Finance

CAPR Move Probability $5.87 -0.74 (-11.1%)

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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Touch Probability (First Passage)
76.6%
Stock touched +5.0% ($6.16) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
37.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.06x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±56.4%
$2.56 — $9.18

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%.

-81.3% to +97.8%: 465 occurrences (91.5%) 8.2% +97.8% to +276.9%: 15 occurrences (3.0%) +276.9% to +456.0%: 12 occurrences (2.4%) +456.0% to +635.1%: 4 occurrences (0.8%) 545.5% +635.1% to +814.2%: 4 occurrences (0.8%) +814.2% to +993.3%: 0 occurrences (0.0%) +993.3% to +1172.4%: 0 occurrences (0.0%) 1082.8% +1172.4% to +1351.5%: 0 occurrences (0.0%) +1351.5% to +1530.6%: 0 occurrences (0.0%) +1530.6% to +1709.7%: 0 occurrences (0.0%) 1620.1% +1709.7% to +1888.8%: 3 occurrences (0.6%) +1888.8% to +2067.8%: 2 occurrences (0.4%) +2067.8% to +2246.9%: 1 occurrences (0.2%) 2157.4% +2246.9% to +2426.0%: 0 occurrences (0.0%) +2426.0% to +2605.1%: 0 occurrences (0.0%) +2605.1% to +2784.2%: 2 occurrences (0.4%) 2694.7%
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) 76.6% 37.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.3% Adjusts normal bell curve for real-world skewness (7.57) and kurtosis (109.54).
Standard Normal (Black-Scholes / GBM) 93.1% 46.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.4% 31.8% Filters for historical windows that started with volatility similar to current 20-day HV (311 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 239.2%
  • Recent 20-Day HV: 96.8%
  • Parkinson Intraday Volatility: 99.1%
  • Vol Trend: Compressed (-60% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.2%
  • Top 10% Move (90th percentile): +52.4%
  • Bottom 10% Move (10th percentile): -24.3%
  • Max Historical Gain (14d): +2784.2%
  • Max Historical Loss (14d): -81.3%