Finance

CVSI Move Probability $0.01 -0.00 (-10.7%)

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)
52.6%
Stock touched +5.0% ($0.01) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
16.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.12x
You are 3.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±52.6%
$0.00 — $0.02

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%.

-62.5% to -46.1%: 20 occurrences (4.1%) -54.3% -46.1% to -29.7%: 38 occurrences (7.8%) -29.7% to -13.3%: 87 occurrences (17.9%) -13.3% to +3.1%: 260 occurrences (53.4%) -5.1% +3.1% to +19.5%: 0 occurrences (0.0%) +19.5% to +35.9%: 49 occurrences (10.1%) +35.9% to +52.3%: 8 occurrences (1.6%) 44.1% +52.3% to +68.8%: 7 occurrences (1.4%) +68.8% to +85.2%: 4 occurrences (0.8%) +85.2% to +101.6%: 8 occurrences (1.6%) 93.4% +101.6% to +118.0%: 0 occurrences (0.0%) +118.0% to +134.4%: 4 occurrences (0.8%) +134.4% to +150.8%: 0 occurrences (0.0%) 142.6% +150.8% to +167.2%: 0 occurrences (0.0%) +167.2% to +183.6%: 0 occurrences (0.0%) +183.6% to +200.0%: 2 occurrences (0.4%) 191.8%
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) 52.6% 16.8% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 41.4% Adjusts normal bell curve for real-world skewness (0.15) and kurtosis (8.68).
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) 65.4% 18.9% Filters for historical windows that started with volatility similar to current 20-day HV (159 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 223.1%
  • Recent 20-Day HV: 357.0%
  • Parkinson Intraday Volatility: 208.8%
  • Vol Trend: Expanded (+60% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +33.3%
  • Bottom 10% Move (10th percentile): -33.3%
  • Max Historical Gain (14d): +200.0%
  • Max Historical Loss (14d): -62.5%