Finance

CSX Move Probability $51.45 +3.13 (+6.5%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to CSX Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
42.4%
Stock touched +5.0% ($54.03) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
22.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.7%
$48.51 — $54.40

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-13.7% to -11.8%: 3 occurrences (0.6%) -12.7% -11.8% to -10.0%: 10 occurrences (2.0%) -10.0% to -8.2%: 14 occurrences (2.8%) -8.2% to -6.4%: 18 occurrences (3.5%) -7.3% -6.4% to -4.5%: 36 occurrences (7.1%) -4.5% to -2.7%: 44 occurrences (8.6%) -2.7% to -0.9%: 47 occurrences (9.2%) -1.8% -0.9% to +1.0%: 56 occurrences (11.0%) +1.0% to +2.8%: 75 occurrences (14.7%) +2.8% to +4.6%: 79 occurrences (15.5%) 3.7% +4.6% to +6.4%: 38 occurrences (7.5%) +6.4% to +8.3%: 34 occurrences (6.7%) +8.3% to +10.1%: 27 occurrences (5.3%) 9.2% +10.1% to +11.9%: 19 occurrences (3.7%) +11.9% to +13.8%: 7 occurrences (1.4%) +13.8% to +15.6%: 2 occurrences (0.4%) 14.7%
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) 42.4% 22.4% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.0% Adjusts normal bell curve for real-world skewness (0.38) and kurtosis (4.58).
Standard Normal (Black-Scholes / GBM) 39.4% 19.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 41.1% 22.1% Filters for historical windows that started with volatility similar to current 20-day HV (384 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.3%
  • Recent 20-Day HV: 26.0%
  • Parkinson Intraday Volatility: 20.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.6%
  • Top 10% Move (90th percentile): +8.4%
  • Bottom 10% Move (10th percentile): -6.0%
  • Max Historical Gain (14d): +15.6%
  • Max Historical Loss (14d): -13.7%