Finance

CEG Move Probability $270.63 +11.81 (+4.6%)

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)
11.9%
Stock touched +5.0% ($284.16) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
4.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.70x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.5%
$261.16 — $280.10

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-20.9% to -18.0%: 1 occurrences (0.2%) -19.4% -18.0% to -15.1%: 0 occurrences (0.0%) -15.1% to -12.2%: 1 occurrences (0.2%) -12.2% to -9.4%: 5 occurrences (1.0%) -10.8% -9.4% to -6.5%: 11 occurrences (2.1%) -6.5% to -3.6%: 34 occurrences (6.5%) -3.6% to -0.7%: 138 occurrences (26.5%) -2.2% -0.7% to +2.1%: 209 occurrences (40.1%) +2.1% to +5.0%: 99 occurrences (19.0%) +5.0% to +7.9%: 17 occurrences (3.3%) 6.4% +7.9% to +10.8%: 3 occurrences (0.6%) +10.8% to +13.6%: 1 occurrences (0.2%) +13.6% to +16.5%: 0 occurrences (0.0%) 15.1% +16.5% to +19.4%: 1 occurrences (0.2%) +19.4% to +22.2%: 0 occurrences (0.0%) +22.2% to +25.1%: 1 occurrences (0.2%) 23.7%
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) 11.9% 4.4% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.8% Adjusts normal bell curve for real-world skewness (-0.25) and kurtosis (7.82).
Standard Normal (Black-Scholes / GBM) 16.3% 8.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 13.0% 5.1% Filters for historical windows that started with volatility similar to current 20-day HV (316 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 55.6%
  • Recent 20-Day HV: 61.9%
  • Parkinson Intraday Volatility: 42.3%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +3.9%
  • Bottom 10% Move (10th percentile): -3.6%
  • Max Historical Gain (1d): +25.1%
  • Max Historical Loss (1d): -20.9%