Finance

CMPS Move Probability $8.33 -3.24 (-28.0%)

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 CMPS Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
81.5%
Stock touched +5.0% ($8.75) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
48.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±30.2%
$5.82 — $10.84

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-29.3% to -3.1%: 183 occurrences (36.0%) -16.2% -3.1% to +23.0%: 228 occurrences (44.9%) +23.0% to +49.2%: 64 occurrences (12.6%) +49.2% to +75.4%: 18 occurrences (3.5%) 62.3% +75.4% to +101.6%: 1 occurrences (0.2%) +101.6% to +127.8%: 0 occurrences (0.0%) +127.8% to +154.0%: 0 occurrences (0.0%) 140.9% +154.0% to +180.2%: 0 occurrences (0.0%) +180.2% to +206.4%: 0 occurrences (0.0%) +206.4% to +232.6%: 0 occurrences (0.0%) 219.5% +232.6% to +258.8%: 0 occurrences (0.0%) +258.8% to +285.0%: 0 occurrences (0.0%) +285.0% to +311.2%: 1 occurrences (0.2%) 298.1% +311.2% to +337.4%: 7 occurrences (1.4%) +337.4% to +363.6%: 4 occurrences (0.8%) +363.6% to +389.7%: 2 occurrences (0.4%) 376.6%
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) 81.5% 48.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (9.72) and kurtosis (166.19).
Standard Normal (Black-Scholes / GBM) 87.2% 43.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 80.8% 44.2% Filters for historical windows that started with volatility similar to current 20-day HV (120 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 128.0%
  • Recent 20-Day HV: 134.3%
  • Parkinson Intraday Volatility: 72.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +4.0%
  • Top 10% Move (90th percentile): +39.6%
  • Bottom 10% Move (10th percentile): -18.4%
  • Max Historical Gain (14d): +389.7%
  • Max Historical Loss (14d): -29.3%