Finance

CCI Move Probability $86.58 +7.39 (+9.3%)

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)
31.4%
Stock touched +5.0% ($90.91) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
12.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.42x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.2%
$80.38 — $92.78

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-17.7% to -14.9%: 4 occurrences (0.8%) -16.3% -14.9% to -12.0%: 11 occurrences (2.2%) -12.0% to -9.2%: 22 occurrences (4.3%) -9.2% to -6.3%: 46 occurrences (9.0%) -7.7% -6.3% to -3.4%: 71 occurrences (13.9%) -3.4% to -0.6%: 104 occurrences (20.4%) -0.6% to +2.3%: 102 occurrences (20.0%) 0.9% +2.3% to +5.2%: 87 occurrences (17.1%) +5.2% to +8.0%: 25 occurrences (4.9%) +8.0% to +10.9%: 14 occurrences (2.7%) 9.5% +10.9% to +13.8%: 15 occurrences (2.9%) +13.8% to +16.6%: 1 occurrences (0.2%) +16.6% to +19.5%: 4 occurrences (0.8%) 18.1% +19.5% to +22.3%: 2 occurrences (0.4%) +22.3% to +25.2%: 1 occurrences (0.2%) +25.2% to +28.1%: 1 occurrences (0.2%) 26.6%
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) 31.4% 12.9% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.1% Adjusts normal bell curve for real-world skewness (0.89) and kurtosis (8.81).
Standard Normal (Black-Scholes / GBM) 49.6% 24.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 44.2% 18.6% Filters for historical windows that started with volatility similar to current 20-day HV (43 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.4%
  • Recent 20-Day HV: 62.5%
  • Parkinson Intraday Volatility: 23.9%
  • Vol Trend: Expanded (+105% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +6.4%
  • Bottom 10% Move (10th percentile): -8.1%
  • Max Historical Gain (14d): +28.1%
  • Max Historical Loss (14d): -17.7%