Finance

CREX Move Probability $2.15 -0.01 (-0.5%)

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 CREX Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
60.4%
Stock touched +5.0% ($2.26) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
27.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.22x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.8%
$1.77 — $2.53

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%.

-37.9% to -28.2%: 15 occurrences (3.0%) -33.1% -28.2% to -18.4%: 32 occurrences (6.3%) -18.4% to -8.7%: 106 occurrences (20.9%) -8.7% to +1.1%: 168 occurrences (33.1%) -3.8% +1.1% to +10.8%: 112 occurrences (22.0%) +10.8% to +20.5%: 29 occurrences (5.7%) +20.5% to +30.3%: 23 occurrences (4.5%) 25.4% +30.3% to +40.0%: 8 occurrences (1.6%) +40.0% to +49.8%: 1 occurrences (0.2%) +49.8% to +59.5%: 3 occurrences (0.6%) 54.7% +59.5% to +69.3%: 2 occurrences (0.4%) +69.3% to +79.0%: 1 occurrences (0.2%) +79.0% to +88.8%: 5 occurrences (1.0%) 83.9% +88.8% to +98.5%: 1 occurrences (0.2%) +98.5% to +108.3%: 1 occurrences (0.2%) +108.3% to +118.0%: 1 occurrences (0.2%) 113.1%
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) 60.4% 27.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.7% Adjusts normal bell curve for real-world skewness (0.41) and kurtosis (2.66).
Standard Normal (Black-Scholes / GBM) 78.4% 39.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.1% 31.0% Filters for historical windows that started with volatility similar to current 20-day HV (158 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 75.4%
  • Recent 20-Day HV: 43.1%
  • Parkinson Intraday Volatility: 37.2%
  • Vol Trend: Compressed (-43% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.2%
  • Top 10% Move (90th percentile): +15.8%
  • Bottom 10% Move (10th percentile): -17.8%
  • Max Historical Gain (14d): +118.0%
  • Max Historical Loss (14d): -37.9%