Finance

CDRE Move Probability $27.57 +0.56 (+2.1%)

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)
60.0%
Stock touched +5.0% ($28.95) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
27.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.18x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.8%
$24.60 — $30.54

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%.

-31.6% to -28.2%: 6 occurrences (1.2%) -29.9% -28.2% to -24.8%: 5 occurrences (1.0%) -24.8% to -21.4%: 2 occurrences (0.4%) -21.4% to -18.0%: 2 occurrences (0.4%) -19.7% -18.0% to -14.6%: 9 occurrences (1.8%) -14.6% to -11.2%: 41 occurrences (8.1%) -11.2% to -7.8%: 52 occurrences (10.2%) -9.5% -7.8% to -4.3%: 65 occurrences (12.8%) -4.3% to -0.9%: 63 occurrences (12.4%) -0.9% to +2.5%: 72 occurrences (14.2%) 0.8% +2.5% to +5.9%: 60 occurrences (11.8%) +5.9% to +9.3%: 48 occurrences (9.4%) +9.3% to +12.7%: 39 occurrences (7.7%) 11.0% +12.7% to +16.1%: 23 occurrences (4.5%) +16.1% to +19.5%: 4 occurrences (0.8%) +19.5% to +22.9%: 17 occurrences (3.3%) 21.2%
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) 60.0% 27.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.5% Adjusts normal bell curve for real-world skewness (-0.26) and kurtosis (7.75).
Standard Normal (Black-Scholes / GBM) 65.0% 32.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.3% 23.8% Filters for historical windows that started with volatility similar to current 20-day HV (260 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.7%
  • Recent 20-Day HV: 28.6%
  • Parkinson Intraday Volatility: 30.9%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +11.9%
  • Bottom 10% Move (10th percentile): -11.8%
  • Max Historical Gain (14d): +22.9%
  • Max Historical Loss (14d): -31.6%