Finance

CALC Move Probability $1.18 +0.11 (+10.8%)

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)
59.4%
Stock touched +5.0% ($1.23) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
28.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.07x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±33.0%
$0.79 — $1.56

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%.

-88.8% to -73.0%: 14 occurrences (2.8%) -80.9% -73.0% to -57.2%: 0 occurrences (0.0%) -57.2% to -41.5%: 2 occurrences (0.4%) -41.5% to -25.7%: 43 occurrences (8.5%) -33.6% -25.7% to -9.9%: 147 occurrences (28.9%) -9.9% to +5.8%: 157 occurrences (30.9%) +5.8% to +21.6%: 56 occurrences (11.0%) 13.7% +21.6% to +37.4%: 43 occurrences (8.5%) +37.4% to +53.1%: 32 occurrences (6.3%) +53.1% to +68.9%: 3 occurrences (0.6%) 61.0% +68.9% to +84.7%: 2 occurrences (0.4%) +84.7% to +100.5%: 0 occurrences (0.0%) +100.5% to +116.2%: 1 occurrences (0.2%) 108.3% +116.2% to +132.0%: 4 occurrences (0.8%) +132.0% to +147.8%: 3 occurrences (0.6%) +147.8% to +163.5%: 1 occurrences (0.2%) 155.6%
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) 59.4% 28.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 53.3% Adjusts normal bell curve for real-world skewness (-7.75) and kurtosis (123.04).
Standard Normal (Black-Scholes / GBM) 88.3% 44.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.6% 30.8% Filters for historical windows that started with volatility similar to current 20-day HV (266 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 140.2%
  • Recent 20-Day HV: 82.6%
  • Parkinson Intraday Volatility: 63.3%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: -6.0%
  • Top 10% Move (90th percentile): +33.8%
  • Bottom 10% Move (10th percentile): -27.5%
  • Max Historical Gain (14d): +163.5%
  • Max Historical Loss (14d): -88.8%