Finance

CGEM Move Probability $14.88 +0.03 (+0.2%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
68.3%
Stock touched +5.0% ($15.62) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.07x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.3%
$12.46 — $17.30

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%.

-33.0% to -26.3%: 10 occurrences (2.0%) -29.7% -26.3% to -19.6%: 18 occurrences (3.5%) -19.6% to -12.9%: 72 occurrences (14.2%) -12.9% to -6.1%: 84 occurrences (16.5%) -9.5% -6.1% to +0.6%: 107 occurrences (21.1%) +0.6% to +7.3%: 76 occurrences (15.0%) +7.3% to +14.0%: 50 occurrences (9.8%) 10.6% +14.0% to +20.7%: 30 occurrences (5.9%) +20.7% to +27.4%: 18 occurrences (3.5%) +27.4% to +34.1%: 19 occurrences (3.7%) 30.8% +34.1% to +40.9%: 9 occurrences (1.8%) +40.9% to +47.6%: 11 occurrences (2.2%) +47.6% to +54.3%: 0 occurrences (0.0%) 50.9% +54.3% to +61.0%: 2 occurrences (0.4%) +61.0% to +67.7%: 1 occurrences (0.2%) +67.7% to +74.4%: 1 occurrences (0.2%) 71.1%
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) 68.3% 33.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.5% Adjusts normal bell curve for real-world skewness (0.58) and kurtosis (7.01).
Standard Normal (Black-Scholes / GBM) 76.4% 38.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.1% 34.6% Filters for historical windows that started with volatility similar to current 20-day HV (373 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 69.0%
  • Recent 20-Day HV: 75.9%
  • Parkinson Intraday Volatility: 57.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.7%
  • Top 10% Move (90th percentile): +24.4%
  • Bottom 10% Move (10th percentile): -16.6%
  • Max Historical Gain (14d): +74.4%
  • Max Historical Loss (14d): -33.0%