Finance

CVAT Move Probability $0.03 +0.00 (+2.2%)

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)
52.8%
Stock touched +5.0% ($0.03) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
31.2%
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%)
±52.4%
$0.02 — $0.05

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-50.0% to -40.6%: 8 occurrences (1.6%) -45.3% -40.6% to -31.2%: 32 occurrences (6.6%) -31.2% to -21.9%: 50 occurrences (10.3%) -21.9% to -12.5%: 17 occurrences (3.5%) -17.2% -12.5% to -3.1%: 3 occurrences (0.6%) -3.1% to +6.2%: 225 occurrences (46.2%) +6.2% to +15.6%: 4 occurrences (0.8%) 10.9% +15.6% to +25.0%: 8 occurrences (1.6%) +25.0% to +34.4%: 70 occurrences (14.4%) +34.4% to +43.8%: 2 occurrences (0.4%) 39.1% +43.8% to +53.1%: 45 occurrences (9.2%) +53.1% to +62.5%: 1 occurrences (0.2%) +62.5% to +71.9%: 7 occurrences (1.4%) 67.2% +71.9% to +81.2%: 0 occurrences (0.0%) +81.2% to +90.6%: 0 occurrences (0.0%) +90.6% to +100.0%: 15 occurrences (3.1%) 95.3%
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) 52.8% 31.2% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 40.8% Adjusts normal bell curve for real-world skewness (0.29) and kurtosis (8.03).
Standard Normal (Black-Scholes / GBM) 92.6% 46.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 53.4% 37.1% Filters for historical windows that started with volatility similar to current 20-day HV (251 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 222.4%
  • Recent 20-Day HV: 196.8%
  • Parkinson Intraday Volatility: 199.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +50.0%
  • Bottom 10% Move (10th percentile): -25.0%
  • Max Historical Gain (14d): +100.0%
  • Max Historical Loss (14d): -50.0%