Finance

CRWD Move Probability $239.03 -0.25 (-0.1%)

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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Touch Probability (First Passage)
8.8%
Stock touched +5.0% ($250.98) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
5.0%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.77x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.2%
$231.45 — $246.60

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%.

-9.9% to -8.0%: 2 occurrences (0.4%) -8.9% -8.0% to -6.1%: 11 occurrences (2.1%) -6.1% to -4.2%: 19 occurrences (3.6%) -4.2% to -2.3%: 53 occurrences (10.2%) -3.3% -2.3% to -0.5%: 117 occurrences (22.4%) -0.5% to +1.4%: 150 occurrences (28.7%) +1.4% to +3.3%: 105 occurrences (20.1%) 2.4% +3.3% to +5.2%: 41 occurrences (7.9%) +5.2% to +7.1%: 15 occurrences (2.9%) +7.1% to +9.0%: 3 occurrences (0.6%) 8.0% +9.0% to +10.9%: 1 occurrences (0.2%) +10.9% to +12.8%: 1 occurrences (0.2%) +12.8% to +14.7%: 2 occurrences (0.4%) 13.7% +14.7% to +16.5%: 1 occurrences (0.2%) +16.5% to +18.4%: 0 occurrences (0.0%) +18.4% to +20.3%: 1 occurrences (0.2%) 19.4%
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) 8.8% 5.0% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.0% Adjusts normal bell curve for real-world skewness (0.57) and kurtosis (3.67).
Standard Normal (Black-Scholes / GBM) 12.4% 6.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 8.6% 5.4% Filters for historical windows that started with volatility similar to current 20-day HV (371 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.3%
  • Recent 20-Day HV: 51.0%
  • Parkinson Intraday Volatility: 40.6%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +3.8%
  • Bottom 10% Move (10th percentile): -3.4%
  • Max Historical Gain (1d): +20.3%
  • Max Historical Loss (1d): -9.9%