%4.10%
-6.34% to -3.18%33211.82%15.92%
-3.18% to -0.01%94933.80%49.72%
-0.01% to 3.15%98034.90%84.62%
3.15% to 6.31%2779.86%94.48%
6.31% to 9.48%913.24%97.72%
9.48% to 12.64%371.32%99.04%
Greater than 12.64%270.96%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.23%4.20% 80.02%68.27%
±2σ -8.45%8.42% 95.26%95.45%
±3σ -12.67%12.64% 98.50%99.73%
Descriptive Statistics
Mean-0.014%
Standard Error0.080%
Median0.000%
Mode0.000%
Standard Deviation4.218%
Sample Variance17.793%
Kurtosis8.15
Skewness0.66
Range58.180%
Minimum-25.995%
Maximum32.185%
Count2808
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.085% 1290 45.94% 1.417%
Negative -2.880% 1396 49.72% -1.432%
Zero 0.000% 122 4.34% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.29. Further, an Excess Kurtosis of 3.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -23.23%30.47%0.47%
-23.23% to -17.09%40.62%1.09%
-17.09% to -10.96%243.72%4.81%
-10.96% to -4.83%8713.49%18.29%
-4.83% to 1.31%21032.56%50.85%
1.31% to 7.44%20431.63%82.48%
7.44% to 13.57%7611.78%94.26%
13.57% to 19.71%203.10%97.36%
19.71% to 25.84%121.86%99.22%
Greater than 25.84%50.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.87%9.49% 75.97%68.27%
±2σ -15.05%17.66% 94.88%95.45%
±3σ -23.23%25.84% 98.76%99.73%
Descriptive Statistics
Mean1.307%
Standard Error0.322%
Median1.156%
Mode0.000%
Standard Deviation8.178%
Sample Variance66.875%
Kurtosis3.33
Skewness0.29
Range77.682%
Minimum-35.889%
Maximum41.793%
Count645
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.266% 371 57.52% 3.604%
Negative -5.613% 264 40.93% -2.297%
Zero 0.000% 10 1.55% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 13.82%
12 1 Year 11.92%
36 3 Years 12.39%
60 5 Years 13.15%
120 10 Years 12.96%
240 20 Years 13.38%
600 50 Years 12.19%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.48. Further, an Excess Kurtosis of 44.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -20.75%00.00%0.00%
-20.75% to -12.23%00.00%0.00%
-12.23% to -3.72%00.00%0.00%
-3.72% to 4.79%487.43%7.43%
4.79% to 13.30%36456.35%63.78%
13.30% to 21.82%17026.32%90.09%
21.82% to 30.33%426.50%96.59%
30.33% to 38.84%81.24%97.83%
38.84% to 47.35%30.46%98.30%
Greater than 47.35%111.70%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.95%24.65% 93.19%68.27%
±2σ -9.40%36.00% 97.68%95.45%
±3σ -20.75%47.35% 98.30%99.73%
Descriptive Statistics
Mean13.303%
Standard Error0.447%
Median10.894%
Mode7.447%
Standard Deviation11.350%
Sample Variance128.832%
Kurtosis44.72
Skewness5.48
Range123.590%
Minimum2.948%
Maximum126.538%
Count646
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 13.303% 646 100.00% 13.303%
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 1.07. Further, an Excess Kurtosis of 6.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -25.16%20.31%0.31%
-25.16% to -18.96%71.08%1.39%
-18.96% to -12.76%203.10%4.49%
-12.76% to -6.56%8713.47%17.96%
-6.56% to -0.36%21933.90%51.86%
-0.36% to 5.84%20431.58%83.44%
5.84% to 12.04%7110.99%94.43%
12.04% to 18.24%223.41%97.83%
18.24% to 24.43%101.55%99.38%
Greater than 24.43%40.62%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.62%7.91% 76.63%68.27%
±2σ -16.89%16.17% 95.05%95.45%
±3σ -25.16%24.44% 99.07%99.73%
Descriptive Statistics
Mean-0.360%
Standard Error0.325%
Median-0.679%
Mode0.000%
Standard Deviation8.265%
Sample Variance68.317%
Kurtosis6.86
Skewness1.07
Range85.826%
Minimum-31.434%
Maximum54.392%
Count646
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.279% 278 43.03% 2.702%
Negative -5.651% 350 54.18% -3.062%
Zero 0.000% 18 2.79% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.28. Further, an Excess Kurtosis of 2.74 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -35.18%31.40%1.40%
-35.18% to -25.45%00.00%1.40%
-25.45% to -15.73%62.79%4.19%
-15.73% to -6.00%2913.49%17.67%
-6.00% to 3.73%7836.28%53.95%
3.73% to 13.46%5927.44%81.40%
13.46% to 23.19%2612.09%93.49%
23.19% to 32.92%94.19%97.67%
32.92% to 42.65%20.93%98.60%
Greater than 42.65%31.40%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.24%16.70% 74.88%68.27%
±2σ -22.21%29.68% 95.81%95.45%
±3σ -35.18%42.65% 97.21%99.73%
Descriptive Statistics
Mean3.732%
Standard Error0.885%
Median2.894%
Mode-4.752%
Standard Deviation12.972%
Sample Variance168.276%
Kurtosis2.74
Skewness0.28
Range95.198%
Minimum-43.951%
Maximum51.247%
Count215
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.687% 135 62.79% 6.710%
Negative -8.005% 80 37.21% -2.979%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 19.29%
12 3 Years 22.82%
20 5 Years 22.38%
40 10 Years 23.50%
80 20 Years 22.46%
200 50 Years 20.62%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.59. Further, an Excess Kurtosis of 29.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -34.23%00.00%0.00%
-34.23% to -19.64%00.00%0.00%
-19.64% to -5.06%00.00%0.00%
-5.06% to 9.52%177.87%7.87%
9.52% to 24.10%12658.33%66.20%
24.10% to 38.69%5023.15%89.35%
38.69% to 53.27%146.48%95.83%
53.27% to 67.85%41.85%97.69%
67.85% to 82.43%10.46%98.15%
Greater than 82.43%41.85%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.66%43.55% 92.13%68.27%
±2σ -14.78%62.99% 97.22%95.45%
±3σ -34.23%82.43% 98.15%99.73%
Descriptive Statistics
Mean24.104%
Standard Error1.323%
Median19.598%
Mode14.692%
Standard Deviation19.443%
Sample Variance378.027%
Kurtosis29.95
Skewness4.59
Range175.793%
Minimum5.874%
Maximum181.667%
Count216
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 24.104% 216 100.00% 24.104%
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 1.95. Further, an Excess Kurtosis of 9.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -41.81%00.00%0.00%
-41.81% to -31.69%10.46%0.46%
-31.69% to -21.58%41.85%2.31%
-21.58% to -11.46%3415.74%18.06%
-11.46% to -1.34%7735.65%53.70%
-1.34% to 8.77%6831.48%85.19%
8.77% to 18.89%2411.11%96.30%
18.89% to 29.01%41.85%98.15%
29.01% to 39.12%10.46%98.61%
Greater than 39.12%31.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -14.83%12.15% 80.09%68.27%
±2σ -28.32%25.63% 95.83%95.45%
±3σ -41.81%39.12% 98.61%99.73%
Descriptive Statistics
Mean-1.344%
Standard Error0.918%
Median-2.029%
Mode-15.166%
Standard Deviation13.489%
Sample Variance181.967%
Kurtosis9.63
Skewness1.95
Range113.838%
Minimum-33.097%
Maximum80.741%
Count216
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.941% 86 39.81% 3.958%
Negative -8.947% 128 59.26% -5.302%
Zero 0.000% 2 0.93% 0.000%