Finance

CTEV Move Probability $22.83 +0.45 (+2.0%)

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)
75.8%
Stock touched +5.0% ($23.97) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
47.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±48.2%
$11.82 — $33.84

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%.

-47.9% to +105.2%: 478 occurrences (94.1%) 28.6% +105.2% to +258.2%: 16 occurrences (3.1%) +258.2% to +411.3%: 0 occurrences (0.0%) +411.3% to +564.4%: 0 occurrences (0.0%) 487.8% +564.4% to +717.4%: 0 occurrences (0.0%) +717.4% to +870.5%: 1 occurrences (0.2%) +870.5% to +1023.6%: 2 occurrences (0.4%) 947.1% +1023.6% to +1176.7%: 4 occurrences (0.8%) +1176.7% to +1329.7%: 0 occurrences (0.0%) +1329.7% to +1482.8%: 0 occurrences (0.0%) 1406.3% +1482.8% to +1635.9%: 2 occurrences (0.4%) +1635.9% to +1789.0%: 2 occurrences (0.4%) +1789.0% to +1942.0%: 0 occurrences (0.0%) 1865.5% +1942.0% to +2095.1%: 0 occurrences (0.0%) +2095.1% to +2248.2%: 1 occurrences (0.2%) +2248.2% to +2401.2%: 2 occurrences (0.4%) 2324.7%
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) 75.8% 47.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.9% Adjusts normal bell curve for real-world skewness (9.59) and kurtosis (156.19).
Standard Normal (Black-Scholes / GBM) 91.9% 46.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.4% 50.0% Filters for historical windows that started with volatility similar to current 20-day HV (218 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 204.6%
  • Recent 20-Day HV: 67.4%
  • Parkinson Intraday Volatility: 81.0%
  • Vol Trend: Compressed (-67% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.7%
  • Top 10% Move (90th percentile): +63.2%
  • Bottom 10% Move (10th percentile): -26.9%
  • Max Historical Gain (14d): +2401.2%
  • Max Historical Loss (14d): -47.9%