Finance

CSX Move Probability $51.64 +3.32 (+6.9%)

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)
1.3%
Stock touched +5.0% ($54.22) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.5%
$50.85 — $52.43

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-6.7% to -5.8%: 2 occurrences (0.4%) -6.3% -5.8% to -4.8%: 1 occurrences (0.2%) -4.8% to -3.9%: 0 occurrences (0.0%) -3.9% to -3.0%: 6 occurrences (1.1%) -3.4% -3.0% to -2.0%: 24 occurrences (4.6%) -2.0% to -1.1%: 54 occurrences (10.3%) -1.1% to -0.1%: 128 occurrences (24.5%) -0.6% -0.1% to +0.8%: 168 occurrences (32.2%) +0.8% to +1.7%: 91 occurrences (17.4%) +1.7% to +2.7%: 31 occurrences (5.9%) 2.2% +2.7% to +3.6%: 9 occurrences (1.7%) +3.6% to +4.6%: 1 occurrences (0.2%) +4.6% to +5.5%: 2 occurrences (0.4%) 5.0% +5.5% to +6.5%: 1 occurrences (0.2%) +6.5% to +7.4%: 3 occurrences (0.6%) +7.4% to +8.3%: 1 occurrences (0.2%) 7.9%
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) 1.3% 1.3% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 94.2% Adjusts normal bell curve for real-world skewness (0.38) and kurtosis (4.58).
Standard Normal (Black-Scholes / GBM) 0.1% 0.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.3% 1.3% Filters for historical windows that started with volatility similar to current 20-day HV (393 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

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.7%
  • Bottom 10% Move (10th percentile): -1.5%
  • Max Historical Gain (1d): +8.3%
  • Max Historical Loss (1d): -6.7%