Markets Data Volatility Heatmap Portfolio Calculator

W Deep Analytical Report

Wayfair Inc. | Category: Equity Large Cap | Last Updated: 2026-02-22 | Data Range: 2014-10-01 → 2026-02-01 (137 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 4.67% 3.53% 3.80% 6.60% 4.51% 4.45% 77.84 85.18 74.41 89.11
Weekly 10.50% 10.18% 10.26% 15.63% 9.92% 9.79% 73.74 89.92 66.77 99.30
Monthly 22.87% 27.02% 20.03% 33.37% 20.65% 20.38% 66.24 100.11 53.88 123.08
Quarterly 42.70% 75.66% 37.20% 65.32% 35.77% 35.29% 56.94 116.45 39.82 166.53
Annual — — — — 71.54% 70.58% 39.82 166.53 19.47 340.57
Option Time Horizon — — — — 23.39% 23.07% 64.45 102.88 51.01 129.99
Calculation Notes: Computed at 2026-02-22T14:23 UTC  |  Reference Contract: Call option expiring 2026-04-02 (39 days)  |  Spot Price (S): $81.43  |  Strike (K): $100.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $2.1900 (Bid $1.4400 / Ask $2.9400)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.00%  |  Binomial IV (Annual): 71.54% (CRR binomial tree, American, n=20 steps)  |  BS IV: 70.67% (European Black-Scholes)  |  Yahoo IV (Annual): 70.58% → period-scaled as σperiod = σannual·√h  |  Price bands: Upper = S·e+σ√h, Lower = S·e−σ√h
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.67. Further, an Excess Kurtosis of 9.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -13.88%210.73%0.73%
-13.88% to -10.38%150.52%1.26%
-10.38% to -6.87%1023.56%4.82%
-6.87% to -3.37%31511.01%15.83%
-3.37% to 0.14%99434.73%50.56%
0.14% to 3.64%96633.75%84.31%
3.64% to 7.14%30910.80%95.11%
7.14% to 10.65%863.00%98.11%
10.65% to 14.15%291.01%99.13%
Greater than 14.15%250.87%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.54%4.81% 79.21%68.27%
±2σ -9.21%9.48% 95.46%95.45%
±3σ -13.88%14.15% 98.39%99.73%
Descriptive Statistics
Mean0.135%
Standard Error0.087%
Median0.101%
Mode0.000%
Standard Deviation4.673%
Sample Variance21.836%
Kurtosis9.36
Skewness0.67
Range69.521%
Minimum-26.683%
Maximum42.838%
Count2862
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.216% 1469 51.33% 1.651%
Negative -3.133% 1385 48.39% -1.516%
Zero 0.000% 8 0.28% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 9.42%
20 1 Month 6.82%
60 1 Quarter 5.71%
250 1 Year 6.16%
750 3 Years 6.06%
1,250 5 Years 6.60%
2,500 10 Years 5.91%
5,000 20 Years 5.97%
12,500 50 Years 5.97%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.79. Further, an Excess Kurtosis of 13.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.81%00.00%0.00%
-4.81% to -2.16%00.00%0.00%
-2.16% to 0.48%00.00%0.00%
0.48% to 3.13%49617.32%17.32%
3.13% to 5.78%128044.71%62.03%
5.78% to 8.43%65122.74%84.77%
8.43% to 11.07%2538.84%93.61%
11.07% to 13.72%953.32%96.93%
13.72% to 16.37%341.19%98.11%
Greater than 16.37%541.89%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.25%9.31% 84.42%68.27%
±2σ -1.28%12.84% 96.09%95.45%
±3σ -4.81%16.37% 98.11%99.73%
Descriptive Statistics
Mean5.779%
Standard Error0.066%
Median4.955%
Mode3.090%
Standard Deviation3.530%
Sample Variance12.459%
Kurtosis13.92
Skewness2.79
Range39.639%
Minimum0.897%
Maximum40.536%
Count2863
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.779% 2863 100.00% 5.779%
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 0.30. Further, an Excess Kurtosis of 3.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.39%160.56%0.56%
-11.39% to -8.54%250.87%1.43%
-8.54% to -5.69%1073.74%5.17%
-5.69% to -2.84%39213.69%18.86%
-2.84% to 0.01%94032.83%51.69%
0.01% to 2.85%87830.67%82.36%
2.85% to 5.70%33511.70%94.06%
5.70% to 8.55%1123.91%97.97%
8.55% to 11.40%381.33%99.30%
Greater than 11.40%200.70%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.79%3.80% 76.14%68.27%
±2σ -7.59%7.60% 94.62%95.45%
±3σ -11.39%11.40% 98.74%99.73%
Descriptive Statistics
Mean0.005%
Standard Error0.071%
Median-0.143%
Mode-1.245%
Standard Deviation3.799%
Sample Variance14.433%
Kurtosis3.75
Skewness0.30
Range48.684%
Minimum-21.987%
Maximum26.697%
Count2863
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.867% 1383 48.31% 1.385%
Negative -2.677% 1476 51.55% -1.380%
Zero 0.000% 4 0.14% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.81. Further, an Excess Kurtosis of 4.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.80%10.17%0.17%
-30.80% to -22.93%40.67%0.84%
-22.93% to -15.06%284.71%5.56%
-15.06% to -7.19%8414.14%19.70%
-7.19% to 0.69%19031.99%51.68%
0.69% to 8.56%18430.98%82.66%
8.56% to 16.43%6611.11%93.77%
16.43% to 24.30%244.04%97.81%
24.30% to 32.17%81.35%99.16%
Greater than 32.17%50.84%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.81%11.18% 75.42%68.27%
±2σ -20.31%21.68% 95.45%95.45%
±3σ -30.80%32.17% 98.99%99.73%
Descriptive Statistics
Mean0.685%
Standard Error0.431%
Median0.249%
Mode-5.627%
Standard Deviation10.496%
Sample Variance110.161%
Kurtosis4.23
Skewness0.81
Range109.721%
Minimum-38.860%
Maximum70.861%
Count594
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.236% 303 51.01% 4.201%
Negative -7.178% 291 48.99% -3.517%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 16.81%
12 1 Quarter 12.56%
52 1 Year 14.73%
156 3 Years 14.44%
260 5 Years 15.63%
520 10 Years 14.09%
1,040 20 Years 14.27%
2,600 50 Years 14.27%
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 8.64 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.05%00.00%0.00%
-15.05% to -7.41%00.00%0.00%
-7.41% to 0.23%00.00%0.00%
0.23% to 7.86%9515.97%15.97%
7.86% to 15.50%28748.24%64.20%
15.50% to 23.13%13122.02%86.22%
23.13% to 30.77%355.88%92.10%
30.77% to 38.41%244.03%96.13%
38.41% to 46.04%132.18%98.32%
Greater than 46.04%101.68%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 5.32%25.68% 82.69%68.27%
±2σ -4.87%35.86% 95.63%95.45%
±3σ -15.05%46.04% 98.32%99.73%
Descriptive Statistics
Mean15.498%
Standard Error0.417%
Median12.621%
Mode7.932%
Standard Deviation10.182%
Sample Variance103.677%
Kurtosis8.64
Skewness2.40
Range80.511%
Minimum3.598%
Maximum84.109%
Count595
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.498% 595 100.00% 15.498%
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 0.73. Further, an Excess Kurtosis of 3.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.29%10.17%0.17%
-30.29% to -22.59%81.34%1.51%
-22.59% to -14.90%233.87%5.38%
-14.90% to -7.21%8113.61%18.99%
-7.21% to 0.49%21035.29%54.29%
0.49% to 8.18%16127.06%81.34%
8.18% to 15.87%7011.76%93.11%
15.87% to 23.56%264.37%97.48%
23.56% to 31.26%132.18%99.66%
Greater than 31.26%20.34%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.77%10.74% 74.45%68.27%
±2σ -20.03%21.00% 94.12%95.45%
±3σ -30.29%31.26% 99.50%99.73%
Descriptive Statistics
Mean0.486%
Standard Error0.420%
Median-0.417%
Mode-5.149%
Standard Deviation10.257%
Sample Variance105.196%
Kurtosis3.85
Skewness0.73
Range104.874%
Minimum-34.782%
Maximum70.092%
Count595
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.383% 288 48.40% 4.058%
Negative -6.922% 307 51.60% -3.572%
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 1.80. Further, an Excess Kurtosis of 7.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -65.56%00.00%0.00%
-65.56% to -48.41%00.00%0.00%
-48.41% to -31.25%32.21%2.21%
-31.25% to -14.09%2417.65%19.85%
-14.09% to 3.06%4936.03%55.88%
3.06% to 20.22%3727.21%83.09%
20.22% to 37.37%1511.03%94.12%
37.37% to 54.53%53.68%97.79%
54.53% to 71.68%10.74%98.53%
Greater than 71.68%21.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -19.81%25.93% 77.94%68.27%
±2σ -42.69%48.81% 97.06%95.45%
±3σ -65.56%71.68% 98.53%99.73%
Descriptive Statistics
Mean3.061%
Standard Error1.961%
Median-0.266%
Mode-38.247%
Standard Deviation22.874%
Sample Variance523.229%
Kurtosis7.38
Skewness1.80
Range170.358%
Minimum-38.247%
Maximum132.111%
Count136
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 19.995% 66 48.53% 9.703%
Negative -13.092% 69 50.73% -6.642%
Zero 0.000% 1 0.73% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 23.99%
12 1 Year 30.54%
36 3 Years 31.58%
60 5 Years 33.37%
120 10 Years 31.61%
240 20 Years 31.66%
600 50 Years 31.66%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.50. Further, an Excess Kurtosis of 16.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -42.61%00.00%0.00%
-42.61% to -22.34%00.00%0.00%
-22.34% to -2.08%00.00%0.00%
-2.08% to 18.19%1913.87%13.87%
18.19% to 38.45%7454.01%67.88%
38.45% to 58.72%2820.44%88.32%
58.72% to 78.98%107.30%95.62%
78.98% to 99.25%10.73%96.35%
99.25% to 119.51%32.19%98.54%
Greater than 119.51%21.46%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 11.43%65.47% 90.51%68.27%
±2σ -15.59%92.49% 95.62%95.45%
±3σ -42.61%119.51% 98.54%99.73%
Descriptive Statistics
Mean38.452%
Standard Error2.308%
Median33.809%
Mode10.652%
Standard Deviation27.020%
Sample Variance730.076%
Kurtosis16.93
Skewness3.50
Range188.380%
Minimum10.652%
Maximum199.032%
Count137
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 38.452% 137 100.00% 38.452%
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 0.36 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -58.96%10.73%0.73%
-58.96% to -43.94%10.73%1.46%
-43.94% to -28.91%42.92%4.38%
-28.91% to -13.89%2719.71%24.09%
-13.89% to 1.13%4029.20%53.28%
1.13% to 16.16%3626.28%79.56%
16.16% to 31.18%1611.68%91.24%
31.18% to 46.20%96.57%97.81%
46.20% to 61.22%32.19%100.00%
Greater than 61.22%00.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -18.90%21.16% 71.53%68.27%
±2σ -38.93%41.19% 94.89%95.45%
±3σ -58.96%61.22% 99.27%99.73%
Descriptive Statistics
Mean1.132%
Standard Error1.711%
Median-0.027%
Mode-59.884%
Standard Deviation20.030%
Sample Variance401.208%
Kurtosis0.36
Skewness0.22
Range116.566%
Minimum-59.884%
Maximum56.682%
Count137
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.098% 67 48.91% 8.362%
Negative -14.355% 69 50.37% -7.230%
Zero 0.000% 1 0.73% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.06. Further, an Excess Kurtosis of 0.86 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -118.25%00.00%0.00%
-118.25% to -86.23%00.00%0.00%
-86.23% to -54.20%00.00%0.00%
-54.20% to -22.18%1021.74%21.74%
-22.18% to 9.84%1736.96%58.70%
9.84% to 41.87%1021.74%80.43%
41.87% to 73.89%510.87%91.30%
73.89% to 105.91%12.17%93.48%
105.91% to 137.94%36.52%100.00%
Greater than 137.94%00.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -32.86%52.54% 69.57%68.27%
±2σ -75.55%95.24% 93.48%95.45%
±3σ -118.25%137.94% 100.00%99.73%
Descriptive Statistics
Mean9.842%
Standard Error6.296%
Median5.070%
Mode-50.654%
Standard Deviation42.698%
Sample Variance1823.149%
Kurtosis0.86
Skewness1.06
Range174.226%
Minimum-50.654%
Maximum123.572%
Count46
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 38.143% 25 54.35% 20.730%
Negative -23.849% 21 45.65% -10.888%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 63.08%
12 3 Years 65.84%
20 5 Years 65.32%
40 10 Years 59.86%
80 20 Years 58.91%
200 50 Years 58.91%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.37. Further, an Excess Kurtosis of 24.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -141.78%00.00%0.00%
-141.78% to -85.04%00.00%0.00%
-85.04% to -28.29%00.00%0.00%
-28.29% to 28.46%12.13%2.13%
28.46% to 85.20%3370.21%72.34%
85.20% to 141.95%817.02%89.36%
141.95% to 198.70%48.51%97.87%
198.70% to 255.44%00.00%97.87%
255.44% to 312.19%00.00%97.87%
Greater than 312.19%12.13%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 9.54%160.87% 93.62%68.27%
±2σ -66.12%236.53% 97.87%95.45%
±3σ -141.78%312.19% 97.87%99.73%
Descriptive Statistics
Mean85.203%
Standard Error11.036%
Median65.439%
Mode27.801%
Standard Deviation75.662%
Sample Variance5724.710%
Kurtosis24.28
Skewness4.37
Range493.397%
Minimum27.801%
Maximum521.198%
Count47
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 85.203% 47 100.00% 85.203%
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 0.60. Further, an Excess Kurtosis of -0.06 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -107.58%00.00%0.00%
-107.58% to -79.68%00.00%0.00%
-79.68% to -51.78%24.26%4.26%
-51.78% to -23.88%714.89%19.15%
-23.88% to 4.02%1940.43%59.57%
4.02% to 31.92%919.15%78.72%
31.92% to 59.82%714.89%93.62%
59.82% to 87.72%24.26%97.87%
87.72% to 115.62%12.13%100.00%
Greater than 115.62%00.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -33.18%41.22% 63.83%68.27%
±2σ -70.38%78.42% 95.74%95.45%
±3σ -107.57%115.62% 100.00%99.73%
Descriptive Statistics
Mean4.022%
Standard Error5.426%
Median-6.394%
Mode-55.554%
Standard Deviation37.199%
Sample Variance1383.800%
Kurtosis-0.06
Skewness0.60
Range159.011%
Minimum-55.554%
Maximum103.457%
Count47
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 37.436% 21 44.68% 16.727%
Negative -22.967% 26 55.32% -12.705%
Zero 0.000% 0 0.00% 0.000%