Finance

DAVE Move Probability $376.66 +11.67 (+3.2%)

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)
84.6%
Stock touched +5.0% ($395.49) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
49.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.5%
$303.11 — $450.21

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%.

-31.7% to -21.7%: 22 occurrences (4.3%) -26.7% -21.7% to -11.6%: 83 occurrences (16.3%) -11.6% to -1.6%: 91 occurrences (17.9%) -1.6% to +8.4%: 99 occurrences (19.5%) 3.4% +8.4% to +18.5%: 97 occurrences (19.1%) +18.5% to +28.5%: 57 occurrences (11.2%) +28.5% to +38.5%: 18 occurrences (3.5%) 33.5% +38.5% to +48.6%: 6 occurrences (1.2%) +48.6% to +58.6%: 7 occurrences (1.4%) +58.6% to +68.6%: 2 occurrences (0.4%) 63.6% +68.6% to +78.6%: 0 occurrences (0.0%) +78.6% to +88.7%: 3 occurrences (0.6%) +88.7% to +98.7%: 7 occurrences (1.4%) 93.7% +98.7% to +108.7%: 11 occurrences (2.2%) +108.7% to +118.8%: 2 occurrences (0.4%) +118.8% to +128.8%: 3 occurrences (0.6%) 123.8%
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) 84.6% 49.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.7% Adjusts normal bell curve for real-world skewness (0.97) and kurtosis (8.26).
Standard Normal (Black-Scholes / GBM) 80.3% 40.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.8% 44.1% Filters for historical windows that started with volatility similar to current 20-day HV (179 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 82.9%
  • Recent 20-Day HV: 50.1%
  • Parkinson Intraday Volatility: 59.9%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: +4.8%
  • Top 10% Move (90th percentile): +33.6%
  • Bottom 10% Move (10th percentile): -17.3%
  • Max Historical Gain (14d): +128.8%
  • Max Historical Loss (14d): -31.7%