Finance

CRM Move Probability $250.68 -4.85 (-1.9%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to CRM Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
61.8%
Stock touched -3.5% ($241.90) at least once during 10 trading days.
Median first touch: Day 3 of 10
Expiration Close Probability
32.9%
Stock closed at or beyond -3.5% at the end of the 10-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.9%
$230.86 — $270.49

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 511 historical windows (2024-08-19 to 2026-09-16). The colored bar indicates the win zone for -3.5%.

-21.3% to -17.8%: 6 occurrences (1.2%) -19.5% -17.8% to -14.3%: 10 occurrences (2.0%) -14.3% to -10.7%: 16 occurrences (3.1%) -10.7% to -7.2%: 38 occurrences (7.4%) -9.0% -7.2% to -3.7%: 91 occurrences (17.8%) -3.7% to -0.2%: 96 occurrences (18.8%) -0.2% to +3.3%: 88 occurrences (17.2%) 1.5% +3.3% to +6.8%: 71 occurrences (13.9%) +6.8% to +10.3%: 53 occurrences (10.4%) +10.3% to +13.8%: 19 occurrences (3.7%) 12.1% +13.8% to +17.3%: 9 occurrences (1.8%) +17.3% to +20.8%: 6 occurrences (1.2%) +20.8% to +24.3%: 2 occurrences (0.4%) 22.6% +24.3% to +27.8%: 2 occurrences (0.4%) +27.8% to +31.3%: 2 occurrences (0.4%) +31.3% to +34.9%: 2 occurrences (0.4%) 33.1%
Historical returns Target move zone (-3.5%+) 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) 61.8% 32.9% Model-free reality across 511 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.1% Adjusts normal bell curve for real-world skewness (1.15) and kurtosis (9.15).
Standard Normal (Black-Scholes / GBM) 65.2% 32.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.9% 32.4% Filters for historical windows that started with volatility similar to current 20-day HV (34 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 39.7%
  • Recent 20-Day HV: 79.8%
  • Parkinson Intraday Volatility: 29.9%
  • Vol Trend: Expanded (+101% vs baseline)

10-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +9.1%
  • Bottom 10% Move (10th percentile): -9.3%
  • Max Historical Gain (10d): +34.9%
  • Max Historical Loss (10d): -21.3%