Finance

CVS Move Probability $94.02 +0.57 (+0.6%)

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)
59.3%
Stock touched +5.0% ($98.72) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
32.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.85x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.1%
$86.42 — $101.62

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%.

-26.9% to -23.5%: 6 occurrences (1.2%) -25.2% -23.5% to -20.2%: 3 occurrences (0.6%) -20.2% to -16.8%: 2 occurrences (0.4%) -16.8% to -13.5%: 9 occurrences (1.8%) -15.2% -13.5% to -10.1%: 24 occurrences (4.7%) -10.1% to -6.8%: 36 occurrences (7.1%) -6.8% to -3.5%: 43 occurrences (8.4%) -5.1% -3.5% to -0.1%: 78 occurrences (15.3%) -0.1% to +3.2%: 93 occurrences (18.3%) +3.2% to +6.6%: 94 occurrences (18.5%) 4.9% +6.6% to +9.9%: 47 occurrences (9.2%) +9.9% to +13.3%: 29 occurrences (5.7%) +13.3% to +16.6%: 16 occurrences (3.1%) 14.9% +16.6% to +20.0%: 15 occurrences (2.9%) +20.0% to +23.3%: 6 occurrences (1.2%) +23.3% to +26.6%: 8 occurrences (1.6%) 25.0%
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) 59.3% 32.0% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.8% Adjusts normal bell curve for real-world skewness (-0.1) and kurtosis (8.96).
Standard Normal (Black-Scholes / GBM) 54.6% 27.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.7% 32.2% Filters for historical windows that started with volatility similar to current 20-day HV (332 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.3%
  • Recent 20-Day HV: 28.0%
  • Parkinson Intraday Volatility: 25.8%
  • Vol Trend: Compressed (-18% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +12.6%
  • Bottom 10% Move (10th percentile): -9.7%
  • Max Historical Gain (14d): +26.6%
  • Max Historical Loss (14d): -26.9%