Finance

COYA Move Probability $4.13 -0.13 (-3.1%)

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 COYA Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
70.7%
Stock touched +5.0% ($4.34) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
32.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.16x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.3%
$3.46 — $4.80

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%.

-37.7% to -32.3%: 1 occurrences (0.2%) -35.0% -32.3% to -26.9%: 1 occurrences (0.2%) -26.9% to -21.4%: 20 occurrences (3.9%) -21.4% to -16.0%: 28 occurrences (5.5%) -18.7% -16.0% to -10.5%: 60 occurrences (11.8%) -10.5% to -5.1%: 75 occurrences (14.8%) -5.1% to +0.4%: 82 occurrences (16.1%) -2.4% +0.4% to +5.8%: 88 occurrences (17.3%) +5.8% to +11.2%: 71 occurrences (14.0%) +11.2% to +16.7%: 40 occurrences (7.9%) 14.0% +16.7% to +22.1%: 18 occurrences (3.5%) +22.1% to +27.6%: 13 occurrences (2.6%) +27.6% to +33.0%: 4 occurrences (0.8%) 30.3% +33.0% to +38.5%: 4 occurrences (0.8%) +38.5% to +43.9%: 0 occurrences (0.0%) +43.9% to +49.3%: 3 occurrences (0.6%) 46.6%
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% 32.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.8% Adjusts normal bell curve for real-world skewness (-0.41) and kurtosis (6.71).
Standard Normal (Black-Scholes / GBM) 76.5% 38.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.5% 37.7% Filters for historical windows that started with volatility similar to current 20-day HV (265 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 69.2%
  • Recent 20-Day HV: 46.7%
  • Parkinson Intraday Volatility: 45.7%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +15.1%
  • Bottom 10% Move (10th percentile): -15.7%
  • Max Historical Gain (14d): +49.3%
  • Max Historical Loss (14d): -37.7%