Finance

CNR Move Probability $87.57 +0.28 (+0.3%)

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)
60.0%
Stock touched +5.0% ($91.95) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
31.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.93x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.1%
$77.86 — $97.28

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%.

-24.1% to -20.6%: 4 occurrences (0.8%) -22.4% -20.6% to -17.2%: 12 occurrences (2.4%) -17.2% to -13.8%: 28 occurrences (5.5%) -13.8% to -10.4%: 44 occurrences (8.7%) -12.1% -10.4% to -6.9%: 45 occurrences (8.9%) -6.9% to -3.5%: 65 occurrences (12.8%) -3.5% to -0.1%: 54 occurrences (10.6%) -1.8% -0.1% to +3.3%: 73 occurrences (14.4%) +3.3% to +6.8%: 52 occurrences (10.2%) +6.8% to +10.2%: 48 occurrences (9.4%) 8.5% +10.2% to +13.6%: 25 occurrences (4.9%) +13.6% to +17.1%: 25 occurrences (4.9%) +17.1% to +20.5%: 19 occurrences (3.7%) 18.8% +20.5% to +23.9%: 5 occurrences (1.0%) +23.9% to +27.3%: 4 occurrences (0.8%) +27.3% to +30.8%: 5 occurrences (1.0%) 29.0%
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) 60.0% 31.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.7% Adjusts normal bell curve for real-world skewness (0.2) and kurtosis (1.32).
Standard Normal (Black-Scholes / GBM) 66.0% 33.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.7% 34.7% Filters for historical windows that started with volatility similar to current 20-day HV (121 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.0%
  • Recent 20-Day HV: 27.8%
  • Parkinson Intraday Volatility: 37.5%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +14.0%
  • Bottom 10% Move (10th percentile): -12.8%
  • Max Historical Gain (14d): +30.8%
  • Max Historical Loss (14d): -24.1%