Finance

CMCSA Move Probability $22.07 -0.32 (-1.5%)

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)
33.9%
Stock touched +5.0% ($23.17) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
15.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.23x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.1%
$20.49 — $23.64

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%.

-21.1% to -18.7%: 1 occurrences (0.2%) -19.9% -18.7% to -16.3%: 3 occurrences (0.6%) -16.3% to -13.9%: 6 occurrences (1.2%) -13.9% to -11.5%: 12 occurrences (2.4%) -12.7% -11.5% to -9.0%: 22 occurrences (4.3%) -9.0% to -6.6%: 55 occurrences (10.8%) -6.6% to -4.2%: 70 occurrences (13.8%) -5.4% -4.2% to -1.8%: 64 occurrences (12.6%) -1.8% to +0.6%: 72 occurrences (14.2%) +0.6% to +3.0%: 77 occurrences (15.2%) 1.8% +3.0% to +5.4%: 53 occurrences (10.4%) +5.4% to +7.8%: 38 occurrences (7.5%) +7.8% to +10.3%: 19 occurrences (3.7%) 9.1% +10.3% to +12.7%: 9 occurrences (1.8%) +12.7% to +15.1%: 5 occurrences (1.0%) +15.1% to +17.5%: 2 occurrences (0.4%) 16.3%
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) 33.9% 15.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.5% Adjusts normal bell curve for real-world skewness (-1.43) and kurtosis (9.75).
Standard Normal (Black-Scholes / GBM) 49.4% 24.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 33.5% 14.7% 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: 30.2%
  • Recent 20-Day HV: 22.4%
  • Parkinson Intraday Volatility: 25.6%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +6.5%
  • Bottom 10% Move (10th percentile): -8.5%
  • Max Historical Gain (14d): +17.5%
  • Max Historical Loss (14d): -21.1%