Finance

CVS Move Probability $93.83 +0.38 (+0.4%)

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)
2.9%
Stock touched +5.0% ($98.52) 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
2.14x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.2%
$91.80 — $95.86

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%.

-14.0% to -12.2%: 1 occurrences (0.2%) -13.1% -12.2% to -10.3%: 0 occurrences (0.0%) -10.3% to -8.5%: 0 occurrences (0.0%) -8.5% to -6.7%: 1 occurrences (0.2%) -7.6% -6.7% to -4.9%: 9 occurrences (1.7%) -4.9% to -3.1%: 16 occurrences (3.1%) -3.1% to -1.3%: 78 occurrences (14.9%) -2.2% -1.3% to +0.5%: 203 occurrences (38.9%) +0.5% to +2.3%: 159 occurrences (30.5%) +2.3% to +4.1%: 45 occurrences (8.6%) 3.2% +4.1% to +5.9%: 4 occurrences (0.8%) +5.9% to +7.8%: 4 occurrences (0.8%) +7.8% to +9.6%: 0 occurrences (0.0%) 8.7% +9.6% to +11.4%: 1 occurrences (0.2%) +11.4% to +13.2%: 0 occurrences (0.0%) +13.2% to +15.0%: 1 occurrences (0.2%) 14.1%
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) 2.9% 1.3% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.7% Adjusts normal bell curve for real-world skewness (-0.1) and kurtosis (8.96).
Standard Normal (Black-Scholes / GBM) 2.4% 1.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.9% 1.4% Filters for historical windows that started with volatility similar to current 20-day HV (345 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)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.4%
  • Bottom 10% Move (10th percentile): -2.0%
  • Max Historical Gain (1d): +15.0%
  • Max Historical Loss (1d): -14.0%