Finance

CABA Move Probability $1.53 -0.07 (-4.4%)

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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Touch Probability (First Passage)
76.8%
Stock touched +5.0% ($1.61) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
35.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.18x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.5%
$1.16 — $1.91

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%.

-52.6% to -44.9%: 4 occurrences (0.8%) -48.8% -44.9% to -37.2%: 10 occurrences (2.0%) -37.2% to -29.5%: 27 occurrences (5.3%) -29.5% to -21.8%: 32 occurrences (6.3%) -25.6% -21.8% to -14.1%: 47 occurrences (9.3%) -14.1% to -6.4%: 82 occurrences (16.1%) -6.4% to +1.4%: 92 occurrences (18.1%) -2.5% +1.4% to +9.1%: 59 occurrences (11.6%) +9.1% to +16.8%: 65 occurrences (12.8%) +16.8% to +24.5%: 37 occurrences (7.3%) 20.6% +24.5% to +32.2%: 15 occurrences (3.0%) +32.2% to +39.9%: 13 occurrences (2.6%) +39.9% to +47.6%: 8 occurrences (1.6%) 43.8% +47.6% to +55.3%: 8 occurrences (1.6%) +55.3% to +63.1%: 8 occurrences (1.6%) +63.1% to +70.8%: 1 occurrences (0.2%) 66.9%
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) 76.8% 35.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.8% Adjusts normal bell curve for real-world skewness (0.8) and kurtosis (5.46).
Standard Normal (Black-Scholes / GBM) 84.2% 42.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.7% 33.8% Filters for historical windows that started with volatility similar to current 20-day HV (269 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 103.8%
  • Recent 20-Day HV: 70.7%
  • Parkinson Intraday Volatility: 87.7%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.9%
  • Top 10% Move (90th percentile): +25.5%
  • Bottom 10% Move (10th percentile): -25.5%
  • Max Historical Gain (14d): +70.8%
  • Max Historical Loss (14d): -52.6%