Finance

COIN Move Probability $139.75 -3.53 (-2.5%)

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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Touch Probability (First Passage)
78.3%
Stock touched +3.5% ($144.64) at least once during 10 trading days.
Median first touch: Day 2 of 10
Expiration Close Probability
35.4%
Stock closed at or beyond +3.5% at the end of the 10-day window.
The Touch Multiple
2.22x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.4%
$118.18 — $161.31

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 512 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +3.5%.

-34.5% to -27.7%: 2 occurrences (0.4%) -31.1% -27.7% to -20.9%: 23 occurrences (4.5%) -20.9% to -14.1%: 44 occurrences (8.6%) -14.1% to -7.2%: 94 occurrences (18.4%) -10.6% -7.2% to -0.4%: 106 occurrences (20.7%) -0.4% to +6.4%: 83 occurrences (16.2%) +6.4% to +13.3%: 60 occurrences (11.7%) 9.8% +13.3% to +20.1%: 44 occurrences (8.6%) +20.1% to +26.9%: 28 occurrences (5.5%) +26.9% to +33.7%: 15 occurrences (2.9%) 30.3% +33.7% to +40.6%: 4 occurrences (0.8%) +40.6% to +47.4%: 3 occurrences (0.6%) +47.4% to +54.2%: 2 occurrences (0.4%) 50.8% +54.2% to +61.0%: 1 occurrences (0.2%) +61.0% to +67.9%: 2 occurrences (0.4%) +67.9% to +74.7%: 1 occurrences (0.2%) 71.3%
Historical returns Target move zone (+3.5%+) 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) 78.3% 35.4% Model-free reality across 512 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.8% Adjusts normal bell curve for real-world skewness (0.51) and kurtosis (3.46).
Standard Normal (Black-Scholes / GBM) 82.4% 41.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.3% 29.9% Filters for historical windows that started with volatility similar to current 20-day HV (365 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 77.5%
  • Recent 20-Day HV: 64.0%
  • Parkinson Intraday Volatility: 57.7%
  • Vol Trend: Compressed (-17% vs baseline)

10-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +20.6%
  • Bottom 10% Move (10th percentile): -15.8%
  • Max Historical Gain (10d): +74.7%
  • Max Historical Loss (10d): -34.5%