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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
1.5%
Stock touched +5.0% ($319.65) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.67x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.0%
$298.34 — $310.51

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%.

-17.4% to -15.9%: 1 occurrences (0.2%) -16.7% -15.9% to -14.3%: 0 occurrences (0.0%) -14.3% to -12.8%: 0 occurrences (0.0%) -12.8% to -11.3%: 0 occurrences (0.0%) -12.0% -11.3% to -9.7%: 1 occurrences (0.2%) -9.7% to -8.2%: 0 occurrences (0.0%) -8.2% to -6.6%: 1 occurrences (0.2%) -7.4% -6.6% to -5.1%: 2 occurrences (0.4%) -5.1% to -3.5%: 9 occurrences (1.7%) -3.5% to -2.0%: 43 occurrences (8.3%) -2.8% -2.0% to -0.4%: 129 occurrences (24.8%) -0.4% to +1.1%: 208 occurrences (39.9%) +1.1% to +2.6%: 97 occurrences (18.6%) 1.9% +2.6% to +4.2%: 22 occurrences (4.2%) +4.2% to +5.7%: 5 occurrences (1.0%) +5.7% to +7.3%: 3 occurrences (0.6%) 6.5%
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) 1.5% 0.6% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.3% Adjusts normal bell curve for real-world skewness (-1.98) and kurtosis (17.54).
Standard Normal (Black-Scholes / GBM) 1.5% 0.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.7% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (300 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)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.1%
  • Bottom 10% Move (10th percentile): -2.0%
  • Max Historical Gain (1d): +7.3%
  • Max Historical Loss (1d): -17.4%