Finance

CRMZ Move Probability $2.10 +0.00 (+0.0%)

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)
32.9%
Stock touched +5.0% ($2.21) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
14.8%
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%)
±10.2%
$1.89 — $2.31

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-21.2% to -18.2%: 3 occurrences (0.6%) -19.7% -18.2% to -15.1%: 2 occurrences (0.4%) -15.1% to -12.1%: 4 occurrences (0.8%) -12.1% to -9.0%: 22 occurrences (4.5%) -10.5% -9.0% to -5.9%: 65 occurrences (13.3%) -5.9% to -2.9%: 72 occurrences (14.8%) -2.9% to +0.2%: 137 occurrences (28.1%) -1.3% +0.2% to +3.3%: 76 occurrences (15.6%) +3.3% to +6.3%: 42 occurrences (8.6%) +6.3% to +9.4%: 22 occurrences (4.5%) 7.8% +9.4% to +12.4%: 15 occurrences (3.1%) +12.4% to +15.5%: 10 occurrences (2.1%) +15.5% to +18.6%: 6 occurrences (1.2%) 17.0% +18.6% to +21.6%: 5 occurrences (1.0%) +21.6% to +24.7%: 0 occurrences (0.0%) +24.7% to +27.7%: 6 occurrences (1.2%) 26.2%
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) 32.9% 14.8% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.3% Adjusts normal bell curve for real-world skewness (0.3) and kurtosis (6.37).
Standard Normal (Black-Scholes / GBM) 63.1% 31.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 28.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (25 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.1%
  • Recent 20-Day HV: 13.2%
  • Parkinson Intraday Volatility: 32.6%
  • Vol Trend: Compressed (-69% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +8.3%
  • Bottom 10% Move (10th percentile): -7.7%
  • Max Historical Gain (14d): +27.7%
  • Max Historical Loss (14d): -21.2%