Finance

CHTR Move Probability $107.30 -2.73 (-2.5%)

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)
6.5%
Stock touched +5.0% ($112.67) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
2.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.83x
You are 2.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.0%
$104.03 — $110.57

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-25.5% to -23.2%: 1 occurrences (0.2%) -24.4% -23.2% to -20.9%: 0 occurrences (0.0%) -20.9% to -18.5%: 1 occurrences (0.2%) -18.5% to -16.2%: 0 occurrences (0.0%) -17.4% -16.2% to -13.9%: 0 occurrences (0.0%) -13.9% to -11.6%: 0 occurrences (0.0%) -11.6% to -9.2%: 0 occurrences (0.0%) -10.4% -9.2% to -6.9%: 6 occurrences (1.2%) -6.9% to -4.6%: 14 occurrences (2.7%) -4.6% to -2.2%: 64 occurrences (12.3%) -3.4% -2.2% to +0.1%: 193 occurrences (37.0%) +0.1% to +2.4%: 173 occurrences (33.2%) +2.4% to +4.7%: 53 occurrences (10.2%) 3.6% +4.7% to +7.1%: 9 occurrences (1.7%) +7.1% to +9.4%: 5 occurrences (1.0%) +9.4% to +11.7%: 2 occurrences (0.4%) 10.6%
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) 6.5% 2.3% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.3% Adjusts normal bell curve for real-world skewness (-2.16) and kurtosis (19.96).
Standard Normal (Black-Scholes / GBM) 10.9% 5.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 6.3% 3.2% Filters for historical windows that started with volatility similar to current 20-day HV (317 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 48.3%
  • Recent 20-Day HV: 39.5%
  • Parkinson Intraday Volatility: 37.2%
  • Vol Trend: Compressed (-18% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +2.7%
  • Bottom 10% Move (10th percentile): -3.4%
  • Max Historical Gain (1d): +11.7%
  • Max Historical Loss (1d): -25.5%