Finance

CAT Move Probability $740.16 +14.43 (+2.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to CAT Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
58.9%
Stock touched +5.0% ($777.17) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
38.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.54x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.3%
$679.09 — $801.23

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%.

-19.0% to -16.5%: 3 occurrences (0.6%) -17.8% -16.5% to -13.9%: 8 occurrences (1.6%) -13.9% to -11.4%: 11 occurrences (2.2%) -11.4% to -8.9%: 22 occurrences (4.3%) -10.1% -8.9% to -6.3%: 36 occurrences (7.1%) -6.3% to -3.8%: 36 occurrences (7.1%) -3.8% to -1.2%: 56 occurrences (11.0%) -2.5% -1.2% to +1.3%: 65 occurrences (12.8%) +1.3% to +3.9%: 60 occurrences (11.8%) +3.9% to +6.4%: 43 occurrences (8.5%) 5.1% +6.4% to +9.0%: 51 occurrences (10.0%) +9.0% to +11.5%: 51 occurrences (10.0%) +11.5% to +14.1%: 32 occurrences (6.3%) 12.8% +14.1% to +16.6%: 19 occurrences (3.7%) +16.6% to +19.2%: 9 occurrences (1.8%) +19.2% to +21.7%: 6 occurrences (1.2%) 20.4%
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) 58.9% 38.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.6% Adjusts normal bell curve for real-world skewness (0.27) and kurtosis (3.15).
Standard Normal (Black-Scholes / GBM) 55.4% 27.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.2% 36.6% Filters for historical windows that started with volatility similar to current 20-day HV (328 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.0%
  • Recent 20-Day HV: 34.1%
  • Parkinson Intraday Volatility: 26.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +2.1%
  • Top 10% Move (90th percentile): +12.7%
  • Bottom 10% Move (10th percentile): -8.1%
  • Max Historical Gain (14d): +21.7%
  • Max Historical Loss (14d): -19.0%