Finance

DARE Move Probability $0.68 -0.03 (-4.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
54.8%
Stock touched +5.0% ($0.72) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
27.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±42.4%
$0.39 — $0.97

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-42.9% to +9.5%: 399 occurrences (78.7%) -16.7% +9.5% to +61.8%: 76 occurrences (15.0%) +61.8% to +114.1%: 18 occurrences (3.6%) +114.1% to +166.4%: 0 occurrences (0.0%) 140.2% +166.4% to +218.7%: 0 occurrences (0.0%) +218.7% to +271.0%: 0 occurrences (0.0%) +271.0% to +323.3%: 0 occurrences (0.0%) 297.2% +323.3% to +375.6%: 0 occurrences (0.0%) +375.6% to +427.9%: 0 occurrences (0.0%) +427.9% to +480.3%: 0 occurrences (0.0%) 454.1% +480.3% to +532.6%: 0 occurrences (0.0%) +532.6% to +584.9%: 0 occurrences (0.0%) +584.9% to +637.2%: 1 occurrences (0.2%) 611.0% +637.2% to +689.5%: 4 occurrences (0.8%) +689.5% to +741.8%: 7 occurrences (1.4%) +741.8% to +794.1%: 2 occurrences (0.4%) 768.0%
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) 54.8% 27.4% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (14.57) and kurtosis (271.72).
Standard Normal (Black-Scholes / GBM) 90.8% 45.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.8% 31.5% Filters for historical windows that started with volatility similar to current 20-day HV (181 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 180.0%
  • Recent 20-Day HV: 60.2%
  • Parkinson Intraday Volatility: 72.1%
  • Vol Trend: Compressed (-67% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.7%
  • Top 10% Move (90th percentile): +25.6%
  • Bottom 10% Move (10th percentile): -15.4%
  • Max Historical Gain (14d): +794.1%
  • Max Historical Loss (14d): -42.9%