Finance

CMG Move Probability $30.27 -0.13 (-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.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
17.3%
Stock touched +5.0% ($31.78) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
8.9%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
1.96x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.2%
$28.98 — $31.55

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-21.3% to -19.0%: 3 occurrences (0.6%) -20.1% -19.0% to -16.6%: 0 occurrences (0.0%) -16.6% to -14.3%: 1 occurrences (0.2%) -14.3% to -12.0%: 2 occurrences (0.4%) -13.1% -12.0% to -9.6%: 5 occurrences (1.0%) -9.6% to -7.3%: 9 occurrences (1.7%) -7.3% to -4.9%: 29 occurrences (5.6%) -6.1% -4.9% to -2.6%: 70 occurrences (13.5%) -2.6% to -0.3%: 145 occurrences (27.9%) -0.3% to +2.1%: 126 occurrences (24.3%) 0.9% +2.1% to +4.4%: 67 occurrences (12.9%) +4.4% to +6.7%: 38 occurrences (7.3%) +6.7% to +9.1%: 15 occurrences (2.9%) 7.9% +9.1% to +11.4%: 8 occurrences (1.5%) +11.4% to +13.7%: 0 occurrences (0.0%) +13.7% to +16.1%: 1 occurrences (0.2%) 14.9%
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) 17.3% 8.9% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.0% Adjusts normal bell curve for real-world skewness (-1.25) and kurtosis (11.9).
Standard Normal (Black-Scholes / GBM) 25.0% 12.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 19.2% 10.0% Filters for historical windows that started with volatility similar to current 20-day HV (349 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

3-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +4.7%
  • Bottom 10% Move (10th percentile): -4.8%
  • Max Historical Gain (3d): +16.1%
  • Max Historical Loss (3d): -21.3%