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)
29.6%
Stock touched +5.0% ($6.16) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
17.7%
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%)
±15.1%
$4.99 — $6.75

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%.

-64.5% to -10.9%: 20 occurrences (3.8%) -37.7% -10.9% to +42.7%: 495 occurrences (95.0%) +42.7% to +96.2%: 3 occurrences (0.6%) +96.2% to +149.8%: 1 occurrences (0.2%) 123.0% +149.8% to +203.4%: 0 occurrences (0.0%) +203.4% to +257.0%: 0 occurrences (0.0%) +257.0% to +310.6%: 0 occurrences (0.0%) 283.8% +310.6% to +364.1%: 0 occurrences (0.0%) +364.1% to +417.7%: 1 occurrences (0.2%) +417.7% to +471.3%: 0 occurrences (0.0%) 444.5% +471.3% to +524.9%: 0 occurrences (0.0%) +524.9% to +578.5%: 0 occurrences (0.0%) +578.5% to +632.0%: 0 occurrences (0.0%) 605.3% +632.0% to +685.6%: 0 occurrences (0.0%) +685.6% to +739.2%: 0 occurrences (0.0%) +739.2% to +792.8%: 1 occurrences (0.2%) 766.0%
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) 29.6% 17.7% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (7.57) and kurtosis (109.54).
Standard Normal (Black-Scholes / GBM) 74.6% 37.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.7% 14.8% Filters for historical windows that started with volatility similar to current 20-day HV (324 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)

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +8.3%
  • Bottom 10% Move (10th percentile): -6.3%
  • Max Historical Gain (1d): +792.8%
  • Max Historical Loss (1d): -64.5%