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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
4.8%
Stock touched +5.0% ($112.63) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
3.3%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.47x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.6%
$104.48 — $110.06

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-12.9% to -11.1%: 2 occurrences (0.4%) -12.0% -11.1% to -9.2%: 2 occurrences (0.4%) -9.2% to -7.4%: 0 occurrences (0.0%) -7.4% to -5.6%: 6 occurrences (1.2%) -6.5% -5.6% to -3.8%: 14 occurrences (2.7%) -3.8% to -1.9%: 40 occurrences (7.7%) -1.9% to -0.1%: 133 occurrences (25.6%) -1.0% -0.1% to +1.7%: 206 occurrences (39.6%) +1.7% to +3.5%: 77 occurrences (14.8%) +3.5% to +5.4%: 27 occurrences (5.2%) 4.5% +5.4% to +7.2%: 10 occurrences (1.9%) +7.2% to +9.0%: 1 occurrences (0.2%) +9.0% to +10.9%: 0 occurrences (0.0%) 9.9% +10.9% to +12.7%: 0 occurrences (0.0%) +12.7% to +14.5%: 0 occurrences (0.0%) +14.5% to +16.3%: 2 occurrences (0.4%) 15.4%
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) 4.8% 3.3% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.6% Adjusts normal bell curve for real-world skewness (-0.34) and kurtosis (10.68).
Standard Normal (Black-Scholes / GBM) 6.0% 3.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 8.4% 5.9% Filters for historical windows that started with volatility similar to current 20-day HV (238 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

2-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +2.8%
  • Bottom 10% Move (10th percentile): -2.3%
  • Max Historical Gain (2d): +16.3%
  • Max Historical Loss (2d): -12.9%