Finance

CEF Move Probability $38.90 -1.64 (-4.0%)

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)
51.9%
Stock touched +5.0% ($40.84) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
31.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.8%
$35.87 — $41.93

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-21.0% to -18.2%: 2 occurrences (0.4%) -19.6% -18.2% to -15.4%: 6 occurrences (1.2%) -15.4% to -12.6%: 7 occurrences (1.4%) -12.6% to -9.8%: 7 occurrences (1.4%) -11.2% -9.8% to -7.0%: 34 occurrences (6.7%) -7.0% to -4.3%: 45 occurrences (8.8%) -4.3% to -1.5%: 61 occurrences (12.0%) -2.9% -1.5% to +1.3%: 78 occurrences (15.3%) +1.3% to +4.1%: 81 occurrences (15.9%) +4.1% to +6.9%: 79 occurrences (15.5%) 5.5% +6.9% to +9.7%: 47 occurrences (9.2%) +9.7% to +12.5%: 37 occurrences (7.3%) +12.5% to +15.3%: 13 occurrences (2.6%) 13.9% +15.3% to +18.1%: 6 occurrences (1.2%) +18.1% to +20.9%: 2 occurrences (0.4%) +20.9% to +23.7%: 4 occurrences (0.8%) 22.3%
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) 51.9% 31.8% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.9% Adjusts normal bell curve for real-world skewness (-1.62) and kurtosis (10.66).
Standard Normal (Black-Scholes / GBM) 53.1% 26.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.8% 30.8% Filters for historical windows that started with volatility similar to current 20-day HV (247 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.0%
  • Recent 20-Day HV: 30.5%
  • Parkinson Intraday Volatility: 17.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.7%
  • Top 10% Move (90th percentile): +10.4%
  • Bottom 10% Move (10th percentile): -7.6%
  • Max Historical Gain (14d): +23.7%
  • Max Historical Loss (14d): -21.0%