Finance

CHMI Move Probability $2.50 +0.00 (+0.0%)

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)
37.6%
Stock touched +5.0% ($2.62) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
22.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.65x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.9%
$2.30 — $2.70

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%.

-30.0% to -26.2%: 2 occurrences (0.4%) -28.1% -26.2% to -22.4%: 3 occurrences (0.6%) -22.4% to -18.6%: 8 occurrences (1.6%) -18.6% to -14.8%: 15 occurrences (3.0%) -16.7% -14.8% to -11.0%: 10 occurrences (2.0%) -11.0% to -7.2%: 15 occurrences (3.0%) -7.2% to -3.4%: 95 occurrences (18.7%) -5.3% -3.4% to +0.5%: 136 occurrences (26.8%) +0.5% to +4.3%: 98 occurrences (19.3%) +4.3% to +8.1%: 41 occurrences (8.1%) 6.2% +8.1% to +11.9%: 30 occurrences (5.9%) +11.9% to +15.7%: 25 occurrences (4.9%) +15.7% to +19.5%: 9 occurrences (1.8%) 17.6% +19.5% to +23.3%: 11 occurrences (2.2%) +23.3% to +27.1%: 2 occurrences (0.4%) +27.1% to +30.9%: 8 occurrences (1.6%) 29.0%
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) 37.6% 22.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.2% Adjusts normal bell curve for real-world skewness (-0.26) and kurtosis (10.2).
Standard Normal (Black-Scholes / GBM) 53.8% 26.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.5% 13.3% Filters for historical windows that started with volatility similar to current 20-day HV (98 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.6%
  • Recent 20-Day HV: 17.4%
  • Parkinson Intraday Volatility: 23.2%
  • Vol Trend: Compressed (-48% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +12.2%
  • Bottom 10% Move (10th percentile): -7.6%
  • Max Historical Gain (14d): +30.9%
  • Max Historical Loss (14d): -30.0%