Markets Data Volatility Heatmap Portfolio Calculator

WFC Deep Analytical Report

Wells Fargo & Company | Category: Equity Mega Cap | Ann. Div Yield: 1.94% ($1.70) | Last Updated: 2026-02-22 | Data Range: 1972-06-01 → 2026-02-01 (645 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% 1.98% 2.06% 86.96 90.47 85.26 92.28
Weekly 4.38% 4.68% 4.22% 6.16% 4.35% 4.53% 84.92 92.64 81.31 96.76
Monthly 8.17% 11.36% 8.26% 13.10% 9.05% 9.44% 81.02 97.11 74.01 106.31
Quarterly 12.93% 19.46% 13.45% 21.77% 15.68% 16.35% 75.83 103.76 64.82 121.38
Annual — — — — 31.36% 32.69% 64.82 121.38 47.37 166.09
Option Time Horizon — — — — 12.06% 12.57% 78.62 100.07 69.68 112.90
Calculation Notes: Computed at 2026-02-22T14:17 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $88.70  |  Strike (K): $90.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $3.8000 (Bid $3.7000 / Ask $3.9000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 1.94%  |  Binomial IV (Annual): 31.36% (CRR binomial tree, American, n=20 steps)  |  BS IV: 31.58% (European Black-Scholes)  |  Yahoo IV (Annual): 32.69% → 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 24.36 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%3572.71%4.13%
-3.08% to -1.51%144510.95%15.08%
-1.51% to 0.07%513138.89%53.97%
0.07% to 1.65%408030.92%84.89%
1.65% to 3.23%144710.97%95.85%
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% 80.78%68.27%
±2σ -4.14%4.28% 95.87%95.45%
±3σ -6.24%6.38% 98.66%99.73%
Descriptive Statistics
Mean0.071%
Standard Error0.018%
Median0.000%
Mode0.000%
Standard Deviation2.103%
Sample Variance4.422%
Kurtosis24.36
Skewness1.09
Range56.586%
Minimum-23.822%
Maximum32.764%
Count13195
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.516% 6202 47.00% 0.713%
Negative -1.450% 5839 44.25% -0.642%
Zero 0.000% 1154 8.75% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.46%
20 1 Month 2.99%
60 1 Quarter 2.40%
250 1 Year 2.63%
750 3 Years 2.44%
1,250 5 Years 2.61%
2,500 10 Years 2.50%
5,000 20 Years 2.77%
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 35.69 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%132410.03%10.03%
0.92% to 2.32%721754.69%64.72%
2.32% to 3.72%305123.12%87.84%
3.72% to 5.12%9166.94%94.79%
5.12% to 6.52%3322.52%97.30%
6.52% to 7.92%1601.21%98.51%
Greater than 7.92%1961.49%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.45%4.19% 90.36%68.27%
±2σ -1.41%6.05% 96.73%95.45%
±3σ -3.28%7.92% 98.51%99.73%
Descriptive Statistics
Mean2.319%
Standard Error0.016%
Median1.896%
Mode2.128%
Standard Deviation1.866%
Sample Variance3.483%
Kurtosis35.69
Skewness4.52
Range29.182%
Minimum0.216%
Maximum29.398%
Count13196
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.319% 13196 100.00% 2.319%
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 13.13 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%1050.80%1.49%
-3.99% to -2.66%3852.92%4.40%
-2.66% to -1.33%145211.00%15.41%
-1.33% to -0.00%400630.36%45.76%
-0.00% to 1.33%511938.79%84.56%
1.33% to 2.66%139210.55%95.10%
2.66% to 3.99%4193.18%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 -1.78%1.77% 79.24%68.27%
±2σ -3.55%3.54% 95.54%95.45%
±3σ -5.32%5.32% 98.52%99.73%
Descriptive Statistics
Mean-0.003%
Standard Error0.015%
Median0.000%
Mode0.000%
Standard Deviation1.773%
Sample Variance3.142%
Kurtosis13.13
Skewness0.33
Range38.597%
Minimum-17.276%
Maximum21.321%
Count13196
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.327% 5816 44.07% 0.585%
Negative -1.284% 6039 45.76% -0.588%
Zero 0.000% 1341 10.16% 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 9.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.80%220.78%0.78%
-12.80% to -9.52%270.96%1.75%
-9.52% to -6.24%843.00%4.74%
-6.24% to -2.96%31111.10%15.84%
-2.96% to 0.33%98635.18%51.02%
0.33% to 3.61%93433.32%84.34%
3.61% to 6.89%30510.88%95.22%
6.89% 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 -4.05%4.70% 79.74%68.27%
±2σ -8.43%9.08% 95.36%95.45%
±3σ -12.80%13.45% 98.39%99.73%
Descriptive Statistics
Mean0.325%
Standard Error0.083%
Median0.217%
Mode0.000%
Standard Deviation4.376%
Sample Variance19.148%
Kurtosis9.49
Skewness0.56
Range69.526%
Minimum-30.013%
Maximum39.513%
Count2803
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.195% 1443 51.48% 1.645%
Negative -2.980% 1241 44.27% -1.319%
Zero 0.000% 119 4.25% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 6.89%
12 1 Quarter 5.51%
52 1 Year 6.10%
156 3 Years 5.75%
260 5 Years 6.16%
520 10 Years 5.88%
1,040 20 Years 6.35%
2,600 50 Years 5.76%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.44. Further, an Excess Kurtosis of 33.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.21%00.00%0.00%
-8.21% to -4.70%00.00%0.00%
-4.70% to -1.20%00.00%0.00%
-1.20% to 2.31%28710.24%10.24%
2.31% to 5.82%153354.67%64.91%
5.82% to 9.33%64422.97%87.87%
9.33% to 12.84%1886.70%94.58%
12.84% to 16.35%822.92%97.50%
16.35% to 19.86%230.82%98.32%
Greater than 19.86%471.68%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.14%10.50% 90.41%68.27%
±2σ -3.54%15.18% 96.83%95.45%
±3σ -8.21%19.85% 98.32%99.73%
Descriptive Statistics
Mean5.821%
Standard Error0.088%
Median4.674%
Mode5.556%
Standard Deviation4.678%
Sample Variance21.883%
Kurtosis33.85
Skewness4.44
Range70.272%
Minimum0.670%
Maximum70.942%
Count2804
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.821% 2804 100.00% 5.821%
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 -12.68%150.53%0.53%
-12.68% to -9.51%220.78%1.32%
-9.51% to -6.35%782.78%4.10%
-6.35% to -3.18%33011.77%15.87%
-3.18% to -0.02%94833.81%49.68%
-0.02% to 3.15%98034.95%84.63%
3.15% to 6.31%2769.84%94.47%
6.31% to 9.47%913.25%97.72%
9.47% 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 -4.24%4.20% 80.03%68.27%
±2σ -8.46%8.42% 95.26%95.45%
±3σ -12.68%12.64% 98.50%99.73%
Descriptive Statistics
Mean-0.018%
Standard Error0.080%
Median0.000%
Mode0.000%
Standard Deviation4.219%
Sample Variance17.802%
Kurtosis8.15
Skewness0.66
Range58.180%
Minimum-25.995%
Maximum32.185%
Count2804
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.085% 1286 45.86% 1.415%
Negative -2.879% 1396 49.79% -1.433%
Zero 0.000% 122 4.35% 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 3.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -23.19%30.47%0.47%
-23.19% to -17.06%40.62%1.09%
-17.06% to -10.93%243.73%4.81%
-10.93% to -4.80%8613.35%18.17%
-4.80% to 1.33%21232.92%51.09%
1.33% to 7.46%20231.37%82.45%
7.46% to 13.58%7611.80%94.25%
13.58% to 19.71%203.11%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 -6.84%9.50% 75.93%68.27%
±2σ -15.01%17.67% 94.88%95.45%
±3σ -23.19%25.84% 98.76%99.73%
Descriptive Statistics
Mean1.327%
Standard Error0.322%
Median1.188%
Mode0.000%
Standard Deviation8.171%
Sample Variance66.773%
Kurtosis3.35
Skewness0.28
Range77.682%
Minimum-35.889%
Maximum41.793%
Count644
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.266% 371 57.61% 3.610%
Negative -5.591% 263 40.84% -2.283%
Zero 0.000% 10 1.55% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 12.04%
12 1 Year 11.86%
36 3 Years 12.61%
60 5 Years 13.10%
120 10 Years 12.88%
240 20 Years 13.32%
600 50 Years 12.18%
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 44.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -20.78%00.00%0.00%
-20.78% to -12.26%00.00%0.00%
-12.26% to -3.75%00.00%0.00%
-3.75% to 4.77%487.44%7.44%
4.77% to 13.29%36556.59%64.03%
13.29% to 21.81%16826.05%90.08%
21.81% to 30.33%426.51%96.59%
30.33% to 38.85%81.24%97.83%
38.85% to 47.37%30.47%98.29%
Greater than 47.37%111.71%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.93%24.65% 93.18%68.27%
±2σ -9.42%36.01% 97.67%95.45%
±3σ -20.78%47.37% 98.29%99.73%
Descriptive Statistics
Mean13.292%
Standard Error0.447%
Median10.850%
Mode7.447%
Standard Deviation11.358%
Sample Variance128.999%
Kurtosis44.70
Skewness5.48
Range123.590%
Minimum2.948%
Maximum126.538%
Count645
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 13.292% 645 100.00% 13.292%
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 1.08. Further, an Excess Kurtosis of 6.90 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%71.09%1.40%
-18.96% to -12.77%203.10%4.50%
-12.77% to -6.57%8713.49%17.98%
-6.57% to -0.38%21833.80%51.78%
-0.38% to 5.82%20431.63%83.41%
5.82% to 12.02%7010.85%94.26%
12.02% to 18.21%233.57%97.83%
18.21% to 24.41%101.55%99.38%
Greater than 24.41%40.62%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.64%7.89% 76.74%68.27%
±2σ -16.90%16.15% 95.04%95.45%
±3σ -25.16%24.41% 99.07%99.73%
Descriptive Statistics
Mean-0.375%
Standard Error0.325%
Median-0.683%
Mode0.000%
Standard Deviation8.261%
Sample Variance68.238%
Kurtosis6.90
Skewness1.08
Range85.826%
Minimum-31.434%
Maximum54.392%
Count645
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.266% 277 42.95% 2.691%
Negative -5.651% 350 54.26% -3.066%
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 2.80 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -35.00%31.40%1.40%
-35.00% to -25.31%00.00%1.40%
-25.31% to -15.61%62.79%4.19%
-15.61% to -5.91%2813.02%17.21%
-5.91% to 3.78%7936.74%53.95%
3.78% to 13.48%5927.44%81.40%
13.48% to 23.18%2612.09%93.49%
23.18% to 32.87%94.19%97.67%
32.87% to 42.57%20.93%98.60%
Greater than 42.57%31.40%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.14%16.71% 74.88%68.27%
±2σ -22.07%29.64% 95.81%95.45%
±3σ -35.00%42.57% 97.21%99.73%
Descriptive Statistics
Mean3.784%
Standard Error0.882%
Median2.894%
Mode-4.752%
Standard Deviation12.929%
Sample Variance167.148%
Kurtosis2.80
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 -7.865% 80 37.21% -2.926%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 16.22%
12 3 Years 21.80%
20 5 Years 21.77%
40 10 Years 23.19%
80 20 Years 22.31%
200 50 Years 20.56%
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 29.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -34.35%00.00%0.00%
-34.35% to -19.76%00.00%0.00%
-19.76% to -5.16%00.00%0.00%
-5.16% to 9.43%167.41%7.41%
9.43% to 24.03%12859.26%66.67%
24.03% to 38.62%4922.69%89.35%
38.62% to 53.22%146.48%95.83%
53.22% to 67.81%41.85%97.69%
67.81% to 82.40%10.46%98.15%
Greater than 82.40%41.85%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.57%43.49% 92.13%68.27%
±2σ -14.89%62.95% 97.22%95.45%
±3σ -34.35%82.40% 98.15%99.73%
Descriptive Statistics
Mean24.027%
Standard Error1.324%
Median19.476%
Mode14.692%
Standard Deviation19.459%
Sample Variance378.643%
Kurtosis29.92
Skewness4.59
Range175.793%
Minimum5.874%
Maximum181.667%
Count216
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 24.027% 216 100.00% 24.027%
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 1.97. Further, an Excess Kurtosis of 9.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -41.74%00.00%0.00%
-41.74% to -31.66%10.46%0.46%
-31.66% to -21.57%41.85%2.31%
-21.57% to -11.49%3415.74%18.06%
-11.49% to -1.40%7735.65%53.70%
-1.40% to 8.68%6630.56%84.26%
8.68% to 18.77%2612.04%96.30%
18.77% to 28.85%41.85%98.15%
28.85% to 38.94%10.46%98.61%
Greater than 38.94%31.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -14.85%12.04% 80.56%68.27%
±2σ -28.30%25.49% 95.83%95.45%
±3σ -41.74%38.94% 98.61%99.73%
Descriptive Statistics
Mean-1.404%
Standard Error0.915%
Median-2.029%
Mode-15.166%
Standard Deviation13.447%
Sample Variance180.820%
Kurtosis9.82
Skewness1.97
Range113.838%
Minimum-33.097%
Maximum80.741%
Count216
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.790% 86 39.81% 3.898%
Negative -8.947% 128 59.26% -5.302%
Zero 0.000% 2 0.93% 0.000%