Finance

CVX Move Probability $226.76 +1.10 (+0.5%)

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)
1.9%
Stock touched +5.0% ($238.10) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.8%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.50x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.2%
$221.85 — $231.67

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-13.9% to -12.6%: 1 occurrences (0.2%) -13.2% -12.6% to -11.2%: 0 occurrences (0.0%) -11.2% to -9.9%: 1 occurrences (0.2%) -9.9% to -8.6%: 0 occurrences (0.0%) -9.2% -8.6% to -7.2%: 1 occurrences (0.2%) -7.2% to -5.9%: 2 occurrences (0.4%) -5.9% to -4.5%: 5 occurrences (1.0%) -5.2% -4.5% to -3.2%: 22 occurrences (4.2%) -3.2% to -1.9%: 42 occurrences (8.1%) -1.9% to -0.5%: 83 occurrences (16.0%) -1.2% -0.5% to +0.8%: 157 occurrences (30.2%) +0.8% to +2.2%: 122 occurrences (23.5%) +2.2% to +3.5%: 66 occurrences (12.7%) 2.8% +3.5% to +4.8%: 14 occurrences (2.7%) +4.8% to +6.2%: 3 occurrences (0.6%) +6.2% to +7.5%: 1 occurrences (0.2%) 6.9%
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) 1.9% 0.8% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.3% Adjusts normal bell curve for real-world skewness (-0.83) and kurtosis (4.13).
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) 1.9% 0.8% Filters for historical windows that started with volatility similar to current 20-day HV (375 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.3%
  • Recent 20-Day HV: 18.6%
  • Parkinson Intraday Volatility: 19.1%
  • Vol Trend: Compressed (-23% vs baseline)

2-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +2.7%
  • Bottom 10% Move (10th percentile): -2.4%
  • Max Historical Gain (2d): +7.5%
  • Max Historical Loss (2d): -13.9%