Finance

CISO Move Probability $0.17 +0.00 (+1.8%)

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)
70.2%
Stock touched +5.0% ($0.18) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
33.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.11x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±29.6%
$0.12 — $0.23

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-70.0% to -54.6%: 16 occurrences (3.2%) -62.3% -54.6% to -39.1%: 20 occurrences (3.9%) -39.1% to -23.6%: 40 occurrences (7.9%) -23.6% to -8.1%: 138 occurrences (27.2%) -15.9% -8.1% to +7.3%: 135 occurrences (26.6%) +7.3% to +22.8%: 72 occurrences (14.2%) +22.8% to +38.3%: 32 occurrences (6.3%) 30.6% +38.3% to +53.8%: 28 occurrences (5.5%) +53.8% to +69.2%: 8 occurrences (1.6%) +69.2% to +84.7%: 4 occurrences (0.8%) 77.0% +84.7% to +100.2%: 1 occurrences (0.2%) +100.2% to +115.7%: 4 occurrences (0.8%) +115.7% to +131.1%: 3 occurrences (0.6%) 123.4% +131.1% to +146.6%: 1 occurrences (0.2%) +146.6% to +162.1%: 1 occurrences (0.2%) +162.1% to +177.6%: 4 occurrences (0.8%) 169.8%
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) 70.2% 33.3% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 38.9% Adjusts normal bell curve for real-world skewness (-0.34) and kurtosis (8.62).
Standard Normal (Black-Scholes / GBM) 86.9% 43.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.1% 32.9% Filters for historical windows that started with volatility similar to current 20-day HV (258 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 125.6%
  • Recent 20-Day HV: 75.5%
  • Parkinson Intraday Volatility: 91.7%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.4%
  • Top 10% Move (90th percentile): +39.5%
  • Bottom 10% Move (10th percentile): -29.0%
  • Max Historical Gain (14d): +177.6%
  • Max Historical Loss (14d): -70.0%