Finance

CPT Move Probability $100.24 +0.47 (+0.5%)

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)
24.2%
Stock touched +5.0% ($105.25) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
10.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.32x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.9%
$95.32 — $105.16

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%.

-10.9% to -9.5%: 8 occurrences (1.6%) -10.2% -9.5% to -8.0%: 9 occurrences (1.8%) -8.0% to -6.6%: 20 occurrences (3.9%) -6.6% to -5.2%: 26 occurrences (5.1%) -5.9% -5.2% to -3.7%: 39 occurrences (7.7%) -3.7% to -2.3%: 67 occurrences (13.2%) -2.3% to -0.8%: 67 occurrences (13.2%) -1.6% -0.8% to +0.6%: 59 occurrences (11.6%) +0.6% to +2.0%: 59 occurrences (11.6%) +2.0% to +3.5%: 58 occurrences (11.4%) 2.7% +3.5% to +4.9%: 41 occurrences (8.1%) +4.9% to +6.3%: 23 occurrences (4.5%) +6.3% to +7.8%: 20 occurrences (3.9%) 7.1% +7.8% to +9.2%: 8 occurrences (1.6%) +9.2% to +10.6%: 3 occurrences (0.6%) +10.6% to +12.1%: 1 occurrences (0.2%) 11.4%
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) 24.2% 10.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.0% Adjusts normal bell curve for real-world skewness (-0.2) and kurtosis (2.22).
Standard Normal (Black-Scholes / GBM) 32.0% 16.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 22.2% 8.9% Filters for historical windows that started with volatility similar to current 20-day HV (180 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 20.8%
  • Recent 20-Day HV: 14.1%
  • Parkinson Intraday Volatility: 17.2%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +5.0%
  • Bottom 10% Move (10th percentile): -5.8%
  • Max Historical Gain (14d): +12.1%
  • Max Historical Loss (14d): -10.9%