Finance

CNH Move Probability $11.86 +0.20 (+1.7%)

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)
53.0%
Stock touched +5.0% ($12.45) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
25.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.09x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.3%
$10.75 — $12.96

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-20.2% to -16.5%: 8 occurrences (1.6%) -18.3% -16.5% to -12.7%: 12 occurrences (2.4%) -12.7% to -9.0%: 31 occurrences (6.1%) -9.0% to -5.2%: 66 occurrences (13.0%) -7.1% -5.2% to -1.4%: 103 occurrences (20.3%) -1.4% to +2.3%: 100 occurrences (19.7%) +2.3% to +6.1%: 74 occurrences (14.6%) 4.2% +6.1% to +9.8%: 40 occurrences (7.9%) +9.8% to +13.6%: 26 occurrences (5.1%) +13.6% to +17.3%: 25 occurrences (4.9%) 15.4% +17.3% to +21.1%: 13 occurrences (2.6%) +21.1% to +24.8%: 5 occurrences (1.0%) +24.8% to +28.6%: 0 occurrences (0.0%) 26.7% +28.6% to +32.3%: 1 occurrences (0.2%) +32.3% to +36.1%: 3 occurrences (0.6%) +36.1% to +39.8%: 1 occurrences (0.2%) 37.9%
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) 53.0% 25.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.1% Adjusts normal bell curve for real-world skewness (0.36) and kurtosis (2.36).
Standard Normal (Black-Scholes / GBM) 59.9% 30.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.9% 21.2% Filters for historical windows that started with volatility similar to current 20-day HV (339 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 39.4%
  • Recent 20-Day HV: 43.1%
  • Parkinson Intraday Volatility: 32.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +13.1%
  • Bottom 10% Move (10th percentile): -8.9%
  • Max Historical Gain (14d): +39.8%
  • Max Historical Loss (14d): -20.2%