Finance

CCAP Move Probability $8.52 -0.10 (-1.2%)

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)
28.5%
Stock touched +5.0% ($8.94) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
13.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.13x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.9%
$8.01 — $9.02

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%.

-18.2% to -16.1%: 8 occurrences (1.6%) -17.2% -16.1% to -14.1%: 8 occurrences (1.6%) -14.1% to -12.1%: 6 occurrences (1.2%) -12.1% to -10.0%: 14 occurrences (2.8%) -11.0% -10.0% to -8.0%: 15 occurrences (3.0%) -8.0% to -5.9%: 45 occurrences (8.9%) -5.9% to -3.9%: 50 occurrences (9.8%) -4.9% -3.9% to -1.9%: 65 occurrences (12.8%) -1.9% to +0.2%: 82 occurrences (16.1%) +0.2% to +2.2%: 70 occurrences (13.8%) 1.2% +2.2% to +4.3%: 62 occurrences (12.2%) +4.3% to +6.3%: 35 occurrences (6.9%) +6.3% to +8.3%: 22 occurrences (4.3%) 7.3% +8.3% to +10.4%: 17 occurrences (3.3%) +10.4% to +12.4%: 6 occurrences (1.2%) +12.4% to +14.5%: 3 occurrences (0.6%) 13.4%
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) 28.5% 13.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.5% Adjusts normal bell curve for real-world skewness (-0.76) and kurtosis (4.5).
Standard Normal (Black-Scholes / GBM) 40.6% 20.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 31.4% 13.7% Filters for historical windows that started with volatility similar to current 20-day HV (255 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.9%
  • Recent 20-Day HV: 17.6%
  • Parkinson Intraday Volatility: 17.2%
  • Vol Trend: Compressed (-29% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +5.9%
  • Bottom 10% Move (10th percentile): -7.9%
  • Max Historical Gain (14d): +14.5%
  • Max Historical Loss (14d): -18.2%