Finance

CHRS Move Probability $1.02 +0.01 (+0.5%)

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)
79.1%
Stock touched +5.0% ($1.07) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
34.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.32x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.0%
$0.82 — $1.22

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%.

-35.9% to -25.7%: 20 occurrences (3.9%) -30.8% -25.7% to -15.5%: 77 occurrences (15.2%) -15.5% to -5.4%: 121 occurrences (23.8%) -5.4% to +4.8%: 116 occurrences (22.8%) -0.3% +4.8% to +15.0%: 61 occurrences (12.0%) +15.0% to +25.1%: 48 occurrences (9.4%) +25.1% to +35.3%: 35 occurrences (6.9%) 30.2% +35.3% to +45.5%: 9 occurrences (1.8%) +45.5% to +55.6%: 9 occurrences (1.8%) +55.6% to +65.8%: 2 occurrences (0.4%) 60.7% +65.8% to +76.0%: 2 occurrences (0.4%) +76.0% to +86.1%: 2 occurrences (0.4%) +86.1% to +96.3%: 2 occurrences (0.4%) 91.2% +96.3% to +106.5%: 1 occurrences (0.2%) +106.5% to +116.6%: 0 occurrences (0.0%) +116.6% to +126.8%: 3 occurrences (0.6%) 121.7%
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) 79.1% 34.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.2% Adjusts normal bell curve for real-world skewness (0.55) and kurtosis (3.79).
Standard Normal (Black-Scholes / GBM) 80.7% 40.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 81.5% 41.9% Filters for historical windows that started with volatility similar to current 20-day HV (313 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 84.8%
  • Recent 20-Day HV: 62.8%
  • Parkinson Intraday Volatility: 73.2%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.1%
  • Top 10% Move (90th percentile): +29.4%
  • Bottom 10% Move (10th percentile): -19.9%
  • Max Historical Gain (14d): +126.8%
  • Max Historical Loss (14d): -35.9%