Finance

CRM Move Probability $228.15 -1.00 (-0.4%)

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)
47.4%
Stock touched +5.0% ($239.56) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
28.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.66x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.4%
$206.64 — $249.66

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%.

-28.2% to -24.2%: 1 occurrences (0.2%) -26.2% -24.2% to -20.2%: 3 occurrences (0.6%) -20.2% to -16.2%: 15 occurrences (3.0%) -16.2% to -12.2%: 23 occurrences (4.5%) -14.2% -12.2% to -8.2%: 58 occurrences (11.4%) -8.2% to -4.2%: 71 occurrences (14.0%) -4.2% to -0.2%: 95 occurrences (18.7%) -2.2% -0.2% to +3.8%: 81 occurrences (15.9%) +3.8% to +7.8%: 62 occurrences (12.2%) +7.8% to +11.8%: 48 occurrences (9.4%) 9.8% +11.8% to +15.8%: 23 occurrences (4.5%) +15.8% to +19.7%: 13 occurrences (2.6%) +19.7% to +23.7%: 5 occurrences (1.0%) 21.7% +23.7% to +27.7%: 4 occurrences (0.8%) +27.7% to +31.7%: 3 occurrences (0.6%) +31.7% to +35.7%: 3 occurrences (0.6%) 33.7%
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) 47.4% 28.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.7% Adjusts normal bell curve for real-world skewness (1.12) and kurtosis (8.82).
Standard Normal (Black-Scholes / GBM) 60.5% 30.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 43.3% 23.9% Filters for historical windows that started with volatility similar to current 20-day HV (335 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 40.0%
  • Recent 20-Day HV: 33.8%
  • Parkinson Intraday Volatility: 30.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +11.7%
  • Bottom 10% Move (10th percentile): -11.4%
  • Max Historical Gain (14d): +35.7%
  • Max Historical Loss (14d): -28.2%