Finance

CAI Move Probability $32.34 +1.21 (+3.9%)

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)
67.6%
Stock touched +5.0% ($33.96) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
35.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.4%
$27.35 — $37.34

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 324 historical windows (2025-06-18 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-27.0% to -20.9%: 15 occurrences (4.6%) -23.9% -20.9% to -14.9%: 31 occurrences (9.6%) -14.9% to -8.8%: 38 occurrences (11.7%) -8.8% to -2.8%: 62 occurrences (19.1%) -5.8% -2.8% to +3.2%: 51 occurrences (15.7%) +3.2% to +9.3%: 44 occurrences (13.6%) +9.3% to +15.3%: 28 occurrences (8.6%) 12.3% +15.3% to +21.3%: 20 occurrences (6.2%) +21.3% to +27.4%: 9 occurrences (2.8%) +27.4% to +33.4%: 8 occurrences (2.5%) 30.4% +33.4% to +39.5%: 7 occurrences (2.2%) +39.5% to +45.5%: 4 occurrences (1.2%) +45.5% to +51.5%: 3 occurrences (0.9%) 48.5% +51.5% to +57.6%: 1 occurrences (0.3%) +57.6% to +63.6%: 2 occurrences (0.6%) +63.6% to +69.6%: 1 occurrences (0.3%) 66.6%
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) 67.6% 35.8% Model-free reality across 324 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.7% Adjusts normal bell curve for real-world skewness (-0.21) and kurtosis (3.62).
Standard Normal (Black-Scholes / GBM) 75.2% 37.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 64.8% 32.2% Filters for historical windows that started with volatility similar to current 20-day HV (236 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 65.5%
  • Recent 20-Day HV: 68.2%
  • Parkinson Intraday Volatility: 56.1%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.9%
  • Top 10% Move (90th percentile): +25.3%
  • Bottom 10% Move (10th percentile): -17.3%
  • Max Historical Gain (14d): +69.6%
  • Max Historical Loss (14d): -27.0%