Finance

COP Move Probability $145.69 -0.25 (-0.2%)

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)
1.7%
Stock touched +5.0% ($152.97) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
3.00x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.0%
$142.72 — $148.66

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-10.2% to -8.9%: 3 occurrences (0.6%) -9.6% -8.9% to -7.6%: 0 occurrences (0.0%) -7.6% to -6.3%: 1 occurrences (0.2%) -6.3% to -5.0%: 2 occurrences (0.4%) -5.6% -5.0% to -3.7%: 12 occurrences (2.3%) -3.7% to -2.4%: 29 occurrences (5.6%) -2.4% to -1.1%: 86 occurrences (16.5%) -1.7% -1.1% to +0.2%: 140 occurrences (26.9%) +0.2% to +1.5%: 142 occurrences (27.3%) +1.5% to +2.8%: 76 occurrences (14.6%) 2.2% +2.8% to +4.2%: 22 occurrences (4.2%) +4.2% to +5.5%: 6 occurrences (1.2%) +5.5% to +6.8%: 1 occurrences (0.2%) 6.1% +6.8% to +8.1%: 0 occurrences (0.0%) +8.1% to +9.4%: 0 occurrences (0.0%) +9.4% to +10.7%: 1 occurrences (0.2%) 10.0%
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) 1.7% 0.6% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.5% Adjusts normal bell curve for real-world skewness (-0.61) and kurtosis (3.97).
Standard Normal (Black-Scholes / GBM) 1.7% 0.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.7% 0.4% Filters for historical windows that started with volatility similar to current 20-day HV (270 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 32.4%
  • Recent 20-Day HV: 22.2%
  • Parkinson Intraday Volatility: 24.7%
  • Vol Trend: Compressed (-31% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.4%
  • Bottom 10% Move (10th percentile): -2.3%
  • Max Historical Gain (1d): +10.7%
  • Max Historical Loss (1d): -10.2%