Markets Data Volatility Heatmap Portfolio Calculator

XOM Deep Analytical Report

Exxon Mobil Corporation | Category: Equity Mega Cap | Ann. Div Yield: 2.51% ($4.00) | Last Updated: 2026-03-24 | Data Range: 1962-01-01 → 2026-03-01 (771 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 1.45% 1.17% 1.23% 2.37% 1.95% 2.00% 157.39 163.63 154.35 166.85
Weekly 3.08% 2.85% 3.06% 5.49% 4.28% 4.41% 153.75 167.50 147.30 174.84
Monthly 5.52% 5.74% 5.42% 11.34% 8.92% 9.19% 146.79 175.45 134.27 191.81
Quarterly 8.59% 9.89% 8.03% 19.15% 15.45% 15.91% 137.51 187.28 117.83 218.56
Annual — — — — 30.89% 31.82% 117.83 218.56 86.52 297.67
Option Time Horizon — — — — 11.66% 12.01% 142.82 180.33 127.10 202.63
Calculation Notes: Computed at 2026-03-23T16:31 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $160.48  |  Strike (K): $165.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $5.7000 (Bid $5.5000 / Ask $5.9000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.51%  |  Binomial IV (Annual): 30.89% (CRR binomial tree, American, n=20 steps)  |  BS IV: 31.27% (European Black-Scholes)  |  Yahoo IV (Annual): 31.82% → 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
2026-02-12 $1.0300
2025-11-14 $1.0300
2025-08-15 $0.9900
2025-05-15 $0.9900
2025-02-12 $0.9900
2024-11-14 $0.9900
2024-08-15 $0.9500
2024-05-14 $0.9500
2024-02-13 $0.9500
2023-11-14 $0.9500
2023-08-15 $0.9100
2023-05-15 $0.9100
2023-02-13 $0.9100
2022-11-14 $0.9100
2022-08-11 $0.8800
2022-05-12 $0.8800
2022-02-09 $0.8800
2021-11-10 $0.8800
2021-08-12 $0.8700
2021-05-12 $0.8700
2021-02-09 $0.8700
2020-11-10 $0.8700
2020-08-12 $0.8700
2020-05-12 $0.8700
2020-02-10 $0.8700
2019-11-08 $0.8700
2019-08-12 $0.8700
2019-05-10 $0.8700
2019-02-08 $0.8200
2018-11-09 $0.8200
2018-08-10 $0.8200
2018-05-11 $0.8200
2018-02-09 $0.7700
2017-11-10 $0.7700
2017-08-10 $0.7700
2017-05-10 $0.7700
2017-02-08 $0.7500
2016-11-08 $0.7500
2016-08-10 $0.7500
2016-05-11 $0.7500
2016-02-09 $0.7300
2015-11-09 $0.7300
2015-08-11 $0.7300
2015-05-11 $0.7300
2015-02-06 $0.6900
2014-11-07 $0.6900
2014-08-11 $0.6900
2014-05-09 $0.6900
2014-02-06 $0.6300
2013-11-07 $0.6300
2013-08-09 $0.6300
2013-05-09 $0.6300
2013-02-07 $0.5700
2012-11-07 $0.5700
2012-08-09 $0.5700
2012-05-10 $0.5700
2012-02-08 $0.4700
2011-11-08 $0.4700
2011-08-10 $0.4700
2011-05-11 $0.4700
2011-02-08 $0.4400
2010-11-09 $0.4400
2010-08-11 $0.4400
2010-05-11 $0.4400
2010-02-08 $0.4200
2009-11-09 $0.4200
2009-08-11 $0.4200
2009-05-11 $0.4200
2009-02-06 $0.4000
2008-11-07 $0.4000
2008-08-11 $0.4000
2008-05-09 $0.4000
2008-02-07 $0.3500
2007-11-07 $0.3500
2007-08-09 $0.3500
2007-05-10 $0.3500
2007-02-07 $0.3200
2006-11-09 $0.3200
2006-08-10 $0.3200
2006-05-10 $0.3200
2006-02-08 $0.3200
2005-11-08 $0.2900
2005-08-10 $0.2900
2005-05-11 $0.2900
2005-02-08 $0.2700
2004-11-09 $0.2700
2004-08-11 $0.2700
2004-05-11 $0.2700
2004-02-09 $0.2500
2003-11-07 $0.2500
2003-08-11 $0.2500
2003-05-09 $0.2500
2003-02-06 $0.2300
2002-11-07 $0.2300
2002-08-09 $0.2300
2002-05-09 $0.2300
2002-02-07 $0.2300
2001-11-07 $0.2300
2001-08-09 $0.2300
2001-06-18 $0.0100
2001-05-10 $0.2200
2001-02-07 $0.2200
2000-11-09 $0.2200
2000-08-10 $0.2200
2000-05-11 $0.2200
2000-02-09 $0.2200
1999-11-09 $0.2200
1999-08-11 $0.2050
1999-05-10 $0.2050
1999-02-08 $0.2050
1998-11-09 $0.2050
1998-08-11 $0.2050
1998-05-11 $0.2050
1998-02-06 $0.2050
1997-11-07 $0.2050
1997-08-11 $0.2050
1997-05-09 $0.2050
1997-02-06 $0.1975
1996-11-07 $0.1975
1996-08-09 $0.1975
1996-05-09 $0.1975
1996-02-08 $0.1875
1995-11-09 $0.1875
1995-08-10 $0.1875
1995-05-09 $0.1875
1995-02-06 $0.1875
1994-11-07 $0.1875
1994-08-09 $0.1800
1994-05-09 $0.1800
1994-02-04 $0.1800
1993-11-05 $0.1800
1993-08-09 $0.1800
1993-05-07 $0.1800
1993-02-04 $0.1800
1992-11-05 $0.1800
1992-08-07 $0.1800
1992-05-07 $0.1800
1992-02-05 $0.1675
1991-11-05 $0.1675
1991-08-07 $0.1675
1991-05-07 $0.1675
1991-02-05 $0.1675
1990-11-05 $0.1675
1990-08-07 $0.1500
1990-05-08 $0.1500
1990-02-06 $0.1500
1989-11-07 $0.1500
1989-08-08 $0.1500
1989-05-09 $0.1375
1989-02-06 $0.1375
1988-11-07 $0.1375
1988-08-09 $0.1375
1988-05-09 $0.1375
1988-02-05 $0.1250
1987-11-05 $0.1250
1987-08-07 $0.1250
1987-05-07 $0.1125
1987-02-04 $0.1125
1986-11-05 $0.1125
1986-08-07 $0.1125
1986-05-07 $0.1125
1986-02-04 $0.1125
1985-11-05 $0.1125
1985-08-07 $0.1062
1985-05-07 $0.1062
1985-02-04 $0.1062
1984-11-02 $0.1062
1984-08-07 $0.1062
1984-05-08 $0.1062
1984-02-06 $0.1000
1983-11-04 $0.1000
1983-08-09 $0.1000
1983-05-09 $0.0938
1983-02-04 $0.0938
1982-11-05 $0.0938
1982-08-09 $0.0938
1982-05-07 $0.0938
1982-02-03 $0.1875
1981-11-05 $0.0938
1981-08-07 $0.0938
1981-05-11 $0.0938
1981-02-03 $0.0938
1980-11-05 $0.0938
1980-08-07 $0.0875
1980-05-07 $0.0813
1980-02-04 $0.0750
1979-11-02 $0.0688
1979-08-07 $0.0625
1979-05-08 $0.0563
1979-02-05 $0.0563
1978-11-06 $0.0531
1978-08-08 $0.0531
1978-05-09 $0.0500
1978-02-03 $0.0500
1977-11-04 $0.0469
1977-08-09 $0.0469
1977-05-09 $0.0469
1977-02-04 $0.0469
1976-11-05 $0.0437
1976-08-09 $0.0437
1976-05-10 $0.0437
1976-02-04 $0.0391
1975-11-05 $0.0391
1975-08-06 $0.0391
1975-05-05 $0.0391
1975-03-31 $0.0391
1975-02-05 $0.0391
1974-11-04 $0.0484
1974-08-06 $0.0391
1974-05-06 $0.0344
1974-02-04 $0.0344
1973-11-02 $0.0391
1973-08-02 $0.0344
1973-05-03 $0.0297
1973-02-05 $0.0297
1972-11-02 $0.0297
1972-08-04 $0.0297
1972-05-04 $0.0297
1972-02-04 $0.0297
1971-11-05 $0.0328
1971-08-05 $0.0297
1971-05-06 $0.0281
1971-02-08 $0.0281
1970-11-04 $0.0328
1970-08-06 $0.0281
1970-05-07 $0.0281
1969-11-05 $0.0328
1969-08-06 $0.0281
1969-05-02 $0.0281
1969-02-06 $0.0281
1968-11-07 $0.0328
1968-08-02 $0.0281
1968-05-03 $0.0266
1968-02-05 $0.0266
1967-11-03 $0.0328
1967-05-08 $0.0250
1966-11-04 $0.0281
1966-08-08 $0.0250
1966-05-09 $0.0250
1966-02-03 $0.0250
1965-11-03 $0.0281
1965-08-04 $0.0234
1965-05-05 $0.0234
1965-02-03 $0.0234
1964-11-04 $0.0266
1964-08-05 $0.0234
1964-05-06 $0.0219
1964-02-05 $0.0219
1963-11-06 $0.0250
1963-08-07 $0.0203
1963-05-08 $0.0203
1963-02-06 $0.0203
1962-11-07 $0.0219
1962-08-08 $0.0187
1962-05-09 $0.0187
1962-02-07 $0.0187
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.01. Further, an Excess Kurtosis of 13.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.28%1020.63%0.63%
-4.28% to -3.20%1590.98%1.61%
-3.20% to -2.11%5703.53%5.14%
-2.11% to -1.03%195212.08%17.22%
-1.03% to 0.06%557434.49%51.71%
0.06% to 1.14%495730.67%82.38%
1.14% to 2.23%201612.47%94.86%
2.23% to 3.31%5743.55%98.41%
3.31% to 4.40%1651.02%99.43%
Greater than 4.40%920.57%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.39%1.50% 77.28%68.27%
±2σ -2.84%2.95% 95.30%95.45%
±3σ -4.28%4.40% 98.80%99.73%
Descriptive Statistics
Mean0.057%
Standard Error0.011%
Median0.000%
Mode0.000%
Standard Deviation1.447%
Sample Variance2.093%
Kurtosis13.05
Skewness0.01
Range41.339%
Minimum-23.429%
Maximum17.910%
Count16161
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.096% 7917 48.99% 0.537%
Negative -1.050% 7384 45.69% -0.480%
Zero 0.000% 860 5.32% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.73%
20 1 Month 2.65%
60 1 Quarter 2.45%
250 1 Year 2.16%
750 3 Years 2.05%
1,250 5 Years 2.37%
2,500 10 Years 2.24%
5,000 20 Years 2.11%
12,500 50 Years 2.00%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.07. Further, an Excess Kurtosis of 129.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -1.75%00.00%0.00%
-1.75% to -0.87%00.00%0.00%
-0.87% to 0.01%00.00%0.00%
0.01% to 0.89%242915.03%15.03%
0.89% to 1.76%764847.32%62.35%
1.76% to 2.64%379023.45%85.80%
2.64% to 3.52%13498.35%94.15%
3.52% to 4.39%5423.35%97.50%
4.39% to 5.27%1831.13%98.63%
Greater than 5.27%2211.37%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.59%2.93% 85.88%68.27%
±2σ -0.58%4.10% 96.78%95.45%
±3σ -1.75%5.27% 98.63%99.73%
Descriptive Statistics
Mean1.762%
Standard Error0.009%
Median1.493%
Mode1.408%
Standard Deviation1.170%
Sample Variance1.368%
Kurtosis129.45
Skewness6.07
Range43.991%
Minimum0.139%
Maximum44.130%
Count16162
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.762% 16162 100.00% 1.762%
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 0.35. Further, an Excess Kurtosis of 9.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.71%810.50%0.50%
-3.71% to -2.79%1781.10%1.60%
-2.79% to -1.87%6153.81%5.41%
-1.87% to -0.95%206612.78%18.19%
-0.95% to -0.03%482729.87%48.06%
-0.03% to 0.89%550934.09%82.14%
0.89% to 1.81%200712.42%94.56%
1.81% to 2.73%5923.66%98.22%
2.73% to 3.65%1771.10%99.32%
Greater than 3.65%1100.68%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.26%1.20% 76.13%68.27%
±2σ -2.48%2.42% 95.13%95.45%
±3σ -3.71%3.65% 98.82%99.73%
Descriptive Statistics
Mean-0.031%
Standard Error0.010%
Median0.000%
Mode0.000%
Standard Deviation1.226%
Sample Variance1.504%
Kurtosis9.72
Skewness0.35
Range30.596%
Minimum-11.193%
Maximum19.403%
Count16162
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 0.935% 7314 45.25% 0.423%
Negative -0.938% 7819 48.38% -0.454%
Zero 0.000% 1029 6.37% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.16. Further, an Excess Kurtosis of 7.22 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.98%210.63%0.63%
-8.98% to -6.67%280.84%1.46%
-6.67% to -4.35%1053.13%4.60%
-4.35% to -2.04%46413.85%18.45%
-2.04% to 0.27%109032.54%50.99%
0.27% to 2.58%102730.66%81.64%
2.58% to 4.90%43112.87%94.51%
4.90% to 7.21%1273.79%98.30%
7.21% to 9.52%391.16%99.46%
Greater than 9.52%180.54%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.81%3.36% 75.61%68.27%
±2σ -5.90%6.44% 95.46%95.45%
±3σ -8.98%9.52% 98.84%99.73%
Descriptive Statistics
Mean0.272%
Standard Error0.053%
Median0.223%
Mode0.000%
Standard Deviation3.084%
Sample Variance9.509%
Kurtosis7.22
Skewness-0.16
Range52.604%
Minimum-29.843%
Maximum22.761%
Count3350
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.341% 1777 53.05% 1.242%
Negative -2.164% 1501 44.81% -0.970%
Zero 0.000% 72 2.15% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 6.35%
12 1 Quarter 6.23%
52 1 Year 5.08%
156 3 Years 4.74%
260 5 Years 5.49%
520 10 Years 5.24%
1,040 20 Years 4.83%
2,600 50 Years 4.53%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.21. Further, an Excess Kurtosis of 64.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.14%00.00%0.00%
-4.14% to -2.00%00.00%0.00%
-2.00% to 0.14%00.00%0.00%
0.14% to 2.28%50114.95%14.95%
2.28% to 4.42%156646.73%61.68%
4.42% to 6.56%81624.35%86.03%
6.56% to 8.70%2888.59%94.63%
8.70% to 10.85%1013.01%97.64%
10.85% to 12.99%330.98%98.63%
Greater than 12.99%461.37%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.57%7.28% 87.23%68.27%
±2σ -1.29%10.13% 96.96%95.45%
±3σ -4.14%12.99% 98.63%99.73%
Descriptive Statistics
Mean4.422%
Standard Error0.049%
Median3.823%
Mode3.125%
Standard Deviation2.855%
Sample Variance8.150%
Kurtosis64.38
Skewness5.21
Range58.876%
Minimum0.638%
Maximum59.514%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.422% 3351 100.00% 4.422%
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 1.84. Further, an Excess Kurtosis of 22.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -9.27%80.24%0.24%
-9.27% to -6.97%341.01%1.25%
-6.97% to -4.67%1163.46%4.72%
-4.67% to -2.38%46613.91%18.62%
-2.38% to -0.08%107832.17%50.79%
-0.08% to 2.22%107732.14%82.93%
2.22% to 4.52%41412.35%95.28%
4.52% to 6.82%1083.22%98.51%
6.82% to 9.11%230.69%99.19%
Greater than 9.11%270.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.14%2.99% 76.48%68.27%
±2σ -6.21%6.05% 95.97%95.45%
±3σ -9.27%9.11% 98.96%99.73%
Descriptive Statistics
Mean-0.078%
Standard Error0.053%
Median-0.156%
Mode0.000%
Standard Deviation3.064%
Sample Variance9.386%
Kurtosis22.02
Skewness1.84
Range60.273%
Minimum-15.497%
Maximum44.776%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.244% 1541 45.99% 1.032%
Negative -2.166% 1717 51.24% -1.110%
Zero 0.000% 93 2.77% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.34. Further, an Excess Kurtosis of 2.56 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.43%20.26%0.26%
-15.43% to -11.29%91.17%1.43%
-11.29% to -7.15%283.64%5.06%
-7.15% to -3.02%11414.81%19.87%
-3.02% to 1.12%24732.08%51.95%
1.12% to 5.26%21728.18%80.13%
5.26% to 9.40%11414.81%94.94%
9.40% to 13.54%232.99%97.92%
13.54% to 17.67%70.91%98.83%
Greater than 17.67%91.17%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -4.40%6.64% 74.55%68.27%
±2σ -9.91%12.16% 94.55%95.45%
±3σ -15.43%17.67% 98.57%99.73%
Descriptive Statistics
Mean1.122%
Standard Error0.199%
Median0.800%
Mode0.000%
Standard Deviation5.517%
Sample Variance30.438%
Kurtosis2.56
Skewness0.34
Range53.102%
Minimum-26.186%
Maximum26.916%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.654% 437 56.75% 2.641%
Negative -3.600% 325 42.21% -1.519%
Zero 0.000% 8 1.04% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 14.27%
12 1 Year 10.73%
36 3 Years 9.27%
60 5 Years 11.34%
120 10 Years 11.24%
240 20 Years 10.01%
600 50 Years 9.29%
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 40.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -7.65%00.00%0.00%
-7.65% to -3.35%00.00%0.00%
-3.35% to 0.95%00.00%0.00%
0.95% to 5.26%9812.71%12.71%
5.26% to 9.56%38950.45%63.16%
9.56% to 13.87%18123.48%86.64%
13.87% to 18.17%577.39%94.03%
18.17% to 22.47%283.63%97.67%
22.47% to 26.78%81.04%98.70%
Greater than 26.78%101.30%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.82%15.30% 87.29%68.27%
±2σ -1.91%21.04% 96.63%95.45%
±3σ -7.65%26.78% 98.70%99.73%
Descriptive Statistics
Mean9.562%
Standard Error0.207%
Median8.320%
Mode6.250%
Standard Deviation5.738%
Sample Variance32.928%
Kurtosis40.67
Skewness4.59
Range77.525%
Minimum2.316%
Maximum79.841%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.562% 771 100.00% 9.562%
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 0.55. Further, an Excess Kurtosis of 4.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.69%40.52%0.52%
-16.69% to -12.62%91.17%1.69%
-12.62% to -8.55%222.85%4.54%
-8.55% to -4.48%13517.51%22.05%
-4.48% to -0.41%21928.40%50.45%
-0.41% to 3.65%23430.35%80.80%
3.65% to 7.72%10413.49%94.29%
7.72% to 11.79%273.50%97.80%
11.79% to 15.86%141.82%99.61%
Greater than 15.86%30.39%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.84%5.01% 74.45%68.27%
±2σ -11.26%10.44% 94.81%95.45%
±3σ -16.69%15.86% 99.09%99.73%
Descriptive Statistics
Mean-0.414%
Standard Error0.195%
Median-0.475%
Mode0.000%
Standard Deviation5.425%
Sample Variance29.428%
Kurtosis4.15
Skewness0.55
Range59.184%
Minimum-20.680%
Maximum38.504%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.979% 351 45.52% 1.811%
Negative -4.174% 411 53.31% -2.225%
Zero 0.000% 9 1.17% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.37. Further, an Excess Kurtosis of 1.31 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -22.49%10.39%0.39%
-22.49% to -16.04%10.39%0.78%
-16.04% to -9.60%83.11%3.89%
-9.60% to -3.15%4718.29%22.18%
-3.15% to 3.29%6726.07%48.25%
3.29% to 9.74%8332.30%80.54%
9.74% to 16.19%3312.84%93.39%
16.19% to 22.63%124.67%98.05%
22.63% to 29.08%31.17%99.22%
Greater than 29.08%20.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.30%11.89% 68.87%68.27%
±2σ -13.89%20.48% 96.50%95.45%
±3σ -22.49%29.08% 98.83%99.73%
Descriptive Statistics
Mean3.295%
Standard Error0.536%
Median3.519%
Mode1.284%
Standard Deviation8.594%
Sample Variance73.850%
Kurtosis1.31
Skewness0.37
Range64.897%
Minimum-24.119%
Maximum40.778%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.982% 168 65.37% 5.218%
Negative -5.551% 89 34.63% -1.922%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 17.48%
12 3 Years 16.46%
20 5 Years 19.15%
40 10 Years 19.75%
80 20 Years 17.51%
200 50 Years 15.78%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.33. Further, an Excess Kurtosis of 31.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -12.81%00.00%0.00%
-12.81% to -5.39%00.00%0.00%
-5.39% to 2.02%00.00%0.00%
2.02% to 9.44%3212.40%12.40%
9.44% to 16.86%13351.55%63.95%
16.86% to 24.28%6725.97%89.92%
24.28% to 31.70%145.43%95.35%
31.70% to 39.11%51.94%97.29%
39.11% to 46.53%31.16%98.45%
Greater than 46.53%41.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 6.97%26.75% 89.53%68.27%
±2σ -2.92%36.64% 96.51%95.45%
±3σ -12.81%46.53% 98.45%99.73%
Descriptive Statistics
Mean16.860%
Standard Error0.616%
Median14.758%
Mode16.667%
Standard Deviation9.890%
Sample Variance97.814%
Kurtosis31.96
Skewness4.33
Range104.560%
Minimum4.706%
Maximum109.266%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 16.860% 258 100.00% 16.860%
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 0.43. Further, an Excess Kurtosis of 1.29 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -25.53%10.39%0.39%
-25.53% to -19.51%10.39%0.78%
-19.51% to -13.48%135.04%5.81%
-13.48% to -7.46%3814.73%20.54%
-7.46% to -1.44%8633.33%53.88%
-1.44% to 4.58%6224.03%77.91%
4.58% to 10.61%3915.12%93.02%
10.61% to 16.63%155.81%98.84%
16.63% to 22.66%10.39%99.22%
Greater than 22.66%20.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.47%6.59% 69.38%68.27%
±2σ -17.50%14.62% 96.51%95.45%
±3σ -25.53%22.66% 98.84%99.73%
Descriptive Statistics
Mean-1.438%
Standard Error0.500%
Median-2.062%
Mode-6.407%
Standard Deviation8.031%
Sample Variance64.492%
Kurtosis1.29
Skewness0.43
Range58.178%
Minimum-26.093%
Maximum32.085%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 6.520% 98 37.98% 2.477%
Negative -6.352% 159 61.63% -3.915%
Zero 0.000% 1 0.39% 0.000%