Finance

CMRC Move Probability $3.62 -0.19 (-5.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
70.3%
Stock touched +5.0% ($3.80) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
29.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.35x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±40.6%
$2.15 — $5.09

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%.

-27.6% to +33.0%: 469 occurrences (92.3%) 2.7% +33.0% to +93.7%: 11 occurrences (2.2%) +93.7% to +154.3%: 14 occurrences (2.8%) +154.3% to +215.0%: 0 occurrences (0.0%) 184.7% +215.0% to +275.7%: 0 occurrences (0.0%) +275.7% to +336.3%: 0 occurrences (0.0%) +336.3% to +397.0%: 0 occurrences (0.0%) 366.6% +397.0% to +457.6%: 0 occurrences (0.0%) +457.6% to +518.3%: 0 occurrences (0.0%) +518.3% to +578.9%: 0 occurrences (0.0%) 548.6% +578.9% to +639.6%: 0 occurrences (0.0%) +639.6% to +700.2%: 0 occurrences (0.0%) +700.2% to +760.9%: 2 occurrences (0.4%) 730.6% +760.9% to +821.5%: 6 occurrences (1.2%) +821.5% to +882.2%: 2 occurrences (0.4%) +882.2% to +942.9%: 4 occurrences (0.8%) 912.5%
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) 70.3% 29.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (16.55) and kurtosis (320.85).
Standard Normal (Black-Scholes / GBM) 90.4% 45.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.0% 25.4% Filters for historical windows that started with volatility similar to current 20-day HV (284 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 172.3%
  • Recent 20-Day HV: 69.3%
  • Parkinson Intraday Volatility: 50.1%
  • Vol Trend: Compressed (-60% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +22.7%
  • Bottom 10% Move (10th percentile): -12.9%
  • Max Historical Gain (14d): +942.9%
  • Max Historical Loss (14d): -27.6%