Finance

COMP Move Probability $9.72 +0.19 (+2.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to COMP Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
70.7%
Stock touched +5.0% ($10.21) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
42.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.65x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.8%
$8.28 — $11.16

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%.

-26.5% to -21.1%: 23 occurrences (4.5%) -23.8% -21.1% to -15.8%: 42 occurrences (8.3%) -15.8% to -10.5%: 53 occurrences (10.4%) -10.5% to -5.2%: 48 occurrences (9.4%) -7.9% -5.2% to +0.1%: 60 occurrences (11.8%) +0.1% to +5.4%: 69 occurrences (13.6%) +5.4% to +10.8%: 67 occurrences (13.2%) 8.1% +10.8% to +16.1%: 54 occurrences (10.6%) +16.1% to +21.4%: 47 occurrences (9.3%) +21.4% to +26.7%: 23 occurrences (4.5%) 24.0% +26.7% to +32.0%: 10 occurrences (2.0%) +32.0% to +37.3%: 3 occurrences (0.6%) +37.3% to +42.6%: 3 occurrences (0.6%) 40.0% +42.6% to +48.0%: 1 occurrences (0.2%) +48.0% to +53.3%: 3 occurrences (0.6%) +53.3% to +58.6%: 2 occurrences (0.4%) 55.9%
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) 70.7% 42.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.6% Adjusts normal bell curve for real-world skewness (0.59) and kurtosis (7.93).
Standard Normal (Black-Scholes / GBM) 74.1% 37.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.6% 45.0% Filters for historical windows that started with volatility similar to current 20-day HV (380 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.6%
  • Recent 20-Day HV: 55.2%
  • Parkinson Intraday Volatility: 49.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +2.2%
  • Top 10% Move (90th percentile): +20.5%
  • Bottom 10% Move (10th percentile): -16.9%
  • Max Historical Gain (14d): +58.6%
  • Max Historical Loss (14d): -26.5%