Finance

CCRN Move Probability $13.26 +0.02 (+0.1%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to CCRN Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
44.1%
Stock touched +5.0% ($13.92) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
19.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.24x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.9%
$11.41 — $15.10

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 442 historical windows (2024-09-23 to 2026-07-20). The colored bar indicates the win zone for +5.0%.

-32.2% to -24.9%: 7 occurrences (1.6%) -28.6% -24.9% to -17.6%: 9 occurrences (2.0%) -17.6% to -10.3%: 39 occurrences (8.8%) -10.3% to -3.1%: 117 occurrences (26.5%) -6.7% -3.1% to +4.2%: 173 occurrences (39.1%) +4.2% to +11.5%: 57 occurrences (12.9%) +11.5% to +18.8%: 9 occurrences (2.0%) 15.2% +18.8% to +26.1%: 4 occurrences (0.9%) +26.1% to +33.4%: 13 occurrences (2.9%) +33.4% to +40.7%: 0 occurrences (0.0%) 37.1% +40.7% to +48.0%: 0 occurrences (0.0%) +48.0% to +55.3%: 0 occurrences (0.0%) +55.3% to +62.6%: 2 occurrences (0.5%) 58.9% +62.6% to +69.9%: 4 occurrences (0.9%) +69.9% to +77.2%: 5 occurrences (1.1%) +77.2% to +84.5%: 3 occurrences (0.7%) 80.8%
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) 44.1% 19.7% Model-free reality across 442 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (4.81) and kurtosis (71.47).
Standard Normal (Black-Scholes / GBM) 72.5% 36.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.9%
  • Recent 20-Day HV: 1.5%
  • Parkinson Intraday Volatility: 31.6%
  • Vol Trend: Compressed (-98% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +10.2%
  • Bottom 10% Move (10th percentile): -11.5%
  • Max Historical Gain (14d): +84.5%
  • Max Historical Loss (14d): -32.2%