Finance

CSCO Move Probability $107.27 +0.61 (+0.6%)

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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Touch Probability (First Passage)
49.8%
Stock touched +5.0% ($112.63) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
25.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.96x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.9%
$99.90 — $114.64

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%.

-12.3% to -9.3%: 8 occurrences (1.6%) -10.8% -9.3% to -6.2%: 21 occurrences (4.1%) -6.2% to -3.1%: 46 occurrences (9.1%) -3.1% to -0.0%: 105 occurrences (20.7%) -1.6% -0.0% to +3.1%: 134 occurrences (26.4%) +3.1% to +6.1%: 92 occurrences (18.1%) +6.1% to +9.2%: 52 occurrences (10.2%) 7.7% +9.2% to +12.3%: 25 occurrences (4.9%) +12.3% to +15.4%: 7 occurrences (1.4%) +15.4% to +18.4%: 4 occurrences (0.8%) 16.9% +18.4% to +21.5%: 0 occurrences (0.0%) +21.5% to +24.6%: 2 occurrences (0.4%) +24.6% to +27.7%: 3 occurrences (0.6%) 26.1% +27.7% to +30.8%: 7 occurrences (1.4%) +30.8% to +33.8%: 0 occurrences (0.0%) +33.8% to +36.9%: 2 occurrences (0.4%) 35.4%
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) 49.8% 25.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.2% Adjusts normal bell curve for real-world skewness (-0.34) and kurtosis (10.68).
Standard Normal (Black-Scholes / GBM) 47.8% 23.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.5% 35.0% Filters for historical windows that started with volatility similar to current 20-day HV (226 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 29.2%
  • Recent 20-Day HV: 31.4%
  • Parkinson Intraday Volatility: 22.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.8%
  • Top 10% Move (90th percentile): +9.0%
  • Bottom 10% Move (10th percentile): -4.4%
  • Max Historical Gain (14d): +36.9%
  • Max Historical Loss (14d): -12.3%