Finance

CENN Move Probability $2.92 -0.25 (-7.8%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to CENN Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
57.6%
Stock touched +5.0% ($3.06) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
29.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.93x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.3%
$2.26 — $3.57

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-66.1% to -59.9%: 11 occurrences (2.2%) -63.0% -59.9% to -53.6%: 3 occurrences (0.6%) -53.6% to -47.4%: 1 occurrences (0.2%) -47.4% to -41.2%: 9 occurrences (1.8%) -44.3% -41.2% to -35.0%: 7 occurrences (1.4%) -35.0% to -28.8%: 14 occurrences (2.8%) -28.8% to -22.6%: 14 occurrences (2.8%) -25.7% -22.6% to -16.4%: 44 occurrences (8.7%) -16.4% to -10.1%: 90 occurrences (17.8%) -10.1% to -3.9%: 62 occurrences (12.2%) -7.0% -3.9% to +2.3%: 65 occurrences (12.8%) +2.3% to +8.5%: 82 occurrences (16.2%) +8.5% to +14.7%: 53 occurrences (10.5%) 11.6% +14.7% to +20.9%: 39 occurrences (7.7%) +20.9% to +27.1%: 8 occurrences (1.6%) +27.1% to +33.4%: 5 occurrences (1.0%) 30.2%
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) 57.6% 29.8% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.3% Adjusts normal bell curve for real-world skewness (-5.07) and kurtosis (70.45).
Standard Normal (Black-Scholes / GBM) 82.7% 41.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.3% 31.0% Filters for historical windows that started with volatility similar to current 20-day HV (271 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 94.7%
  • Recent 20-Day HV: 77.0%
  • Parkinson Intraday Volatility: 72.8%
  • Vol Trend: Compressed (-19% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.3%
  • Top 10% Move (90th percentile): +14.7%
  • Bottom 10% Move (10th percentile): -26.8%
  • Max Historical Gain (14d): +33.4%
  • Max Historical Loss (14d): -66.1%