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	5.33%	3.57%	3.74%	6.35%	3.72%	3.76%	17.95	19.34	17.29	20.07
Weekly	12.54%	11.58%	10.82%	15.72%	8.19%	8.27%	17.16	20.22	15.81	21.95
Monthly	34.00%	33.25%	25.01%	33.57%	17.06%	17.22%	15.71	22.09	13.25	26.20
Quarterly	51.24%	74.32%	67.45%	62.57%	29.54%	29.83%	13.86	25.03	10.32	33.64
Annual	—	—	—	—	59.08%	59.67%	10.32	33.64	5.71	60.73
Option Time Horizon	—	—	—	—	22.30%	22.52%	14.91	23.28	11.93	29.10

Calculation Notes: Computed at 2026-03-23T16:42 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot Price (S): $18.63 | Strike (K): $19.00 (first OTM call ≥ spot) | Observed Mid-Price: $1.5400 (Bid $1.3000 / Ask $1.7800) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 59.08% (CRR binomial tree, American, n=20 steps) | BS IV: 59.27% (European Black-Scholes) | Yahoo IV (Annual): 59.67% → 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 1.46. Further, an Excess Kurtosis of 8.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -15.85%	0	0.00%	0.00%
-15.85% to -11.86%	10	0.72%	0.72%
-11.86% to -7.86%	49	3.51%	4.22%
-7.86% to -3.87%	220	15.75%	19.97%
-3.87% to 0.13%	458	32.78%	52.76%
0.13% to 4.12%	418	29.92%	82.68%
4.12% to 8.11%	170	12.17%	94.85%
8.11% to 12.11%	45	3.22%	98.07%
12.11% to 16.10%	17	1.22%	99.28%
Greater than 16.10%	10	0.72%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.20%	5.45%	75.16%	68.27%
±2σ	-10.52%	10.78%	95.85%	95.45%
±3σ	-15.85%	16.10%	99.28%	99.73%

Descriptive Statistics

Mean	0.126%
Standard Error	0.142%
Median	-0.172%
Mode	0.000%
Standard Deviation	5.325%
Sample Variance	28.355%
Kurtosis	8.48
Skewness	1.46
Range	62.359%
Minimum	-15.084%
Maximum	47.275%
Count	1397

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	4.127%	669	47.89%	1.976%
Negative	-3.584%	721	51.61%	-1.850%
Zero	0.000%	7	0.50%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average Daily True Range %
5	1 Week	5.74%
20	1 Month	5.17%
60	1 Quarter	4.32%
250	1 Year	4.49%
750	3 Years	5.67%
1,250	5 Years	6.35%
2,500	10 Years	6.68%
5,000	20 Years	6.68%
12,500	50 Years	6.68%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.76. Further, an Excess Kurtosis of 13.27 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 0.47%	0	0.00%	0.00%
0.47% to 3.15%	243	17.38%	17.38%
3.15% to 5.83%	621	44.42%	61.80%
5.83% to 8.51%	327	23.39%	85.19%
8.51% to 11.18%	124	8.87%	94.06%
11.18% to 13.86%	40	2.86%	96.92%
13.86% to 16.54%	14	1.00%	97.93%
Greater than 16.54%	29	2.07%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.26%	9.40%	83.62%	68.27%
±2σ	-1.31%	12.97%	96.35%	95.45%
±3σ	-4.88%	16.54%	97.93%	99.73%

Descriptive Statistics

Mean	5.829%
Standard Error	0.095%
Median	4.967%
Mode	4.492%
Standard Deviation	3.569%
Sample Variance	12.739%
Kurtosis	13.27
Skewness	2.76
Range	35.278%
Minimum	1.155%
Maximum	36.433%
Count	1398

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	5.829%	1398	100.00%	5.829%
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 -0.21. Further, an Excess Kurtosis of 3.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -11.04%	12	0.86%	0.86%
-11.04% to -8.23%	12	0.86%	1.72%
-8.23% to -5.42%	44	3.15%	4.86%
-5.42% to -2.62%	176	12.59%	17.45%
-2.62% to 0.18%	462	33.05%	50.50%
0.18% to 2.99%	428	30.62%	81.12%
2.99% to 5.79%	189	13.52%	94.64%
5.79% to 8.60%	52	3.72%	98.35%
8.60% to 11.40%	14	1.00%	99.36%
Greater than 11.40%	9	0.64%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.56%	3.93%	74.96%	68.27%
±2σ	-7.30%	7.67%	95.42%	95.45%
±3σ	-11.04%	11.41%	98.50%	99.73%

Descriptive Statistics

Mean	0.185%
Standard Error	0.100%
Median	0.144%
Mode	0.000%
Standard Deviation	3.740%
Sample Variance	13.991%
Kurtosis	3.87
Skewness	-0.21
Range	39.376%
Minimum	-21.366%
Maximum	18.010%
Count	1398

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.783%	726	51.93%	1.445%
Negative	-2.665%	661	47.28%	-1.260%
Zero	0.000%	11	0.79%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.53. Further, an Excess Kurtosis of 5.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -36.92%	0	0.00%	0.00%
-36.92% to -27.52%	0	0.00%	0.00%
-27.52% to -18.12%	12	4.14%	4.14%
-18.12% to -8.72%	53	18.28%	22.41%
-8.72% to 0.68%	98	33.79%	56.21%
0.68% to 10.08%	78	26.90%	83.10%
10.08% to 19.48%	36	12.41%	95.52%
19.48% to 28.89%	5	1.72%	97.24%
28.89% to 38.29%	4	1.38%	98.62%
Greater than 38.29%	4	1.38%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.85%	13.22%	76.21%	68.27%
±2σ	-24.39%	25.75%	95.86%	95.45%
±3σ	-36.92%	38.29%	98.62%	99.73%

Descriptive Statistics

Mean	0.682%
Standard Error	0.736%
Median	-0.510%
Mode	-2.340%
Standard Deviation	12.535%
Sample Variance	157.114%
Kurtosis	5.93
Skewness	1.53
Range	92.002%
Minimum	-27.416%
Maximum	64.586%
Count	290

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	10.360%	135	46.55%	4.823%
Negative	-7.748%	155	53.45%	-4.141%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average Weekly True Range %
4	1 Month	14.44%
12	1 Quarter	10.99%
52	1 Year	11.48%
156	3 Years	14.34%
260	5 Years	15.72%
520	10 Years	16.60%
1,040	20 Years	16.60%
2,600	50 Years	16.60%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.16. Further, an Excess Kurtosis of 14.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -16.99%	0	0.00%	0.00%
-16.99% to -8.30%	0	0.00%	0.00%
-8.30% to 0.38%	0	0.00%	0.00%
0.38% to 9.07%	37	12.71%	12.71%
9.07% to 17.75%	157	53.95%	66.67%
17.75% to 26.44%	58	19.93%	86.60%
26.44% to 35.12%	25	8.59%	95.19%
35.12% to 43.81%	5	1.72%	96.91%
43.81% to 52.49%	2	0.69%	97.59%
Greater than 52.49%	7	2.41%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.17%	29.33%	87.29%	68.27%
±2σ	-5.41%	40.91%	96.56%	95.45%
±3σ	-16.99%	52.49%	97.59%	99.73%

Descriptive Statistics

Mean	17.752%
Standard Error	0.679%
Median	15.180%
Mode	4.666%
Standard Deviation	11.580%
Sample Variance	134.107%
Kurtosis	14.33
Skewness	3.16
Range	90.396%
Minimum	4.666%
Maximum	95.062%
Count	291

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.752%	291	100.00%	17.752%
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 1.24 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -31.62%	3	1.03%	1.03%
-31.62% to -23.51%	2	0.69%	1.72%
-23.51% to -15.39%	5	1.72%	3.44%
-15.39% to -7.28%	52	17.87%	21.31%
-7.28% to 0.84%	88	30.24%	51.55%
0.84% to 8.95%	76	26.12%	77.66%
8.95% to 17.06%	46	15.81%	93.47%
17.06% to 25.18%	12	4.12%	97.59%
25.18% to 33.29%	6	2.06%	99.66%
Greater than 33.29%	1	0.34%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.98%	11.66%	74.91%	68.27%
±2σ	-20.80%	22.47%	93.47%	95.45%
±3σ	-31.62%	33.29%	98.63%	99.73%

Descriptive Statistics

Mean	0.836%
Standard Error	0.634%
Median	0.477%
Mode	1.082%
Standard Deviation	10.819%
Sample Variance	117.044%
Kurtosis	1.24
Skewness	-0.02
Range	70.555%
Minimum	-37.188%
Maximum	33.367%
Count	291

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	8.686%	152	52.23%	4.537%
Negative	-7.749%	139	47.77%	-3.701%
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 3.30. Further, an Excess Kurtosis of 17.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -98.25%	0	0.00%	0.00%
-98.25% to -72.75%	0	0.00%	0.00%
-72.75% to -47.25%	0	0.00%	0.00%
-47.25% to -21.74%	9	13.43%	13.43%
-21.74% to 3.76%	32	47.76%	61.19%
3.76% to 29.26%	17	25.37%	86.57%
29.26% to 54.77%	5	7.46%	94.03%
54.77% to 80.27%	3	4.48%	98.51%
80.27% to 105.77%	0	0.00%	98.51%
Greater than 105.77%	1	1.49%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.24%	37.76%	83.58%	68.27%
±2σ	-64.25%	71.77%	98.51%	95.45%
±3σ	-98.25%	105.77%	98.51%	99.73%

Descriptive Statistics

Mean	3.759%
Standard Error	4.154%
Median	-2.098%
Mode	-44.603%
Standard Deviation	34.004%
Sample Variance	1156.259%
Kurtosis	17.36
Skewness	3.30
Range	247.802%
Minimum	-44.603%
Maximum	203.199%
Count	67

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	25.762%	31	46.27%	11.920%
Negative	-15.188%	36	53.73%	-8.161%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average Monthly True Range %
3	1 Quarter	21.83%
12	1 Year	22.85%
36	3 Years	31.49%
60	5 Years	33.57%
120	10 Years	36.98%
240	20 Years	36.98%
600	50 Years	36.98%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.77. Further, an Excess Kurtosis of 30.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -55.11%	0	0.00%	0.00%
-55.11% to -30.17%	0	0.00%	0.00%
-30.17% to -5.24%	0	0.00%	0.00%
-5.24% to 19.70%	4	5.88%	5.88%
19.70% to 44.63%	42	61.76%	67.65%
44.63% to 69.57%	14	20.59%	88.24%
69.57% to 94.51%	5	7.35%	95.59%
94.51% to 119.44%	2	2.94%	98.53%
119.44% to 144.38%	0	0.00%	98.53%
Greater than 144.38%	1	1.47%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.39%	77.88%	94.12%	68.27%
±2σ	-21.86%	111.13%	98.53%	95.45%
±3σ	-55.11%	144.38%	98.53%	99.73%

Descriptive Statistics

Mean	44.634%
Standard Error	4.032%
Median	40.066%
Mode	12.514%
Standard Deviation	33.248%
Sample Variance	1105.434%
Kurtosis	30.42
Skewness	4.77
Range	255.338%
Minimum	12.514%
Maximum	267.852%
Count	68

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	44.634%	68	100.00%	44.634%
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 0.38. Further, an Excess Kurtosis of 1.28 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -70.26%	0	0.00%	0.00%
-70.26% to -51.50%	1	1.47%	1.47%
-51.50% to -32.74%	3	4.41%	5.88%
-32.74% to -13.98%	8	11.76%	17.65%
-13.98% to 4.77%	26	38.24%	55.88%
4.77% to 23.53%	19	27.94%	83.82%
23.53% to 42.29%	5	7.35%	91.18%
42.29% to 61.05%	4	5.88%	97.06%
61.05% to 79.81%	2	2.94%	100.00%
Greater than 79.81%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.24%	29.79%	72.06%	68.27%
±2σ	-45.25%	54.80%	95.59%	95.45%
±3σ	-70.26%	79.81%	100.00%	99.73%

Descriptive Statistics

Mean	4.774%
Standard Error	3.033%
Median	1.640%
Mode	-63.462%
Standard Deviation	25.011%
Sample Variance	625.569%
Kurtosis	1.28
Skewness	0.38
Range	142.767%
Minimum	-63.462%
Maximum	79.305%
Count	68

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	21.724%	36	52.94%	11.501%
Negative	-14.756%	31	45.59%	-6.727%
Zero	0.000%	1	1.47%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.20. Further, an Excess Kurtosis of 1.92 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -143.23%	0	0.00%	0.00%
-143.23% to -104.80%	0	0.00%	0.00%
-104.80% to -66.37%	1	4.55%	4.55%
-66.37% to -27.95%	4	18.18%	22.73%
-27.95% to 10.48%	8	36.36%	59.09%
10.48% to 48.91%	6	27.27%	86.36%
48.91% to 87.34%	1	4.55%	90.91%
87.34% to 125.77%	1	4.55%	95.45%
125.77% to 164.20%	1	4.55%	100.00%
Greater than 164.20%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-40.75%	61.72%	81.82%	68.27%
±2σ	-91.99%	112.96%	90.91%	95.45%
±3σ	-143.23%	164.20%	100.00%	99.73%

Descriptive Statistics

Mean	10.483%
Standard Error	10.924%
Median	-0.796%
Mode	-72.902%
Standard Deviation	51.238%
Sample Variance	2625.317%
Kurtosis	1.92
Skewness	1.20
Range	221.509%
Minimum	-72.902%
Maximum	148.607%
Count	22

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	50.958%	10	45.45%	23.163%
Negative	-23.246%	12	54.55%	-12.680%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average Quarterly True Range %
4	1 Year	35.62%
12	3 Years	60.58%
20	5 Years	62.57%
40	10 Years	70.87%
80	20 Years	70.87%
200	50 Years	70.87%

High-to-Low 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 2.94 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -124.28%	0	0.00%	0.00%
-124.28% to -68.54%	0	0.00%	0.00%
-68.54% to -12.80%	0	0.00%	0.00%
-12.80% to 42.94%	4	17.39%	17.39%
42.94% to 98.68%	10	43.48%	60.87%
98.68% to 154.42%	6	26.09%	86.96%
154.42% to 210.16%	0	0.00%	86.96%
210.16% to 265.91%	1	4.35%	91.30%
265.91% to 321.65%	2	8.70%	100.00%
Greater than 321.65%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	24.36%	173.00%	86.96%	68.27%
±2σ	-49.96%	247.33%	91.30%	95.45%
±3σ	-124.28%	321.65%	100.00%	99.73%

Descriptive Statistics

Mean	98.682%
Standard Error	15.497%
Median	84.011%
Mode	32.387%
Standard Deviation	74.322%
Sample Variance	5523.826%
Kurtosis	2.94
Skewness	1.80
Range	282.173%
Minimum	32.387%
Maximum	314.560%
Count	23

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	98.682%	23	100.00%	98.682%
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 10.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -187.57%	0	0.00%	0.00%
-187.57% to -136.98%	0	0.00%	0.00%
-136.98% to -86.39%	0	0.00%	0.00%
-86.39% to -35.80%	2	8.70%	8.70%
-35.80% to 14.79%	12	52.17%	60.87%
14.79% to 65.38%	6	26.09%	86.96%
65.38% to 115.97%	2	8.70%	95.65%
115.97% to 166.56%	0	0.00%	95.65%
166.56% to 217.15%	0	0.00%	95.65%
Greater than 217.15%	1	4.35%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-52.67%	82.24%	86.96%	68.27%
±2σ	-120.12%	149.69%	95.65%	95.45%
±3σ	-187.57%	217.15%	95.65%	99.73%

Descriptive Statistics

Mean	14.787%
Standard Error	14.065%
Median	0.744%
Mode	-55.438%
Standard Deviation	67.454%
Sample Variance	4550.013%
Kurtosis	10.47
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	-25.890%	11	47.83%	-12.382%
Zero	0.000%	0	0.00%	0.000%

XPEV Deep Analytical Report