Finance

CRT Move Probability $13.59 +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.

← Back to CRT Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
43.9%
Stock touched +5.0% ($14.27) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
29.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.49x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.2%
$12.47 — $14.71

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%.

-23.5% to -20.5%: 2 occurrences (0.4%) -22.0% -20.5% to -17.5%: 8 occurrences (1.6%) -17.5% to -14.4%: 7 occurrences (1.4%) -14.4% to -11.4%: 11 occurrences (2.2%) -12.9% -11.4% to -8.4%: 30 occurrences (5.9%) -8.4% to -5.4%: 44 occurrences (8.7%) -5.4% to -2.4%: 45 occurrences (8.9%) -3.9% -2.4% to +0.6%: 88 occurrences (17.3%) +0.6% to +3.6%: 88 occurrences (17.3%) +3.6% to +6.6%: 72 occurrences (14.2%) 5.1% +6.6% to +9.6%: 44 occurrences (8.7%) +9.6% to +12.6%: 33 occurrences (6.5%) +12.6% to +15.6%: 17 occurrences (3.3%) 14.1% +15.6% to +18.6%: 11 occurrences (2.2%) +18.6% to +21.6%: 5 occurrences (1.0%) +21.6% to +24.6%: 3 occurrences (0.6%) 23.1%
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) 43.9% 29.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.3% Adjusts normal bell curve for real-world skewness (0.19) and kurtosis (5.06).
Standard Normal (Black-Scholes / GBM) 55.4% 27.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 48.3% 32.8% Filters for historical windows that started with volatility similar to current 20-day HV (302 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.9%
  • Recent 20-Day HV: 40.1%
  • Parkinson Intraday Volatility: 11.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.3%
  • Top 10% Move (90th percentile): +10.9%
  • Bottom 10% Move (10th percentile): -8.8%
  • Max Historical Gain (14d): +24.6%
  • Max Historical Loss (14d): -23.5%