Finance

CCSI Move Probability $36.64 +0.80 (+2.2%)

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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Touch Probability (First Passage)
57.9%
Stock touched +5.0% ($38.47) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
35.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.62x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.8%
$32.31 — $40.97

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%.

-32.1% to -27.7%: 2 occurrences (0.4%) -29.9% -27.7% to -23.3%: 3 occurrences (0.6%) -23.3% to -18.8%: 19 occurrences (3.7%) -18.8% to -14.4%: 14 occurrences (2.8%) -16.6% -14.4% to -10.0%: 24 occurrences (4.7%) -10.0% to -5.6%: 60 occurrences (11.8%) -5.6% to -1.2%: 81 occurrences (15.9%) -3.4% -1.2% to +3.2%: 98 occurrences (19.3%) +3.2% to +7.7%: 68 occurrences (13.4%) +7.7% to +12.1%: 47 occurrences (9.3%) 9.9% +12.1% to +16.5%: 27 occurrences (5.3%) +16.5% to +20.9%: 25 occurrences (4.9%) +20.9% to +25.3%: 18 occurrences (3.5%) 23.1% +25.3% to +29.7%: 11 occurrences (2.2%) +29.7% to +34.2%: 7 occurrences (1.4%) +34.2% to +38.6%: 4 occurrences (0.8%) 36.4%
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) 57.9% 35.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.0% Adjusts normal bell curve for real-world skewness (0.12) and kurtosis (5.03).
Standard Normal (Black-Scholes / GBM) 68.0% 34.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.8% 34.3% Filters for historical windows that started with volatility similar to current 20-day HV (367 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.1%
  • Recent 20-Day HV: 43.2%
  • Parkinson Intraday Volatility: 33.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +18.7%
  • Bottom 10% Move (10th percentile): -10.9%
  • Max Historical Gain (14d): +38.6%
  • Max Historical Loss (14d): -32.1%