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.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
3.1%
Stock touched +5.0% ($777.17) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
2.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.33x
You are 1.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.2%
$723.84 — $756.48

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%.

-8.5% to -7.3%: 1 occurrences (0.2%) -7.9% -7.3% to -6.0%: 3 occurrences (0.6%) -6.0% to -4.7%: 3 occurrences (0.6%) -4.7% to -3.5%: 19 occurrences (3.6%) -4.1% -3.5% to -2.2%: 28 occurrences (5.4%) -2.2% to -0.9%: 78 occurrences (15.0%) -0.9% to +0.3%: 154 occurrences (29.6%) -0.3% +0.3% to +1.6%: 134 occurrences (25.7%) +1.6% to +2.9%: 55 occurrences (10.6%) +2.9% to +4.1%: 29 occurrences (5.6%) 3.5% +4.1% to +5.4%: 8 occurrences (1.5%) +5.4% to +6.7%: 4 occurrences (0.8%) +6.7% to +7.9%: 1 occurrences (0.2%) 7.3% +7.9% to +9.2%: 1 occurrences (0.2%) +9.2% to +10.4%: 2 occurrences (0.4%) +10.4% to +11.7%: 1 occurrences (0.2%) 11.1%
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) 3.1% 2.3% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.6% Adjusts normal bell curve for real-world skewness (0.27) and kurtosis (3.15).
Standard Normal (Black-Scholes / GBM) 2.7% 1.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.1% 2.9% Filters for historical windows that started with volatility similar to current 20-day HV (341 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

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.5%
  • Bottom 10% Move (10th percentile): -2.4%
  • Max Historical Gain (1d): +11.7%
  • Max Historical Loss (1d): -8.5%