Finance

CI Move Probability $304.43 -2.14 (-0.7%)

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)
45.3%
Stock touched +5.0% ($319.65) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
16.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.74x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.5%
$281.66 — $327.19

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%.

-20.4% to -18.2%: 2 occurrences (0.4%) -19.3% -18.2% to -16.0%: 6 occurrences (1.2%) -16.0% to -13.8%: 7 occurrences (1.4%) -13.8% to -11.6%: 9 occurrences (1.8%) -12.7% -11.6% to -9.4%: 19 occurrences (3.7%) -9.4% to -7.2%: 21 occurrences (4.1%) -7.2% to -5.0%: 33 occurrences (6.5%) -6.1% -5.0% to -2.8%: 44 occurrences (8.7%) -2.8% to -0.6%: 62 occurrences (12.2%) -0.6% to +1.6%: 78 occurrences (15.4%) 0.5% +1.6% to +3.7%: 103 occurrences (20.3%) +3.7% to +5.9%: 63 occurrences (12.4%) +5.9% to +8.1%: 35 occurrences (6.9%) 7.0% +8.1% to +10.3%: 15 occurrences (3.0%) +10.3% to +12.5%: 6 occurrences (1.2%) +12.5% to +14.7%: 5 occurrences (1.0%) 13.6%
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) 45.3% 16.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.1% Adjusts normal bell curve for real-world skewness (-1.98) and kurtosis (17.54).
Standard Normal (Black-Scholes / GBM) 51.4% 25.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 48.1% 13.2% Filters for historical windows that started with volatility similar to current 20-day HV (287 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.7%
  • Recent 20-Day HV: 22.2%
  • Parkinson Intraday Volatility: 23.6%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +6.4%
  • Bottom 10% Move (10th percentile): -8.6%
  • Max Historical Gain (14d): +14.7%
  • Max Historical Loss (14d): -20.4%