Finance

CLYM Move Probability $10.86 +0.04 (+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.

← Back to CLYM Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
74.6%
Stock touched +5.0% ($11.40) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
37.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.02x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.7%
$8.61 — $13.11

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%.

-42.0% to -26.9%: 16 occurrences (3.1%) -34.5% -26.9% to -11.8%: 105 occurrences (20.7%) -11.8% to +3.3%: 188 occurrences (37.0%) +3.3% to +18.3%: 96 occurrences (18.9%) 10.8% +18.3% to +33.4%: 56 occurrences (11.0%) +33.4% to +48.5%: 29 occurrences (5.7%) +48.5% to +63.6%: 5 occurrences (1.0%) 56.1% +63.6% to +78.7%: 1 occurrences (0.2%) +78.7% to +93.8%: 1 occurrences (0.2%) +93.8% to +108.9%: 0 occurrences (0.0%) 101.3% +108.9% to +124.0%: 2 occurrences (0.4%) +124.0% to +139.0%: 3 occurrences (0.6%) +139.0% to +154.1%: 1 occurrences (0.2%) 146.6% +154.1% to +169.2%: 2 occurrences (0.4%) +169.2% to +184.3%: 1 occurrences (0.2%) +184.3% to +199.4%: 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) 74.6% 37.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.6% Adjusts normal bell curve for real-world skewness (0.56) and kurtosis (1.86).
Standard Normal (Black-Scholes / GBM) 81.3% 40.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.8% 39.0% Filters for historical windows that started with volatility similar to current 20-day HV (367 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 87.7%
  • Recent 20-Day HV: 68.4%
  • Parkinson Intraday Volatility: 74.5%
  • Vol Trend: Compressed (-22% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +32.5%
  • Bottom 10% Move (10th percentile): -20.6%
  • Max Historical Gain (14d): +199.4%
  • Max Historical Loss (14d): -42.0%