Finance

CSAI Move Probability $2.19 -0.32 (-12.7%)

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)
67.4%
Stock touched +5.0% ($2.30) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
12.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
5.34x
You are 5.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±43.2%
$1.24 — $3.14

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 420 historical windows (2025-01-30 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-84.0% to -75.1%: 1 occurrences (0.2%) -79.5% -75.1% to -66.3%: 2 occurrences (0.5%) -66.3% to -57.5%: 5 occurrences (1.2%) -57.5% to -48.6%: 9 occurrences (2.1%) -53.0% -48.6% to -39.8%: 10 occurrences (2.4%) -39.8% to -31.0%: 40 occurrences (9.5%) -31.0% to -22.1%: 61 occurrences (14.5%) -26.6% -22.1% to -13.3%: 71 occurrences (16.9%) -13.3% to -4.5%: 91 occurrences (21.7%) -4.5% to +4.4%: 75 occurrences (17.9%) -0.1% +4.4% to +13.2%: 30 occurrences (7.1%) +13.2% to +22.0%: 10 occurrences (2.4%) +22.0% to +30.8%: 8 occurrences (1.9%) 26.4% +30.8% to +39.7%: 4 occurrences (1.0%) +39.7% to +48.5%: 2 occurrences (0.5%) +48.5% to +57.3%: 1 occurrences (0.2%) 52.9%
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) 67.4% 12.6% Model-free reality across 420 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.1% Adjusts normal bell curve for real-world skewness (0.15) and kurtosis (17.39).
Standard Normal (Black-Scholes / GBM) 91.0% 45.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.7% 14.5% Filters for historical windows that started with volatility similar to current 20-day HV (249 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 183.4%
  • Recent 20-Day HV: 138.3%
  • Parkinson Intraday Volatility: 125.6%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: -11.9%
  • Top 10% Move (90th percentile): +7.3%
  • Bottom 10% Move (10th percentile): -35.4%
  • Max Historical Gain (14d): +57.3%
  • Max Historical Loss (14d): -84.0%