Finance

CLRB Move Probability $1.28 +0.06 (+4.9%)

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)
63.0%
Stock touched +5.0% ($1.34) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
32.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.94x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±49.7%
$0.64 — $1.92

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-84.5% to +7.7%: 369 occurrences (72.6%) -38.4% +7.7% to +99.9%: 124 occurrences (24.4%) +99.9% to +192.1%: 1 occurrences (0.2%) +192.1% to +284.3%: 0 occurrences (0.0%) 238.2% +284.3% to +376.5%: 0 occurrences (0.0%) +376.5% to +468.7%: 1 occurrences (0.2%) +468.7% to +560.9%: 1 occurrences (0.2%) 514.8% +560.9% to +653.1%: 0 occurrences (0.0%) +653.1% to +745.3%: 0 occurrences (0.0%) +745.3% to +837.5%: 0 occurrences (0.0%) 791.4% +837.5% to +929.7%: 0 occurrences (0.0%) +929.7% to +1021.9%: 1 occurrences (0.2%) +1021.9% to +1114.1%: 5 occurrences (1.0%) 1068.0% +1114.1% to +1206.3%: 1 occurrences (0.2%) +1206.3% to +1298.5%: 2 occurrences (0.4%) +1298.5% to +1390.8%: 3 occurrences (0.6%) 1344.6%
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) 63.0% 32.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.3% Adjusts normal bell curve for real-world skewness (6.96) and kurtosis (172.93).
Standard Normal (Black-Scholes / GBM) 92.2% 46.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.4% 38.1% Filters for historical windows that started with volatility similar to current 20-day HV (307 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 211.0%
  • Recent 20-Day HV: 93.3%
  • Parkinson Intraday Volatility: 63.8%
  • Vol Trend: Compressed (-56% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.6%
  • Top 10% Move (90th percentile): +31.3%
  • Bottom 10% Move (10th percentile): -28.0%
  • Max Historical Gain (14d): +1390.8%
  • Max Historical Loss (14d): -84.5%