Finance

COLD Move Probability $14.04 -0.05 (-0.4%)

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)
45.1%
Stock touched +5.0% ($14.74) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
20.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.20x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.3%
$12.74 — $15.34

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%.

-23.5% to -20.5%: 3 occurrences (0.6%) -22.0% -20.5% to -17.5%: 6 occurrences (1.2%) -17.5% to -14.5%: 13 occurrences (2.6%) -14.5% to -11.5%: 23 occurrences (4.5%) -13.0% -11.5% to -8.5%: 53 occurrences (10.4%) -8.5% to -5.6%: 58 occurrences (11.4%) -5.6% to -2.6%: 84 occurrences (16.5%) -4.1% -2.6% to +0.4%: 70 occurrences (13.8%) +0.4% to +3.4%: 69 occurrences (13.6%) +3.4% to +6.4%: 48 occurrences (9.4%) 4.9% +6.4% to +9.4%: 23 occurrences (4.5%) +9.4% to +12.4%: 18 occurrences (3.5%) +12.4% to +15.4%: 18 occurrences (3.5%) 13.9% +15.4% to +18.4%: 8 occurrences (1.6%) +18.4% to +21.3%: 8 occurrences (1.6%) +21.3% to +24.3%: 6 occurrences (1.2%) 22.8%
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) 45.1% 20.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.7% Adjusts normal bell curve for real-world skewness (0.98) and kurtosis (7.16).
Standard Normal (Black-Scholes / GBM) 59.9% 29.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.4% 12.7% Filters for historical windows that started with volatility similar to current 20-day HV (79 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 39.4%
  • Recent 20-Day HV: 21.1%
  • Parkinson Intraday Volatility: 32.1%
  • Vol Trend: Compressed (-46% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.0%
  • Top 10% Move (90th percentile): +10.3%
  • Bottom 10% Move (10th percentile): -11.0%
  • Max Historical Gain (14d): +24.3%
  • Max Historical Loss (14d): -23.5%