Finance

CDNL Move Probability $16.48 -2.13 (-11.5%)

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)
41.0%
Stock touched +5.0% ($17.30) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
19.0%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.15x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.0%
$14.99 — $17.97

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 210 historical windows (2025-12-10 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-40.2% to -35.2%: 2 occurrences (1.0%) -37.7% -35.2% to -30.2%: 0 occurrences (0.0%) -30.2% to -25.3%: 0 occurrences (0.0%) -25.3% to -20.3%: 2 occurrences (1.0%) -22.8% -20.3% to -15.3%: 3 occurrences (1.4%) -15.3% to -10.4%: 9 occurrences (4.3%) -10.4% to -5.4%: 27 occurrences (12.9%) -7.9% -5.4% to -0.4%: 53 occurrences (25.2%) -0.4% to +4.5%: 69 occurrences (32.9%) +4.5% to +9.5%: 24 occurrences (11.4%) 7.0% +9.5% to +14.5%: 13 occurrences (6.2%) +14.5% to +19.5%: 4 occurrences (1.9%) +19.5% to +24.4%: 1 occurrences (0.5%) 21.9% +24.4% to +29.4%: 1 occurrences (0.5%) +29.4% to +34.4%: 1 occurrences (0.5%) +34.4% to +39.3%: 1 occurrences (0.5%) 36.8%
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) 41.0% 19.0% Model-free reality across 210 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.7% Adjusts normal bell curve for real-world skewness (-1.19) and kurtosis (11.51).
Standard Normal (Black-Scholes / GBM) 58.9% 29.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 40.8% 15.8% Filters for historical windows that started with volatility similar to current 20-day HV (120 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 101.5%
  • Recent 20-Day HV: 99.3%
  • Parkinson Intraday Volatility: 70.9%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +9.4%
  • Bottom 10% Move (10th percentile): -8.5%
  • Max Historical Gain (2d): +39.3%
  • Max Historical Loss (2d): -40.2%