Finance

CTVA Move Probability $12.63 -0.10 (-0.8%)

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)
44.4%
Stock touched +5.0% ($13.26) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
26.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±30.6%
$8.77 — $16.49

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%.

-85.6% to -79.0%: 14 occurrences (2.8%) -82.3% -79.0% to -72.5%: 0 occurrences (0.0%) -72.5% to -65.9%: 0 occurrences (0.0%) -65.9% to -59.4%: 0 occurrences (0.0%) -62.7% -59.4% to -52.9%: 0 occurrences (0.0%) -52.9% to -46.3%: 0 occurrences (0.0%) -46.3% to -39.8%: 0 occurrences (0.0%) -43.1% -39.8% to -33.2%: 0 occurrences (0.0%) -33.2% to -26.7%: 0 occurrences (0.0%) -26.7% to -20.2%: 0 occurrences (0.0%) -23.4% -20.2% to -13.6%: 7 occurrences (1.4%) -13.6% to -7.1%: 40 occurrences (7.9%) -7.1% to -0.5%: 138 occurrences (27.1%) -3.8% -0.5% to +6.0%: 210 occurrences (41.3%) +6.0% to +12.5%: 82 occurrences (16.1%) +12.5% to +19.1%: 18 occurrences (3.5%) 15.8%
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) 44.4% 26.3% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (-21.11) and kurtosis (466.57).
Standard Normal (Black-Scholes / GBM) 87.3% 43.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 129.7%
  • Recent 20-Day HV: 648.8%
  • Parkinson Intraday Volatility: 23.7%
  • Vol Trend: Expanded (+400% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.3%
  • Top 10% Move (90th percentile): +8.4%
  • Bottom 10% Move (10th percentile): -8.1%
  • Max Historical Gain (14d): +19.1%
  • Max Historical Loss (14d): -85.6%