Finance

CERT Move Probability $10.19 +0.41 (+4.2%)

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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Touch Probability (First Passage)
67.1%
Stock touched +5.0% ($10.70) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
34.8%
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%)
±13.7%
$8.79 — $11.59

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%.

-34.6% to -29.0%: 14 occurrences (2.8%) -31.8% -29.0% to -23.5%: 11 occurrences (2.2%) -23.5% to -18.0%: 18 occurrences (3.5%) -18.0% to -12.5%: 47 occurrences (9.3%) -15.3% -12.5% to -7.0%: 54 occurrences (10.6%) -7.0% to -1.5%: 82 occurrences (16.1%) -1.5% to +4.0%: 97 occurrences (19.1%) 1.3% +4.0% to +9.5%: 73 occurrences (14.4%) +9.5% to +15.0%: 42 occurrences (8.3%) +15.0% to +20.5%: 29 occurrences (5.7%) 17.8% +20.5% to +26.0%: 17 occurrences (3.3%) +26.0% to +31.6%: 7 occurrences (1.4%) +31.6% to +37.1%: 5 occurrences (1.0%) 34.3% +37.1% to +42.6%: 5 occurrences (1.0%) +42.6% to +48.1%: 5 occurrences (1.0%) +48.1% to +53.6%: 2 occurrences (0.4%) 50.8%
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) 67.1% 34.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.7% Adjusts normal bell curve for real-world skewness (-0.34) and kurtosis (9.0).
Standard Normal (Black-Scholes / GBM) 72.2% 36.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.4% 36.1% Filters for historical windows that started with volatility similar to current 20-day HV (332 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.3%
  • Recent 20-Day HV: 57.6%
  • Parkinson Intraday Volatility: 48.8%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +18.9%
  • Bottom 10% Move (10th percentile): -16.2%
  • Max Historical Gain (14d): +53.6%
  • Max Historical Loss (14d): -34.6%