Finance

CBAT Move Probability $0.85 -0.02 (-1.8%)

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)
50.8%
Stock touched +5.0% ($0.89) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
26.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.91x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.6%
$0.72 — $0.98

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%.

-36.0% to -28.5%: 4 occurrences (0.8%) -32.2% -28.5% to -21.0%: 16 occurrences (3.1%) -21.0% to -13.5%: 55 occurrences (10.8%) -13.5% to -6.0%: 82 occurrences (16.1%) -9.7% -6.0% to +1.5%: 181 occurrences (35.6%) +1.5% to +9.0%: 52 occurrences (10.2%) +9.0% to +16.6%: 39 occurrences (7.7%) 12.8% +16.6% to +24.1%: 24 occurrences (4.7%) +24.1% to +31.6%: 24 occurrences (4.7%) +31.6% to +39.1%: 11 occurrences (2.2%) 35.3% +39.1% to +46.6%: 9 occurrences (1.8%) +46.6% to +54.1%: 5 occurrences (1.0%) +54.1% to +61.6%: 2 occurrences (0.4%) 57.9% +61.6% to +69.1%: 2 occurrences (0.4%) +69.1% to +76.6%: 1 occurrences (0.2%) +76.6% to +84.1%: 1 occurrences (0.2%) 80.4%
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) 50.8% 26.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.1% Adjusts normal bell curve for real-world skewness (0.81) and kurtosis (3.83).
Standard Normal (Black-Scholes / GBM) 75.5% 37.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.1% 36.2% Filters for historical windows that started with volatility similar to current 20-day HV (152 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 66.3%
  • Recent 20-Day HV: 107.4%
  • Parkinson Intraday Volatility: 41.5%
  • Vol Trend: Expanded (+62% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.8%
  • Top 10% Move (90th percentile): +25.2%
  • Bottom 10% Move (10th percentile): -16.7%
  • Max Historical Gain (14d): +84.1%
  • Max Historical Loss (14d): -36.0%