Finance

COLL Move Probability $22.90 -0.35 (-1.5%)

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)
47.0%
Stock touched +5.0% ($24.04) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
23.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.03x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.8%
$20.66 — $25.14

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%.

-27.9% to -24.1%: 2 occurrences (0.4%) -26.0% -24.1% to -20.3%: 15 occurrences (3.0%) -20.3% to -16.4%: 16 occurrences (3.1%) -16.4% to -12.6%: 24 occurrences (4.7%) -14.5% -12.6% to -8.8%: 40 occurrences (7.9%) -8.8% to -5.0%: 76 occurrences (15.0%) -5.0% to -1.2%: 72 occurrences (14.2%) -3.1% -1.2% to +2.6%: 102 occurrences (20.1%) +2.6% to +6.4%: 65 occurrences (12.8%) +6.4% to +10.2%: 44 occurrences (8.7%) 8.3% +10.2% to +14.0%: 17 occurrences (3.3%) +14.0% to +17.9%: 12 occurrences (2.4%) +17.9% to +21.7%: 4 occurrences (0.8%) 19.8% +21.7% to +25.5%: 7 occurrences (1.4%) +25.5% to +29.3%: 6 occurrences (1.2%) +29.3% to +33.1%: 6 occurrences (1.2%) 31.2%
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) 47.0% 23.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.4% Adjusts normal bell curve for real-world skewness (-0.39) and kurtosis (9.36).
Standard Normal (Black-Scholes / GBM) 61.8% 30.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 48.3% 35.8% Filters for historical windows that started with volatility similar to current 20-day HV (176 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.5%
  • Recent 20-Day HV: 24.8%
  • Parkinson Intraday Volatility: 31.8%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.9%
  • Top 10% Move (90th percentile): +10.5%
  • Bottom 10% Move (10th percentile): -13.0%
  • Max Historical Gain (14d): +33.1%
  • Max Historical Loss (14d): -27.9%