Finance

CALY Move Probability $14.05 -0.10 (-0.7%)

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)
67.1%
Stock touched +5.0% ($14.75) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
31.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.10x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.3%
$12.18 — $15.92

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%.

-24.6% to -20.5%: 2 occurrences (0.4%) -22.5% -20.5% to -16.4%: 10 occurrences (2.0%) -16.4% to -12.3%: 29 occurrences (5.7%) -12.3% to -8.2%: 38 occurrences (7.5%) -10.2% -8.2% to -4.0%: 88 occurrences (17.3%) -4.0% to +0.1%: 94 occurrences (18.5%) +0.1% to +4.2%: 72 occurrences (14.2%) 2.1% +4.2% to +8.3%: 57 occurrences (11.2%) +8.3% to +12.4%: 39 occurrences (7.7%) +12.4% to +16.5%: 35 occurrences (6.9%) 14.4% +16.5% to +20.6%: 17 occurrences (3.3%) +20.6% to +24.7%: 11 occurrences (2.2%) +24.7% to +28.8%: 4 occurrences (0.8%) 26.8% +28.8% to +32.9%: 7 occurrences (1.4%) +32.9% to +37.0%: 3 occurrences (0.6%) +37.0% to +41.2%: 2 occurrences (0.4%) 39.1%
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) 67.1% 31.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.6% Adjusts normal bell curve for real-world skewness (-0.02) and kurtosis (4.6).
Standard Normal (Black-Scholes / GBM) 71.4% 35.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 37.8% 11.1% Filters for historical windows that started with volatility similar to current 20-day HV (45 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 56.5%
  • Recent 20-Day HV: 25.2%
  • Parkinson Intraday Volatility: 44.8%
  • Vol Trend: Compressed (-55% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +15.2%
  • Bottom 10% Move (10th percentile): -10.7%
  • Max Historical Gain (14d): +41.2%
  • Max Historical Loss (14d): -24.6%