Finance

CAH Move Probability $257.65 +0.15 (+0.1%)

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)
1.0%
Stock touched +5.0% ($270.53) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.7%
$253.35 — $261.95

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-7.4% to -5.9%: 1 occurrences (0.2%) -6.6% -5.9% to -4.5%: 3 occurrences (0.6%) -4.5% to -3.1%: 8 occurrences (1.5%) -3.1% to -1.7%: 37 occurrences (7.1%) -2.4% -1.7% to -0.2%: 139 occurrences (26.7%) -0.2% to +1.2%: 226 occurrences (43.4%) +1.2% to +2.6%: 85 occurrences (16.3%) 1.9% +2.6% to +4.0%: 15 occurrences (2.9%) +4.0% to +5.5%: 4 occurrences (0.8%) +5.5% to +6.9%: 0 occurrences (0.0%) 6.2% +6.9% to +8.3%: 1 occurrences (0.2%) +8.3% to +9.7%: 0 occurrences (0.0%) +9.7% to +11.2%: 1 occurrences (0.2%) 10.5% +11.2% to +12.6%: 0 occurrences (0.0%) +12.6% to +14.0%: 0 occurrences (0.0%) +14.0% to +15.4%: 1 occurrences (0.2%) 14.7%
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) 1.0% 0.6% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (1.19) and kurtosis (12.69).
Standard Normal (Black-Scholes / GBM) 0.3% 0.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.1% 0.6% Filters for historical windows that started with volatility similar to current 20-day HV (359 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 26.5%
  • Recent 20-Day HV: 23.1%
  • Parkinson Intraday Volatility: 21.4%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +1.9%
  • Bottom 10% Move (10th percentile): -1.5%
  • Max Historical Gain (1d): +15.4%
  • Max Historical Loss (1d): -7.4%