Finance

CMI Move Probability $542.18 +5.87 (+1.1%)

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)
49.4%
Stock touched +5.0% ($569.29) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
35.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.41x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.8%
$499.64 — $584.72

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%.

-18.4% to -15.7%: 1 occurrences (0.2%) -17.0% -15.7% to -13.0%: 9 occurrences (1.8%) -13.0% to -10.3%: 17 occurrences (3.3%) -10.3% to -7.7%: 27 occurrences (5.3%) -9.0% -7.7% to -5.0%: 43 occurrences (8.5%) -5.0% to -2.3%: 55 occurrences (10.8%) -2.3% to +0.3%: 62 occurrences (12.2%) -1.0% +0.3% to +3.0%: 68 occurrences (13.4%) +3.0% to +5.7%: 66 occurrences (13.0%) +5.7% to +8.3%: 70 occurrences (13.8%) 7.0% +8.3% to +11.0%: 47 occurrences (9.3%) +11.0% to +13.7%: 22 occurrences (4.3%) +13.7% to +16.3%: 11 occurrences (2.2%) 15.0% +16.3% to +19.0%: 6 occurrences (1.2%) +19.0% to +21.7%: 3 occurrences (0.6%) +21.7% to +24.3%: 1 occurrences (0.2%) 23.0%
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) 49.4% 35.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.8% Adjusts normal bell curve for real-world skewness (-0.03) and kurtosis (3.95).
Standard Normal (Black-Scholes / GBM) 53.4% 26.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.3% 36.2% Filters for historical windows that started with volatility similar to current 20-day HV (243 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.3%
  • Recent 20-Day HV: 23.5%
  • Parkinson Intraday Volatility: 24.0%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.0%
  • Top 10% Move (90th percentile): +10.2%
  • Bottom 10% Move (10th percentile): -8.1%
  • Max Historical Gain (14d): +24.3%
  • Max Historical Loss (14d): -18.4%