Finance

COTY Move Probability $3.06 -0.16 (-5.0%)

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

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Touch Probability (First Passage)
57.9%
Stock touched +5.0% ($3.21) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
18.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.09x
You are 3.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.0%
$2.69 — $3.42

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%.

-26.4% to -22.5%: 9 occurrences (1.8%) -24.5% -22.5% to -18.5%: 19 occurrences (3.7%) -18.5% to -14.5%: 39 occurrences (7.7%) -14.5% to -10.5%: 48 occurrences (9.4%) -12.5% -10.5% to -6.5%: 52 occurrences (10.2%) -6.5% to -2.5%: 87 occurrences (17.1%) -2.5% to +1.5%: 92 occurrences (18.1%) -0.5% +1.5% to +5.5%: 70 occurrences (13.8%) +5.5% to +9.5%: 39 occurrences (7.7%) +9.5% to +13.5%: 16 occurrences (3.1%) 11.5% +13.5% to +17.5%: 16 occurrences (3.1%) +17.5% to +21.4%: 9 occurrences (1.8%) +21.4% to +25.4%: 6 occurrences (1.2%) 23.4% +25.4% to +29.4%: 2 occurrences (0.4%) +29.4% to +33.4%: 2 occurrences (0.4%) +33.4% to +37.4%: 2 occurrences (0.4%) 35.4%
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) 57.9% 18.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.0% Adjusts normal bell curve for real-world skewness (-0.91) and kurtosis (7.9).
Standard Normal (Black-Scholes / GBM) 68.5% 34.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.5% 16.4% Filters for historical windows that started with volatility similar to current 20-day HV (318 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.1%
  • Recent 20-Day HV: 40.3%
  • Parkinson Intraday Volatility: 40.9%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.5%
  • Top 10% Move (90th percentile): +9.8%
  • Bottom 10% Move (10th percentile): -15.8%
  • Max Historical Gain (14d): +37.4%
  • Max Historical Loss (14d): -26.4%