Finance

CTMX Move Probability $2.39 -0.13 (-5.3%)

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)
74.8%
Stock touched +5.0% ($2.51) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
31.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.38x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.6%
$1.80 — $2.98

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%.

-34.9% to -17.8%: 55 occurrences (10.8%) -26.3% -17.8% to -0.7%: 229 occurrences (45.1%) -0.7% to +16.4%: 124 occurrences (24.4%) +16.4% to +33.5%: 51 occurrences (10.0%) 24.9% +33.5% to +50.5%: 17 occurrences (3.3%) +50.5% to +67.6%: 16 occurrences (3.1%) +67.6% to +84.7%: 2 occurrences (0.4%) 76.2% +84.7% to +101.8%: 0 occurrences (0.0%) +101.8% to +118.9%: 0 occurrences (0.0%) +118.9% to +135.9%: 3 occurrences (0.6%) 127.4% +135.9% to +153.0%: 1 occurrences (0.2%) +153.0% to +170.1%: 2 occurrences (0.4%) +170.1% to +187.2%: 5 occurrences (1.0%) 178.7% +187.2% to +204.3%: 0 occurrences (0.0%) +204.3% to +221.4%: 1 occurrences (0.2%) +221.4% to +238.4%: 2 occurrences (0.4%) 229.9%
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) 74.8% 31.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.1% Adjusts normal bell curve for real-world skewness (3.92) and kurtosis (46.29).
Standard Normal (Black-Scholes / GBM) 84.3% 42.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.8% 26.4% Filters for historical windows that started with volatility similar to current 20-day HV (284 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 104.3%
  • Recent 20-Day HV: 64.4%
  • Parkinson Intraday Volatility: 76.0%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.4%
  • Top 10% Move (90th percentile): +31.7%
  • Bottom 10% Move (10th percentile): -18.5%
  • Max Historical Gain (14d): +238.4%
  • Max Historical Loss (14d): -34.9%