XPEV - Detail Report

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	5.34%	3.58%	3.76%	6.43%	3.54%	3.62%	17.01	18.26	16.41	18.91
Weekly	12.59%	11.65%	10.84%	15.87%	7.80%	7.98%	16.30	19.05	15.08	20.59
Monthly	34.26%	33.52%	25.14%	33.63%	16.23%	16.60%	14.98	20.73	12.73	24.38
Quarterly	51.29%	75.27%	67.39%	61.68%	28.12%	28.76%	13.30	23.34	10.04	30.92
Annual	—	—	—	—	56.24%	57.52%	10.04	30.92	5.72	54.26
Option Time Horizon	—	—	—	—	21.63%	22.12%	14.19	21.88	11.43	27.16

Calculation Notes: Computed at 2026-02-22T14:24 UTC | Reference Contract: Call option expiring 2026-04-17 (54 days) | Spot Price (S): $17.62 | Strike (K): $18.00 (first OTM call ≥ spot) | Observed Mid-Price: $1.4000 (Bid $1.3000 / Ask $1.5000) | Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 56.24% (CRR binomial tree, American, n=20 steps) | BS IV: 56.49% (European Black-Scholes) | Yahoo IV (Annual): 57.52% → period-scaled as σ_period = σ_annual·√h | Price bands: Upper = S·e^+σ√h, Lower = S·e^−σ√h

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.47. Further, an Excess Kurtosis of 8.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -15.90%	0	0.00%	0.00%
-15.90% to -11.89%	10	0.73%	0.73%
-11.89% to -7.89%	46	3.34%	4.07%
-7.89% to -3.88%	220	15.99%	20.06%
-3.88% to 0.12%	451	32.78%	52.83%
0.12% to 4.13%	411	29.87%	82.70%
4.13% to 8.13%	166	12.06%	94.77%
8.13% to 12.14%	45	3.27%	98.04%
12.14% to 16.15%	17	1.24%	99.27%
Greater than 16.15%	10	0.73%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.22%	5.46%	75.51%	68.27%
±2σ	-10.56%	10.80%	95.78%	95.45%
±3σ	-15.90%	16.15%	99.35%	99.73%

Descriptive Statistics

Mean	0.123%
Standard Error	0.144%
Median	-0.194%
Mode	0.000%
Standard Deviation	5.341%
Sample Variance	28.531%
Kurtosis	8.51
Skewness	1.47
Range	62.359%
Minimum	-15.084%
Maximum	47.275%
Count	1376

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.137%	658	47.82%	1.978%
Negative	-3.590%	711	51.67%	-1.855%
Zero	0.000%	7	0.51%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	2.26%
20	1 Month	3.63%
60	1 Quarter	4.00%
250	1 Year	4.70%
750	3 Years	5.72%
1,250	5 Years	6.43%
2,500	10 Years	6.70%
5,000	20 Years	6.70%
12,500	50 Years	6.70%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.75. Further, an Excess Kurtosis of 13.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -4.88%	0	0.00%	0.00%
-4.88% to -2.20%	0	0.00%	0.00%
-2.20% to 0.49%	0	0.00%	0.00%
0.49% to 3.17%	237	17.21%	17.21%
3.17% to 5.86%	610	44.30%	61.51%
5.86% to 8.55%	324	23.53%	85.04%
8.55% to 11.23%	125	9.08%	94.12%
11.23% to 13.92%	38	2.76%	96.88%
13.92% to 16.61%	15	1.09%	97.97%
Greater than 16.61%	28	2.03%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.28%	9.44%	83.59%	68.27%
±2σ	-1.30%	13.02%	96.44%	95.45%
±3σ	-4.88%	16.61%	97.97%	99.73%

Descriptive Statistics

Mean	5.861%
Standard Error	0.097%
Median	5.004%
Mode	4.492%
Standard Deviation	3.582%
Sample Variance	12.831%
Kurtosis	13.17
Skewness	2.75
Range	35.278%
Minimum	1.155%
Maximum	36.433%
Count	1377

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.861%	1377	100.00%	5.861%
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 3.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -11.07%	12	0.87%	0.87%
-11.07% to -8.26%	12	0.87%	1.74%
-8.26% to -5.44%	44	3.20%	4.94%
-5.44% to -2.62%	173	12.56%	17.50%
-2.62% to 0.20%	452	32.82%	50.33%
0.20% to 3.02%	426	30.94%	81.26%
3.02% to 5.83%	186	13.51%	94.77%
5.83% to 8.65%	49	3.56%	98.33%
8.65% to 11.47%	14	1.02%	99.35%
Greater than 11.47%	9	0.65%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.56%	3.95%	75.09%	68.27%
±2σ	-7.32%	7.71%	95.35%	95.45%
±3σ	-11.07%	11.47%	98.47%	99.73%

Descriptive Statistics

Mean	0.197%
Standard Error	0.101%
Median	0.160%
Mode	0.000%
Standard Deviation	3.757%
Sample Variance	14.116%
Kurtosis	3.85
Skewness	-0.22
Range	39.376%
Minimum	-21.366%
Maximum	18.010%
Count	1377

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.792%	719	52.22%	1.458%
Negative	-2.685%	647	46.99%	-1.262%
Zero	0.000%	11	0.80%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.54. Further, an Excess Kurtosis of 5.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -37.11%	0	0.00%	0.00%
-37.11% to -27.66%	0	0.00%	0.00%
-27.66% to -18.22%	12	4.20%	4.20%
-18.22% to -8.78%	53	18.53%	22.73%
-8.78% to 0.67%	96	33.57%	56.29%
0.67% to 10.11%	76	26.57%	82.87%
10.11% to 19.56%	37	12.94%	95.80%
19.56% to 29.00%	4	1.40%	97.20%
29.00% to 38.45%	5	1.75%	98.95%
Greater than 38.45%	3	1.05%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.92%	13.26%	76.22%	68.27%
±2σ	-24.52%	25.86%	95.80%	95.45%
±3σ	-37.11%	38.45%	98.95%	99.73%

Descriptive Statistics

Mean	0.669%
Standard Error	0.745%
Median	-0.510%
Mode	-2.340%
Standard Deviation	12.593%
Sample Variance	158.571%
Kurtosis	5.90
Skewness	1.54
Range	92.002%
Minimum	-27.416%
Maximum	64.586%
Count	286

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.385%	133	46.50%	4.829%
Negative	-7.778%	153	53.50%	-4.161%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	8.67%
12	1 Quarter	10.08%
52	1 Year	11.90%
156	3 Years	14.39%
260	5 Years	15.87%
520	10 Years	16.64%
1,040	20 Years	16.64%
2,600	50 Years	16.64%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.14. Further, an Excess Kurtosis of 14.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -17.15%	0	0.00%	0.00%
-17.15% to -8.42%	0	0.00%	0.00%
-8.42% to 0.32%	0	0.00%	0.00%
0.32% to 9.05%	37	12.89%	12.89%
9.05% to 17.79%	155	54.01%	66.90%
17.79% to 26.52%	56	19.51%	86.41%
26.52% to 35.26%	25	8.71%	95.12%
35.26% to 43.99%	5	1.74%	96.86%
43.99% to 52.73%	2	0.70%	97.56%
Greater than 52.73%	7	2.44%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.14%	29.43%	87.11%	68.27%
±2σ	-5.50%	41.08%	96.52%	95.45%
±3σ	-17.15%	52.73%	97.56%	99.73%

Descriptive Statistics

Mean	17.788%
Standard Error	0.687%
Median	15.185%
Mode	4.666%
Standard Deviation	11.646%
Sample Variance	135.618%
Kurtosis	14.15
Skewness	3.14
Range	90.396%
Minimum	4.666%
Maximum	95.062%
Count	287

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.788%	287	100.00%	17.788%
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 -0.02. Further, an Excess Kurtosis of 1.26 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -31.65%	3	1.05%	1.05%
-31.65% to -23.52%	2	0.70%	1.74%
-23.52% to -15.39%	5	1.74%	3.48%
-15.39% to -7.26%	51	17.77%	21.25%
-7.26% to 0.88%	88	30.66%	51.92%
0.88% to 9.01%	74	25.78%	77.70%
9.01% to 17.14%	45	15.68%	93.38%
17.14% to 25.27%	12	4.18%	97.56%
25.27% to 33.40%	7	2.44%	100.00%
Greater than 33.40%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.97%	11.72%	74.56%	68.27%
±2σ	-20.81%	22.56%	93.38%	95.45%
±3σ	-31.65%	33.40%	98.95%	99.73%

Descriptive Statistics

Mean	0.875%
Standard Error	0.640%
Median	0.477%
Mode	1.807%
Standard Deviation	10.842%
Sample Variance	117.544%
Kurtosis	1.26
Skewness	-0.02
Range	70.555%
Minimum	-37.188%
Maximum	33.367%
Count	287

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.718%	150	52.27%	4.556%
Negative	-7.713%	137	47.73%	-3.682%
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 3.28. Further, an Excess Kurtosis of 17.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -99.05%	0	0.00%	0.00%
-99.05% to -73.36%	0	0.00%	0.00%
-73.36% to -47.66%	0	0.00%	0.00%
-47.66% to -21.96%	9	13.64%	13.64%
-21.96% to 3.73%	32	48.48%	62.12%
3.73% to 29.43%	16	24.24%	86.36%
29.43% to 55.12%	5	7.58%	93.94%
55.12% to 80.82%	3	4.55%	98.48%
80.82% to 106.52%	0	0.00%	98.48%
Greater than 106.52%	1	1.52%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.53%	37.99%	84.85%	68.27%
±2σ	-64.79%	72.26%	98.48%	95.45%
±3σ	-99.05%	106.52%	98.48%	99.73%

Descriptive Statistics

Mean	3.732%
Standard Error	4.217%
Median	-2.050%
Mode	-44.603%
Standard Deviation	34.262%
Sample Variance	1173.916%
Kurtosis	17.10
Skewness	3.28
Range	247.802%
Minimum	-44.603%
Maximum	203.199%
Count	66

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	26.424%	30	45.45%	12.011%
Negative	-15.178%	36	54.55%	-8.279%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	16.92%
12	1 Year	23.24%
36	3 Years	31.77%
60	5 Years	33.63%
120	10 Years	37.03%
240	20 Years	37.03%
600	50 Years	37.03%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.71. Further, an Excess Kurtosis of 29.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -55.82%	0	0.00%	0.00%
-55.82% to -30.68%	0	0.00%	0.00%
-30.68% to -5.54%	0	0.00%	0.00%
-5.54% to 19.61%	4	5.97%	5.97%
19.61% to 44.75%	41	61.19%	67.16%
44.75% to 69.89%	15	22.39%	89.55%
69.89% to 95.03%	4	5.97%	95.52%
95.03% to 120.17%	2	2.99%	98.51%
120.17% to 145.31%	0	0.00%	98.51%
Greater than 145.31%	1	1.49%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.23%	78.27%	94.03%	68.27%
±2σ	-22.30%	111.79%	98.51%	95.45%
±3σ	-55.82%	145.31%	98.51%	99.73%

Descriptive Statistics

Mean	44.747%
Standard Error	4.095%
Median	40.116%
Mode	12.438%
Standard Deviation	33.522%
Sample Variance	1123.749%
Kurtosis	29.80
Skewness	4.71
Range	255.414%
Minimum	12.438%
Maximum	267.852%
Count	67

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	44.747%	67	100.00%	44.747%
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 1.24 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -70.46%	0	0.00%	0.00%
-70.46% to -51.60%	1	1.49%	1.49%
-51.60% to -32.75%	3	4.48%	5.97%
-32.75% to -13.89%	8	11.94%	17.91%
-13.89% to 4.97%	26	38.81%	56.72%
4.97% to 23.83%	18	26.87%	83.58%
23.83% to 42.69%	5	7.46%	91.04%
42.69% to 61.55%	4	5.97%	97.01%
61.55% to 80.41%	2	2.99%	100.00%
Greater than 80.41%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.17%	30.12%	73.13%	68.27%
±2σ	-45.32%	55.26%	95.52%	95.45%
±3σ	-70.46%	80.41%	100.00%	99.73%

Descriptive Statistics

Mean	4.971%
Standard Error	3.072%
Median	1.873%
Mode	-63.462%
Standard Deviation	25.145%
Sample Variance	632.288%
Kurtosis	1.24
Skewness	0.35
Range	142.767%
Minimum	-63.462%
Maximum	79.305%
Count	67

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	21.724%	36	53.73%	11.673%
Negative	-14.966%	30	44.78%	-6.701%
Zero	0.000%	1	1.49%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.21. Further, an Excess Kurtosis of 1.93 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -143.62%	0	0.00%	0.00%
-143.62% to -105.16%	0	0.00%	0.00%
-105.16% to -66.69%	1	4.55%	4.55%
-66.69% to -28.23%	4	18.18%	22.73%
-28.23% to 10.24%	8	36.36%	59.09%
10.24% to 48.70%	6	27.27%	86.36%
48.70% to 87.17%	1	4.55%	90.91%
87.17% to 125.63%	1	4.55%	95.45%
125.63% to 164.09%	1	4.55%	100.00%
Greater than 164.09%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-41.05%	61.52%	81.82%	68.27%
±2σ	-92.34%	112.81%	90.91%	95.45%
±3σ	-143.62%	164.09%	100.00%	99.73%

Descriptive Statistics

Mean	10.237%
Standard Error	10.934%
Median	-1.431%
Mode	-72.902%
Standard Deviation	51.286%
Sample Variance	2630.301%
Kurtosis	1.93
Skewness	1.21
Range	221.509%
Minimum	-72.902%
Maximum	148.607%
Count	22

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	56.240%	9	40.91%	23.007%
Negative	-21.612%	13	59.09%	-12.771%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	31.13%
12	3 Years	59.08%
20	5 Years	61.68%
40	10 Years	70.06%
80	20 Years	70.06%
200	50 Years	70.06%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.73. Further, an Excess Kurtosis of 2.79 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -128.03%	0	0.00%	0.00%
-128.03% to -71.58%	0	0.00%	0.00%
-71.58% to -15.13%	0	0.00%	0.00%
-15.13% to 41.33%	3	13.04%	13.04%
41.33% to 97.78%	11	47.83%	60.87%
97.78% to 154.24%	6	26.09%	86.96%
154.24% to 210.69%	0	0.00%	86.96%
210.69% to 267.14%	1	4.35%	91.30%
267.14% to 323.60%	2	8.70%	100.00%
Greater than 323.60%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	22.51%	173.05%	82.61%	68.27%
±2σ	-52.76%	248.33%	91.30%	95.45%
±3σ	-128.04%	323.60%	100.00%	99.73%

Descriptive Statistics

Mean	97.781%
Standard Error	15.695%
Median	84.011%
Mode	12.438%
Standard Deviation	75.272%
Sample Variance	5665.927%
Kurtosis	2.79
Skewness	1.73
Range	302.122%
Minimum	12.438%
Maximum	314.560%
Count	23

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	97.781%	23	100.00%	97.781%
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 2.82. Further, an Excess Kurtosis of 10.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -187.15%	0	0.00%	0.00%
-187.15% to -136.61%	0	0.00%	0.00%
-136.61% to -86.07%	0	0.00%	0.00%
-86.07% to -35.53%	2	8.70%	8.70%
-35.53% to 15.01%	12	52.17%	60.87%
15.01% to 65.55%	6	26.09%	86.96%
65.55% to 116.09%	2	8.70%	95.65%
116.09% to 166.63%	0	0.00%	95.65%
166.63% to 217.17%	0	0.00%	95.65%
Greater than 217.17%	1	4.35%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-52.38%	82.40%	86.96%	68.27%
±2σ	-119.76%	149.78%	95.65%	95.45%
±3σ	-187.15%	217.17%	95.65%	99.73%

Descriptive Statistics

Mean	15.010%
Standard Error	14.051%
Median	0.744%
Mode	-55.438%
Standard Deviation	67.386%
Sample Variance	4540.822%
Kurtosis	10.48
Skewness	2.82
Range	332.477%
Minimum	-55.438%
Maximum	277.039%
Count	23

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	52.074%	12	52.17%	27.169%
Negative	-25.424%	11	47.83%	-12.159%
Zero	0.000%	0	0.00%	0.000%

XPEV Deep Analytical Report