Finance

CRBP Move Probability $4.29 -0.12 (-2.8%)

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)
69.9%
Stock touched +5.0% ($4.50) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
35.6%
Stock closed at or beyond +5.0% at the end of the 14-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%)
±18.4%
$3.50 — $5.07

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%.

-45.8% to -38.6%: 9 occurrences (1.8%) -42.2% -38.6% to -31.4%: 24 occurrences (4.7%) -31.4% to -24.1%: 34 occurrences (6.7%) -24.1% to -16.9%: 50 occurrences (9.8%) -20.5% -16.9% to -9.7%: 66 occurrences (13.0%) -9.7% to -2.4%: 54 occurrences (10.6%) -2.4% to +4.8%: 87 occurrences (17.1%) 1.2% +4.8% to +12.0%: 74 occurrences (14.6%) +12.0% to +19.3%: 51 occurrences (10.0%) +19.3% to +26.5%: 27 occurrences (5.3%) 22.9% +26.5% to +33.7%: 12 occurrences (2.4%) +33.7% to +41.0%: 9 occurrences (1.8%) +41.0% to +48.2%: 5 occurrences (1.0%) 44.6% +48.2% to +55.4%: 1 occurrences (0.2%) +55.4% to +62.7%: 3 occurrences (0.6%) +62.7% to +69.9%: 2 occurrences (0.4%) 66.3%
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) 69.9% 35.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.2% Adjusts normal bell curve for real-world skewness (-0.98) and kurtosis (8.49).
Standard Normal (Black-Scholes / GBM) 79.1% 39.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.0% 36.8% Filters for historical windows that started with volatility similar to current 20-day HV (310 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 78.2%
  • Recent 20-Day HV: 54.9%
  • Parkinson Intraday Volatility: 57.0%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +20.9%
  • Bottom 10% Move (10th percentile): -26.5%
  • Max Historical Gain (14d): +69.9%
  • Max Historical Loss (14d): -45.8%