Finance

COST Move Probability $998.59 +4.26 (+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.

← Back to COST Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
31.9%
Stock touched +5.0% ($1048.52) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
15.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.9%
$949.86 — $1047.32

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%.

-14.6% to -12.8%: 6 occurrences (1.2%) -13.7% -12.8% to -10.9%: 5 occurrences (1.0%) -10.9% to -9.0%: 5 occurrences (1.0%) -9.0% to -7.2%: 7 occurrences (1.4%) -8.1% -7.2% to -5.3%: 22 occurrences (4.3%) -5.3% to -3.5%: 48 occurrences (9.4%) -3.5% to -1.6%: 82 occurrences (16.1%) -2.6% -1.6% to +0.2%: 81 occurrences (15.9%) +0.2% to +2.1%: 88 occurrences (17.3%) +2.1% to +3.9%: 58 occurrences (11.4%) 3.0% +3.9% to +5.8%: 42 occurrences (8.3%) +5.8% to +7.6%: 24 occurrences (4.7%) +7.6% to +9.5%: 17 occurrences (3.3%) 8.6% +9.5% to +11.4%: 13 occurrences (2.6%) +11.4% to +13.2%: 6 occurrences (1.2%) +13.2% to +15.1%: 4 occurrences (0.8%) 14.1%
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) 31.9% 15.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.4% Adjusts normal bell curve for real-world skewness (-0.28) and kurtosis (2.53).
Standard Normal (Black-Scholes / GBM) 31.7% 15.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 31.5% 17.1% Filters for historical windows that started with volatility similar to current 20-day HV (387 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 20.7%
  • Recent 20-Day HV: 17.2%
  • Parkinson Intraday Volatility: 17.8%
  • Vol Trend: Compressed (-17% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +6.3%
  • Bottom 10% Move (10th percentile): -5.3%
  • Max Historical Gain (14d): +15.1%
  • Max Historical Loss (14d): -14.6%