Finance

CCOI Move Probability $7.45 -0.26 (-3.4%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to CCOI Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
60.4%
Stock touched +5.0% ($7.82) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
28.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.16x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.2%
$6.09 — $8.81

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%.

-61.1% to -54.5%: 8 occurrences (1.6%) -57.8% -54.5% to -47.8%: 4 occurrences (0.8%) -47.8% to -41.1%: 2 occurrences (0.4%) -41.1% to -34.4%: 3 occurrences (0.6%) -37.7% -34.4% to -27.7%: 17 occurrences (3.3%) -27.7% to -21.0%: 30 occurrences (5.9%) -21.0% to -14.3%: 48 occurrences (9.4%) -17.6% -14.3% to -7.6%: 70 occurrences (13.8%) -7.6% to -0.9%: 95 occurrences (18.7%) -0.9% to +5.8%: 99 occurrences (19.5%) 2.4% +5.8% to +12.5%: 89 occurrences (17.5%) +12.5% to +19.2%: 20 occurrences (3.9%) +19.2% to +25.9%: 9 occurrences (1.8%) 22.5% +25.9% to +32.5%: 8 occurrences (1.6%) +32.5% to +39.2%: 3 occurrences (0.6%) +39.2% to +45.9%: 3 occurrences (0.6%) 42.6%
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) 60.4% 28.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 42.0% Adjusts normal bell curve for real-world skewness (-2.81) and kurtosis (20.06).
Standard Normal (Black-Scholes / GBM) 78.9% 39.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.1% 32.9% Filters for historical windows that started with volatility similar to current 20-day HV (149 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 77.3%
  • Recent 20-Day HV: 87.0%
  • Parkinson Intraday Volatility: 56.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.9%
  • Top 10% Move (90th percentile): +12.0%
  • Bottom 10% Move (10th percentile): -23.2%
  • Max Historical Gain (14d): +45.9%
  • Max Historical Loss (14d): -61.1%