Finance

CPIX Move Probability $8.30 +0.38 (+4.8%)

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)
80.3%
Stock touched +5.0% ($8.72) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
49.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.61x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±27.2%
$6.04 — $10.56

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%.

-54.3% to -39.7%: 16 occurrences (3.1%) -47.0% -39.7% to -25.2%: 21 occurrences (4.1%) -25.2% to -10.6%: 65 occurrences (12.8%) -10.6% to +3.9%: 142 occurrences (28.0%) -3.4% +3.9% to +18.4%: 139 occurrences (27.4%) +18.4% to +33.0%: 56 occurrences (11.0%) +33.0% to +47.5%: 23 occurrences (4.5%) 40.2% +47.5% to +62.1%: 10 occurrences (2.0%) +62.1% to +76.6%: 8 occurrences (1.6%) +76.6% to +91.1%: 10 occurrences (2.0%) 83.9% +91.1% to +105.7%: 8 occurrences (1.6%) +105.7% to +120.2%: 4 occurrences (0.8%) +120.2% to +134.7%: 2 occurrences (0.4%) 127.5% +134.7% to +149.3%: 2 occurrences (0.4%) +149.3% to +163.8%: 1 occurrences (0.2%) +163.8% to +178.4%: 1 occurrences (0.2%) 171.1%
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) 80.3% 49.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.5% Adjusts normal bell curve for real-world skewness (2.39) and kurtosis (21.29).
Standard Normal (Black-Scholes / GBM) 85.8% 42.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 82.2% 60.3% Filters for historical windows that started with volatility similar to current 20-day HV (287 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 115.5%
  • Recent 20-Day HV: 78.4%
  • Parkinson Intraday Volatility: 75.5%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +4.8%
  • Top 10% Move (90th percentile): +43.4%
  • Bottom 10% Move (10th percentile): -19.8%
  • Max Historical Gain (14d): +178.4%
  • Max Historical Loss (14d): -54.3%