Finance

CADL Move Probability $8.35 -0.29 (-3.4%)

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)
71.3%
Stock touched +5.0% ($8.77) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
37.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.91x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.6%
$6.47 — $10.23

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%.

-50.6% to -38.8%: 6 occurrences (1.2%) -44.7% -38.8% to -26.9%: 15 occurrences (3.0%) -26.9% to -15.1%: 64 occurrences (12.6%) -15.1% to -3.2%: 137 occurrences (27.0%) -9.2% -3.2% to +8.6%: 132 occurrences (26.0%) +8.6% to +20.5%: 55 occurrences (10.8%) +20.5% to +32.3%: 54 occurrences (10.6%) 26.4% +32.3% to +44.2%: 25 occurrences (4.9%) +44.2% to +56.0%: 6 occurrences (1.2%) +56.0% to +67.9%: 4 occurrences (0.8%) 61.9% +67.9% to +79.7%: 2 occurrences (0.4%) +79.7% to +91.5%: 4 occurrences (0.8%) +91.5% to +103.4%: 2 occurrences (0.4%) 97.5% +103.4% to +115.2%: 1 occurrences (0.2%) +115.2% to +127.1%: 0 occurrences (0.0%) +127.1% to +138.9%: 1 occurrences (0.2%) 133.0%
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) 71.3% 37.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.7% Adjusts normal bell curve for real-world skewness (1.44) and kurtosis (17.68).
Standard Normal (Black-Scholes / GBM) 82.9% 41.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.3% 50.0% Filters for historical windows that started with volatility similar to current 20-day HV (202 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 95.7%
  • Recent 20-Day HV: 50.8%
  • Parkinson Intraday Volatility: 78.9%
  • Vol Trend: Compressed (-47% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +30.4%
  • Bottom 10% Move (10th percentile): -18.1%
  • Max Historical Gain (14d): +138.9%
  • Max Historical Loss (14d): -50.6%