Finance

CNNE Move Probability $16.11 -0.04 (-0.2%)

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)
44.5%
Stock touched +5.0% ($16.92) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
23.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.5%
$14.90 — $17.33

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%.

-18.6% to -16.1%: 12 occurrences (2.4%) -17.4% -16.1% to -13.6%: 17 occurrences (3.3%) -13.6% to -11.0%: 16 occurrences (3.1%) -11.0% to -8.5%: 24 occurrences (4.7%) -9.8% -8.5% to -6.0%: 33 occurrences (6.5%) -6.0% to -3.4%: 38 occurrences (7.5%) -3.4% to -0.9%: 56 occurrences (11.0%) -2.1% -0.9% to +1.7%: 78 occurrences (15.4%) +1.7% to +4.2%: 93 occurrences (18.3%) +4.2% to +6.7%: 62 occurrences (12.2%) 5.5% +6.7% to +9.3%: 41 occurrences (8.1%) +9.3% to +11.8%: 21 occurrences (4.1%) +11.8% to +14.3%: 6 occurrences (1.2%) 13.1% +14.3% to +16.9%: 6 occurrences (1.2%) +16.9% to +19.4%: 3 occurrences (0.6%) +19.4% to +22.0%: 2 occurrences (0.4%) 20.7%
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) 44.5% 23.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.8% Adjusts normal bell curve for real-world skewness (-0.71) and kurtosis (4.92).
Standard Normal (Black-Scholes / GBM) 51.7% 25.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 28.3% 11.5% Filters for historical windows that started with volatility similar to current 20-day HV (269 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.9%
  • Recent 20-Day HV: 21.8%
  • Parkinson Intraday Volatility: 25.8%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +7.8%
  • Bottom 10% Move (10th percentile): -10.0%
  • Max Historical Gain (14d): +22.0%
  • Max Historical Loss (14d): -18.6%