Finance

C Move Probability $123.82 +1.30 (+1.1%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
56.9%
Stock touched +5.0% ($130.01) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
36.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.57x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.3%
$114.77 — $132.87

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-20.4% to -17.6%: 3 occurrences (0.6%) -19.0% -17.6% to -14.8%: 7 occurrences (1.4%) -14.8% to -12.0%: 5 occurrences (1.0%) -12.0% to -9.3%: 13 occurrences (2.6%) -10.7% -9.3% to -6.5%: 21 occurrences (4.1%) -6.5% to -3.7%: 45 occurrences (8.9%) -3.7% to -1.0%: 70 occurrences (13.8%) -2.3% -1.0% to +1.8%: 74 occurrences (14.6%) +1.8% to +4.6%: 74 occurrences (14.6%) +4.6% to +7.4%: 65 occurrences (12.8%) 6.0% +7.4% to +10.1%: 48 occurrences (9.4%) +10.1% to +12.9%: 48 occurrences (9.4%) +12.9% to +15.7%: 25 occurrences (4.9%) 14.3% +15.7% to +18.5%: 8 occurrences (1.6%) +18.5% to +21.2%: 0 occurrences (0.0%) +21.2% to +24.0%: 2 occurrences (0.4%) 22.6%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 56.9% 36.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.4% Adjusts normal bell curve for real-world skewness (-0.61) and kurtosis (5.56).
Standard Normal (Black-Scholes / GBM) 50.4% 25.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.1% 36.2% Filters for historical windows that started with volatility similar to current 20-day HV (403 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.0%
  • Recent 20-Day HV: 28.6%
  • Parkinson Intraday Volatility: 25.8%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +2.3%
  • Top 10% Move (90th percentile): +11.7%
  • Bottom 10% Move (10th percentile): -6.3%
  • Max Historical Gain (14d): +24.0%
  • Max Historical Loss (14d): -20.4%