Finance

CMTG Move Probability $1.11 -0.04 (-3.5%)

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 CMTG Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
63.4%
Stock touched +5.0% ($1.17) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
25.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.50x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.8%
$0.94 — $1.29

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%.

-43.3% to -35.0%: 17 occurrences (3.3%) -39.1% -35.0% to -26.8%: 15 occurrences (3.0%) -26.8% to -18.6%: 31 occurrences (6.1%) -18.6% to -10.3%: 118 occurrences (23.2%) -14.5% -10.3% to -2.1%: 103 occurrences (20.3%) -2.1% to +6.1%: 106 occurrences (20.9%) +6.1% to +14.3%: 62 occurrences (12.2%) 10.2% +14.3% to +22.6%: 34 occurrences (6.7%) +22.6% to +30.8%: 10 occurrences (2.0%) +30.8% to +39.0%: 3 occurrences (0.6%) 34.9% +39.0% to +47.3%: 1 occurrences (0.2%) +47.3% to +55.5%: 1 occurrences (0.2%) +55.5% to +63.7%: 1 occurrences (0.2%) 59.6% +63.7% to +72.0%: 1 occurrences (0.2%) +72.0% to +80.2%: 4 occurrences (0.8%) +80.2% to +88.4%: 1 occurrences (0.2%) 84.3%
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) 63.4% 25.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.8% Adjusts normal bell curve for real-world skewness (-0.18) and kurtosis (4.44).
Standard Normal (Black-Scholes / GBM) 75.8% 37.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.6% 22.9% 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: 67.1%
  • Recent 20-Day HV: 48.0%
  • Parkinson Intraday Volatility: 53.7%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.0%
  • Top 10% Move (90th percentile): +14.9%
  • Bottom 10% Move (10th percentile): -20.7%
  • Max Historical Gain (14d): +88.4%
  • Max Historical Loss (14d): -43.3%