Finance

CDT Move Probability $0.14 -0.01 (-8.5%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
59.4%
Stock touched +5.0% ($0.15) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
10.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
5.92x
You are 5.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±48.3%
$0.07 — $0.21

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%.

-92.5% to -82.3%: 15 occurrences (3.0%) -87.4% -82.3% to -72.1%: 12 occurrences (2.4%) -72.1% to -62.0%: 20 occurrences (3.9%) -62.0% to -51.8%: 38 occurrences (7.5%) -56.9% -51.8% to -41.6%: 43 occurrences (8.5%) -41.6% to -31.4%: 87 occurrences (17.1%) -31.4% to -21.2%: 92 occurrences (18.1%) -26.3% -21.2% to -11.1%: 79 occurrences (15.6%) -11.1% to -0.9%: 47 occurrences (9.3%) -0.9% to +9.3%: 45 occurrences (8.9%) 4.2% +9.3% to +19.5%: 15 occurrences (3.0%) +19.5% to +29.6%: 6 occurrences (1.2%) +29.6% to +39.8%: 5 occurrences (1.0%) 34.7% +39.8% to +50.0%: 2 occurrences (0.4%) +50.0% to +60.2%: 0 occurrences (0.0%) +60.2% to +70.3%: 2 occurrences (0.4%) 65.3%
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) 59.4% 10.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.0% Adjusts normal bell curve for real-world skewness (2.52) and kurtosis (30.18).
Standard Normal (Black-Scholes / GBM) 91.9% 46.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 204.8%
  • Recent 20-Day HV: 565.9%
  • Parkinson Intraday Volatility: 118.8%
  • Vol Trend: Expanded (+176% vs baseline)

14-Day Return Quantiles

  • Median Return: -27.1%
  • Top 10% Move (90th percentile): +4.3%
  • Bottom 10% Move (10th percentile): -59.9%
  • Max Historical Gain (14d): +70.3%
  • Max Historical Loss (14d): -92.5%