Finance

CPSS Move Probability $8.94 -0.04 (-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 CPSS Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
45.1%
Stock touched +5.0% ($9.39) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
25.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.2%
$8.03 — $9.85

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%.

-25.2% to -22.3%: 1 occurrences (0.2%) -23.7% -22.3% to -19.4%: 6 occurrences (1.2%) -19.4% to -16.5%: 5 occurrences (1.0%) -16.5% to -13.6%: 12 occurrences (2.4%) -15.0% -13.6% to -10.7%: 20 occurrences (3.9%) -10.7% to -7.8%: 29 occurrences (5.7%) -7.8% to -4.9%: 51 occurrences (10.0%) -6.3% -4.9% to -2.0%: 69 occurrences (13.6%) -2.0% to +0.9%: 78 occurrences (15.4%) +0.9% to +3.8%: 82 occurrences (16.1%) 2.4% +3.8% to +6.7%: 66 occurrences (13.0%) +6.7% to +9.6%: 28 occurrences (5.5%) +9.6% to +12.5%: 27 occurrences (5.3%) 11.0% +12.5% to +15.4%: 12 occurrences (2.4%) +15.4% to +18.3%: 11 occurrences (2.2%) +18.3% to +21.2%: 11 occurrences (2.2%) 19.7%
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) 45.1% 25.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.9% Adjusts normal bell curve for real-world skewness (-0.07) and kurtosis (6.83).
Standard Normal (Black-Scholes / GBM) 63.2% 31.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 36.5% 18.6% Filters for historical windows that started with volatility similar to current 20-day HV (285 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.2%
  • Recent 20-Day HV: 37.3%
  • Parkinson Intraday Volatility: 14.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +10.6%
  • Bottom 10% Move (10th percentile): -9.6%
  • Max Historical Gain (14d): +21.2%
  • Max Historical Loss (14d): -25.2%