Finance

CCII Move Probability $10.30 +0.01 (+0.1%)

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)
0.0%
Stock touched +5.0% ($10.82) at least once during 14 trading days.
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±0.5%
$10.24 — $10.36

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 272 historical windows (2025-09-03 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-1.4% to -1.1%: 7 occurrences (2.6%) -1.3% -1.1% to -0.9%: 0 occurrences (0.0%) -0.9% to -0.6%: 15 occurrences (5.5%) -0.6% to -0.4%: 11 occurrences (4.0%) -0.5% -0.4% to -0.1%: 60 occurrences (22.1%) -0.1% to +0.2%: 84 occurrences (30.9%) +0.2% to +0.4%: 48 occurrences (17.6%) 0.3% +0.4% to +0.7%: 11 occurrences (4.0%) +0.7% to +0.9%: 17 occurrences (6.2%) +0.9% to +1.2%: 6 occurrences (2.2%) 1.1% +1.2% to +1.5%: 2 occurrences (0.7%) +1.5% to +1.7%: 0 occurrences (0.0%) +1.7% to +2.0%: 6 occurrences (2.2%) 1.9% +2.0% to +2.2%: 4 occurrences (1.5%) +2.2% to +2.5%: 0 occurrences (0.0%) +2.5% to +2.8%: 1 occurrences (0.4%) 2.6%
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) 0.0% 0.0% Model-free reality across 272 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (0.55) and kurtosis (18.43).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (74 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 2.3%
  • Recent 20-Day HV: 1.0%
  • Parkinson Intraday Volatility: 0.5%
  • Vol Trend: Compressed (-56% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +0.8%
  • Bottom 10% Move (10th percentile): -0.5%
  • Max Historical Gain (14d): +2.8%
  • Max Historical Loss (14d): -1.4%