Finance

DAC Move Probability $158.17 +1.23 (+0.8%)

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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Touch Probability (First Passage)
47.0%
Stock touched +5.0% ($166.08) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
29.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.61x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.2%
$148.42 — $167.92

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%.

-19.1% to -16.6%: 1 occurrences (0.2%) -17.8% -16.6% to -14.0%: 3 occurrences (0.6%) -14.0% to -11.5%: 1 occurrences (0.2%) -11.5% to -9.0%: 3 occurrences (0.6%) -10.2% -9.0% to -6.5%: 13 occurrences (2.6%) -6.5% to -3.9%: 42 occurrences (8.3%) -3.9% to -1.4%: 74 occurrences (14.6%) -2.7% -1.4% to +1.1%: 74 occurrences (14.6%) +1.1% to +3.6%: 96 occurrences (18.9%) +3.6% to +6.2%: 87 occurrences (17.1%) 4.9% +6.2% to +8.7%: 65 occurrences (12.8%) +8.7% to +11.2%: 24 occurrences (4.7%) +11.2% to +13.8%: 14 occurrences (2.8%) 12.5% +13.8% to +16.3%: 5 occurrences (1.0%) +16.3% to +18.8%: 5 occurrences (1.0%) +18.8% to +21.3%: 1 occurrences (0.2%) 20.1%
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) 47.0% 29.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.7% Adjusts normal bell curve for real-world skewness (0.07) and kurtosis (2.68).
Standard Normal (Black-Scholes / GBM) 42.9% 21.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 47.0% 27.8% Filters for historical windows that started with volatility similar to current 20-day HV (436 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 26.2%
  • Recent 20-Day HV: 24.7%
  • Parkinson Intraday Volatility: 13.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +2.2%
  • Top 10% Move (90th percentile): +8.5%
  • Bottom 10% Move (10th percentile): -4.4%
  • Max Historical Gain (14d): +21.3%
  • Max Historical Loss (14d): -19.1%