Finance

CRM Move Probability $248.81 +7.06 (+2.9%)

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)
5.7%
Stock touched +5.0% ($261.25) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
2.1%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.73x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.5%
$242.56 — $255.06

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-8.7% to -6.8%: 3 occurrences (0.6%) -7.8% -6.8% to -4.8%: 8 occurrences (1.5%) -4.8% to -2.9%: 41 occurrences (7.9%) -2.9% to -0.9%: 116 occurrences (22.2%) -1.9% -0.9% to +1.0%: 207 occurrences (39.7%) +1.0% to +3.0%: 99 occurrences (19.0%) +3.0% to +5.0%: 37 occurrences (7.1%) 4.0% +5.0% to +6.9%: 6 occurrences (1.1%) +6.9% to +8.9%: 2 occurrences (0.4%) +8.9% to +10.8%: 1 occurrences (0.2%) 9.8% +10.8% to +12.8%: 1 occurrences (0.2%) +12.8% to +14.7%: 0 occurrences (0.0%) +14.7% to +16.7%: 0 occurrences (0.0%) 15.7% +16.7% to +18.7%: 0 occurrences (0.0%) +18.7% to +20.6%: 0 occurrences (0.0%) +20.6% to +22.6%: 1 occurrences (0.2%) 21.6%
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) 5.7% 2.1% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.8% Adjusts normal bell curve for real-world skewness (1.12) and kurtosis (8.87).
Standard Normal (Black-Scholes / GBM) 5.2% 2.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 5.6% 1.8% Filters for historical windows that started with volatility similar to current 20-day HV (339 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 39.9%
  • Recent 20-Day HV: 32.7%
  • Parkinson Intraday Volatility: 30.2%
  • Vol Trend: Compressed (-18% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +2.8%
  • Bottom 10% Move (10th percentile): -2.9%
  • Max Historical Gain (1d): +22.6%
  • Max Historical Loss (1d): -8.7%