Empirical Volatility Model

A normal curve returns a symmetric range because symmetry is the only shape it knows. Real returns are skewed and fat tailed, so the range here is built from the realized distribution of the asset itself: the confidence of each level is measured on its own history, and the upside and the downside are free to sit at different distances from the current price.

• Price ranges drawn from the empirical distribution of realized returns
• Skew and excess kurtosis preserved, so the maximum and the minimum are free to differ
• Confidence of the one, two and three standard deviation levels measured on the asset, not taken from the bell curve