Markets Data Volatility Heatmap Portfolio Calculator

XNCR Deep Analytical Report

Xencor, Inc. | Category: Equity Micro Cap | Last Updated: 2026-02-22 | Data Range: 2013-12-01 → 2026-02-01 (147 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 3.45% 3.07% 3.24% 4.82% 8.58% 8.70% 10.47 12.43 9.61 13.55
Weekly 7.67% 6.89% 7.48% 10.71% 18.88% 19.15% 9.45 13.78 7.82 16.65
Monthly 15.40% 14.05% 14.72% 22.85% 39.31% 39.86% 7.70 16.90 5.20 25.05
Quarterly 25.12% 27.54% 26.02% 40.42% 68.09% 69.04% 5.78 22.54 2.92 44.53
Annual — — — — 136.18% 138.09% 2.92 44.53 0.75 173.82
Option Time Horizon — — — — 64.15% 65.05% 6.01 21.67 3.16 41.16
Calculation Notes: Computed at 2026-02-23T14:08 UTC  |  Reference Contract: Call option expiring 2026-05-15 (81 days)  |  Spot Price (S): $11.41  |  Strike (K): $12.50 (first OTM call ≥ spot)  |  Observed Mid-Price: $2.5500 (Bid $0.1000 / Ask $5.0000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.00%  |  Binomial IV (Annual): 136.18% (CRR binomial tree, American, n=20 steps)  |  BS IV: 137.34% (European Black-Scholes)  |  Yahoo IV (Annual): 138.09% → 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 0.92. Further, an Excess Kurtosis of 11.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.27%140.46%0.46%
-10.27% to -7.69%290.94%1.40%
-7.69% to -5.10%1003.26%4.66%
-5.10% to -2.52%40713.25%17.91%
-2.52% to 0.07%105534.35%52.26%
0.07% to 2.65%95130.97%83.23%
2.65% to 5.24%34411.20%94.43%
5.24% to 7.83%1213.94%98.37%
7.83% to 10.41%300.98%99.35%
Greater than 10.41%200.65%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.38%3.52% 76.59%68.27%
±2σ -6.83%6.96% 95.44%95.45%
±3σ -10.27%10.41% 98.89%99.73%
Descriptive Statistics
Mean0.069%
Standard Error0.062%
Median-0.049%
Mode0.000%
Standard Deviation3.447%
Sample Variance11.882%
Kurtosis11.58
Skewness0.92
Range59.584%
Minimum-21.836%
Maximum37.748%
Count3071
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.554% 1492 48.58% 1.241%
Negative -2.316% 1554 50.60% -1.172%
Zero 0.000% 25 0.81% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 5.39%
20 1 Month 6.31%
60 1 Quarter 5.69%
250 1 Year 6.59%
750 3 Years 5.02%
1,250 5 Years 4.82%
2,500 10 Years 4.88%
5,000 20 Years 5.10%
12,500 50 Years 5.10%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.96. Further, an Excess Kurtosis of 33.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.05%00.00%0.00%
-4.05% to -1.75%00.00%0.00%
-1.75% to 0.55%00.00%0.00%
0.55% to 2.85%45314.75%14.75%
2.85% to 5.14%146647.72%62.47%
5.14% to 7.44%71923.40%85.87%
7.44% to 9.74%2608.46%94.34%
9.74% to 12.04%902.93%97.27%
12.04% to 14.34%371.20%98.47%
Greater than 14.34%471.53%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.08%8.21% 85.90%68.27%
±2σ -0.99%11.28% 96.81%95.45%
±3σ -4.05%14.34% 98.47%99.73%
Descriptive Statistics
Mean5.145%
Standard Error0.055%
Median4.457%
Mode3.450%
Standard Deviation3.066%
Sample Variance9.403%
Kurtosis33.29
Skewness3.96
Range46.933%
Minimum0.716%
Maximum47.649%
Count3072
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.145% 3072 100.00% 5.145%
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 -0.07. Further, an Excess Kurtosis of 7.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.59%160.52%0.52%
-9.59% to -7.16%280.91%1.43%
-7.16% to -4.73%1153.74%5.18%
-4.73% to -2.30%38712.60%17.77%
-2.30% to 0.13%99532.39%50.16%
0.13% to 2.56%98532.06%82.23%
2.56% to 5.00%39112.73%94.95%
5.00% to 7.43%1063.45%98.40%
7.43% to 9.86%280.91%99.32%
Greater than 9.86%210.68%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.11%3.38% 75.91%68.27%
±2σ -6.35%6.62% 95.74%95.45%
±3σ -9.59%9.86% 98.80%99.73%
Descriptive Statistics
Mean0.133%
Standard Error0.058%
Median0.123%
Mode0.000%
Standard Deviation3.242%
Sample Variance10.511%
Kurtosis7.70
Skewness-0.07
Range53.834%
Minimum-28.657%
Maximum25.177%
Count3072
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.392% 1574 51.24% 1.226%
Negative -2.280% 1472 47.92% -1.093%
Zero 0.000% 26 0.85% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.04. Further, an Excess Kurtosis of 6.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -22.67%20.31%0.31%
-22.67% to -16.92%50.78%1.10%
-16.92% to -11.17%213.30%4.40%
-11.17% to -5.42%8112.72%17.11%
-5.42% to 0.34%23737.21%54.32%
0.34% to 6.09%18729.36%83.67%
6.09% to 11.84%6410.05%93.72%
11.84% to 17.59%274.24%97.96%
17.59% to 23.34%71.10%99.06%
Greater than 23.34%60.94%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.33%8.00% 77.86%68.27%
±2σ -15.00%15.67% 95.60%95.45%
±3σ -22.67%23.34% 98.74%99.73%
Descriptive Statistics
Mean0.335%
Standard Error0.304%
Median-0.271%
Mode-0.203%
Standard Deviation7.668%
Sample Variance58.795%
Kurtosis6.04
Skewness1.04
Range83.032%
Minimum-32.075%
Maximum50.957%
Count637
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.021% 306 48.04% 2.892%
Negative -4.936% 330 51.80% -2.557%
Zero 0.000% 1 0.16% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 11.71%
12 1 Quarter 11.39%
52 1 Year 14.73%
156 3 Years 11.45%
260 5 Years 10.71%
520 10 Years 10.96%
1,040 20 Years 11.38%
2,600 50 Years 11.38%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.68. Further, an Excess Kurtosis of 12.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.48%00.00%0.00%
-8.48% to -3.31%00.00%0.00%
-3.31% to 1.85%00.00%0.00%
1.85% to 7.02%11017.24%17.24%
7.02% to 12.18%28644.83%62.07%
12.18% to 17.35%13821.63%83.70%
17.35% to 22.51%6410.03%93.73%
22.51% to 27.68%213.29%97.02%
27.68% to 32.84%101.57%98.59%
Greater than 32.84%91.41%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 5.30%19.07% 82.13%68.27%
±2σ -1.59%25.96% 96.08%95.45%
±3σ -8.48%32.84% 98.59%99.73%
Descriptive Statistics
Mean12.182%
Standard Error0.273%
Median10.334%
Mode5.041%
Standard Deviation6.887%
Sample Variance47.436%
Kurtosis12.70
Skewness2.68
Range60.145%
Minimum3.421%
Maximum63.566%
Count638
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.182% 638 100.00% 12.182%
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 0.51. Further, an Excess Kurtosis of 4.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -22.14%40.63%0.63%
-22.14% to -16.54%71.10%1.72%
-16.54% to -10.93%264.08%5.80%
-10.93% to -5.32%8112.70%18.50%
-5.32% to 0.29%19831.03%49.53%
0.29% to 5.90%21333.39%82.92%
5.90% to 11.51%7511.76%94.67%
11.51% to 17.11%243.76%98.43%
17.11% to 22.72%71.10%99.53%
Greater than 22.72%30.47%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.19%7.77% 76.80%68.27%
±2σ -14.67%15.25% 95.14%95.45%
±3σ -22.14%22.72% 98.90%99.73%
Descriptive Statistics
Mean0.290%
Standard Error0.296%
Median0.416%
Mode-6.332%
Standard Deviation7.478%
Sample Variance55.922%
Kurtosis4.92
Skewness0.51
Range82.574%
Minimum-31.100%
Maximum51.474%
Count638
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.590% 328 51.41% 2.874%
Negative -5.335% 309 48.43% -2.584%
Zero 0.000% 1 0.16% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.70. Further, an Excess Kurtosis of 0.43 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -44.94%00.00%0.00%
-44.94% to -33.38%00.00%0.00%
-33.38% to -21.84%53.42%3.42%
-21.84% to -10.28%2919.86%23.29%
-10.28% to 1.27%4631.51%54.79%
1.27% to 12.82%3725.34%80.14%
12.82% to 24.37%1610.96%91.10%
24.37% to 35.92%96.16%97.26%
35.92% to 47.47%32.05%99.32%
Greater than 47.47%10.68%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -14.13%16.67% 72.60%68.27%
±2σ -29.54%32.07% 94.52%95.45%
±3σ -44.94%47.47% 99.32%99.73%
Descriptive Statistics
Mean1.267%
Standard Error1.275%
Median-1.144%
Mode-30.729%
Standard Deviation15.401%
Sample Variance237.201%
Kurtosis0.43
Skewness0.70
Range79.205%
Minimum-30.729%
Maximum48.476%
Count146
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 13.951% 69 47.26% 6.593%
Negative -10.099% 77 52.74% -5.326%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 20.80%
12 1 Year 32.49%
36 3 Years 24.73%
60 5 Years 22.85%
120 10 Years 23.23%
240 20 Years 24.13%
600 50 Years 24.13%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.84. Further, an Excess Kurtosis of 4.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -14.23%00.00%0.00%
-14.23% to -3.70%00.00%0.00%
-3.70% to 6.84%00.00%0.00%
6.84% to 17.38%2718.37%18.37%
17.38% to 27.91%6544.22%62.59%
27.91% to 38.45%3423.13%85.71%
38.45% to 48.98%96.12%91.84%
48.98% to 59.52%53.40%95.24%
59.52% to 70.06%32.04%97.28%
Greater than 70.06%42.72%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 13.86%41.96% 80.27%68.27%
±2σ -0.18%56.01% 94.56%95.45%
±3σ -14.23%70.06% 97.28%99.73%
Descriptive Statistics
Mean27.912%
Standard Error1.159%
Median25.274%
Mode8.725%
Standard Deviation14.048%
Sample Variance197.335%
Kurtosis4.30
Skewness1.84
Range80.840%
Minimum8.725%
Maximum89.565%
Count147
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 27.912% 147 100.00% 27.912%
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 0.01. Further, an Excess Kurtosis of -0.03 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -43.40%00.00%0.00%
-43.40% to -32.35%10.68%0.68%
-32.35% to -21.31%96.12%6.80%
-21.31% to -10.27%2114.29%21.09%
-10.27% to 0.78%4228.57%49.66%
0.78% to 11.82%3926.53%76.19%
11.82% to 22.86%2617.69%93.88%
22.86% to 33.91%64.08%97.96%
33.91% to 44.95%32.04%100.00%
Greater than 44.95%00.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -13.95%15.50% 69.39%68.27%
±2σ -28.67%30.23% 95.24%95.45%
±3σ -43.39%44.95% 100.00%99.73%
Descriptive Statistics
Mean0.777%
Standard Error1.214%
Median0.861%
Mode-2.944%
Standard Deviation14.724%
Sample Variance216.798%
Kurtosis-0.03
Skewness0.01
Range77.195%
Minimum-34.902%
Maximum42.293%
Count147
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.292% 75 51.02% 6.271%
Negative -11.217% 72 48.98% -5.494%
Zero 0.000% 0 0.00% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.59. Further, an Excess Kurtosis of 0.83 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -71.88%00.00%0.00%
-71.88% to -53.04%00.00%0.00%
-53.04% to -34.20%24.08%4.08%
-34.20% to -15.35%714.29%18.37%
-15.35% to 3.49%1836.73%55.10%
3.49% to 22.33%1326.53%81.63%
22.33% to 41.18%510.20%91.84%
41.18% to 60.02%36.12%97.96%
60.02% to 78.86%12.04%100.00%
Greater than 78.86%00.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -21.63%28.61% 75.51%68.27%
±2σ -46.76%53.74% 91.84%95.45%
±3σ -71.88%78.86% 100.00%99.73%
Descriptive Statistics
Mean3.491%
Standard Error3.589%
Median-0.092%
Mode-51.630%
Standard Deviation25.124%
Sample Variance631.204%
Kurtosis0.83
Skewness0.59
Range128.433%
Minimum-51.630%
Maximum76.803%
Count49
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 23.195% 24 48.98% 11.361%
Negative -15.424% 25 51.02% -7.869%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 52.82%
12 3 Years 44.31%
20 5 Years 40.42%
40 10 Years 40.86%
80 20 Years 43.22%
200 50 Years 43.22%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.66. Further, an Excess Kurtosis of 3.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -28.49%00.00%0.00%
-28.49% to -7.84%00.00%0.00%
-7.84% to 12.82%00.00%0.00%
12.82% to 33.48%816.00%16.00%
33.48% to 54.13%2346.00%62.00%
54.13% to 74.79%1122.00%84.00%
74.79% to 95.45%510.00%94.00%
95.45% to 116.10%00.00%94.00%
116.10% to 136.76%24.00%98.00%
Greater than 136.76%12.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 26.59%81.68% 78.00%68.27%
±2σ -0.95%109.22% 94.00%95.45%
±3σ -28.49%136.76% 98.00%99.73%
Descriptive Statistics
Mean54.133%
Standard Error3.895%
Median47.330%
Mode18.309%
Standard Deviation27.542%
Sample Variance758.544%
Kurtosis3.37
Skewness1.66
Range137.138%
Minimum18.309%
Maximum155.447%
Count50
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 54.133% 50 100.00% 54.133%
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 1.16. Further, an Excess Kurtosis of 2.77 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -76.34%00.00%0.00%
-76.34% to -56.82%00.00%0.00%
-56.82% to -37.30%12.00%2.00%
-37.30% to -17.78%918.00%20.00%
-17.78% to 1.73%1734.00%54.00%
1.73% to 21.25%1530.00%84.00%
21.25% to 40.77%612.00%96.00%
40.77% to 60.28%00.00%96.00%
60.28% to 79.80%12.00%98.00%
Greater than 79.80%12.00%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -24.29%27.76% 74.00%68.27%
±2σ -50.31%53.78% 96.00%95.45%
±3σ -76.34%79.80% 98.00%99.73%
Descriptive Statistics
Mean1.733%
Standard Error3.680%
Median-1.439%
Mode-44.256%
Standard Deviation26.023%
Sample Variance677.176%
Kurtosis2.77
Skewness1.16
Range141.948%
Minimum-44.256%
Maximum97.692%
Count50
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 21.030% 25 50.00% 10.515%
Negative -17.563% 25 50.00% -8.782%
Zero 0.000% 0 0.00% 0.000%