Finance

CNH Move Probability $11.90 +0.24 (+2.1%)

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)
19.5%
Stock touched +5.0% ($12.50) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
11.2%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
1.74x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.3%
$11.39 — $12.42

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-14.2% to -12.1%: 3 occurrences (0.6%) -13.1% -12.1% to -10.1%: 3 occurrences (0.6%) -10.1% to -8.0%: 6 occurrences (1.2%) -8.0% to -6.0%: 18 occurrences (3.5%) -7.0% -6.0% to -3.9%: 43 occurrences (8.3%) -3.9% to -1.9%: 93 occurrences (17.9%) -1.9% to +0.2%: 113 occurrences (21.8%) -0.9% +0.2% to +2.2%: 103 occurrences (19.8%) +2.2% to +4.3%: 66 occurrences (12.7%) +4.3% to +6.3%: 29 occurrences (5.6%) 5.3% +6.3% to +8.4%: 17 occurrences (3.3%) +8.4% to +10.4%: 13 occurrences (2.5%) +10.4% to +12.4%: 5 occurrences (1.0%) 11.4% +12.4% to +14.5%: 3 occurrences (0.6%) +14.5% to +16.5%: 1 occurrences (0.2%) +16.5% to +18.6%: 3 occurrences (0.6%) 17.6%
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) 19.5% 11.2% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.7% Adjusts normal bell curve for real-world skewness (0.36) and kurtosis (2.36).
Standard Normal (Black-Scholes / GBM) 25.6% 12.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.9% 12.6% Filters for historical windows that started with volatility similar to current 20-day HV (350 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

3-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +5.5%
  • Bottom 10% Move (10th percentile): -4.5%
  • Max Historical Gain (3d): +18.6%
  • Max Historical Loss (3d): -14.2%