Finance

CSTL Move Probability $34.39 +1.24 (+3.8%)

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)
66.9%
Stock touched +5.0% ($36.11) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
37.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.78x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.7%
$29.70 — $39.08

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%.

-29.1% to -24.1%: 11 occurrences (2.2%) -26.6% -24.1% to -19.0%: 41 occurrences (8.1%) -19.0% to -13.9%: 28 occurrences (5.5%) -13.9% to -8.9%: 40 occurrences (7.9%) -11.4% -8.9% to -3.8%: 51 occurrences (10.0%) -3.8% to +1.3%: 85 occurrences (16.7%) +1.3% to +6.3%: 86 occurrences (16.9%) 3.8% +6.3% to +11.4%: 54 occurrences (10.6%) +11.4% to +16.5%: 48 occurrences (9.4%) +16.5% to +21.5%: 26 occurrences (5.1%) 19.0% +21.5% to +26.6%: 15 occurrences (3.0%) +26.6% to +31.7%: 5 occurrences (1.0%) +31.7% to +36.7%: 4 occurrences (0.8%) 34.2% +36.7% to +41.8%: 6 occurrences (1.2%) +41.8% to +46.9%: 4 occurrences (0.8%) +46.9% to +51.9%: 4 occurrences (0.8%) 49.4%
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) 66.9% 37.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.0% Adjusts normal bell curve for real-world skewness (0.16) and kurtosis (12.51).
Standard Normal (Black-Scholes / GBM) 72.1% 36.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 66.0% 33.6% Filters for historical windows that started with volatility similar to current 20-day HV (321 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 57.9%
  • Recent 20-Day HV: 52.6%
  • Parkinson Intraday Volatility: 42.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +18.3%
  • Bottom 10% Move (10th percentile): -19.0%
  • Max Historical Gain (14d): +51.9%
  • Max Historical Loss (14d): -29.1%