Finance

CMG Move Probability $30.38 -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.

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Touch Probability (First Passage)
46.5%
Stock touched +5.0% ($31.89) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
22.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.11x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.2%
$27.59 — $33.16

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-28.3% to -25.3%: 4 occurrences (0.8%) -26.8% -25.3% to -22.3%: 12 occurrences (2.4%) -22.3% to -19.3%: 8 occurrences (1.6%) -19.3% to -16.2%: 3 occurrences (0.6%) -17.8% -16.2% to -13.2%: 7 occurrences (1.4%) -13.2% to -10.2%: 31 occurrences (6.1%) -10.2% to -7.2%: 44 occurrences (8.7%) -8.7% -7.2% to -4.2%: 67 occurrences (13.2%) -4.2% to -1.1%: 67 occurrences (13.2%) -1.1% to +1.9%: 77 occurrences (15.2%) 0.4% +1.9% to +4.9%: 74 occurrences (14.6%) +4.9% to +7.9%: 37 occurrences (7.3%) +7.9% to +10.9%: 45 occurrences (8.9%) 9.4% +10.9% to +14.0%: 17 occurrences (3.3%) +14.0% to +17.0%: 10 occurrences (2.0%) +17.0% to +20.0%: 5 occurrences (1.0%) 18.5%
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) 46.5% 22.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.9% Adjusts normal bell curve for real-world skewness (-1.25) and kurtosis (11.9).
Standard Normal (Black-Scholes / GBM) 59.4% 29.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 47.3% 21.0% Filters for historical windows that started with volatility similar to current 20-day HV (338 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 38.9%
  • Recent 20-Day HV: 37.3%
  • Parkinson Intraday Volatility: 29.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +9.5%
  • Bottom 10% Move (10th percentile): -11.4%
  • Max Historical Gain (14d): +20.0%
  • Max Historical Loss (14d): -28.3%