Finance

DBA Move Probability $28.12 -0.05 (-0.2%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
9.4%
Stock touched +5.0% ($29.53) at least once during 14 trading days.
Median first touch: Day 11 of 14
Expiration Close Probability
4.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.9%
$27.30 — $28.94

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%.

-7.1% to -6.2%: 5 occurrences (1.0%) -6.6% -6.2% to -5.3%: 10 occurrences (2.0%) -5.3% to -4.4%: 9 occurrences (1.8%) -4.4% to -3.5%: 13 occurrences (2.6%) -3.9% -3.5% to -2.6%: 22 occurrences (4.3%) -2.6% to -1.7%: 37 occurrences (7.3%) -1.7% to -0.8%: 63 occurrences (12.4%) -1.3% -0.8% to +0.1%: 65 occurrences (12.8%) +0.1% to +1.0%: 79 occurrences (15.6%) +1.0% to +1.9%: 52 occurrences (10.2%) 1.4% +1.9% to +2.8%: 42 occurrences (8.3%) +2.8% to +3.7%: 40 occurrences (7.9%) +3.7% to +4.6%: 33 occurrences (6.5%) 4.1% +4.6% to +5.5%: 24 occurrences (4.7%) +5.5% to +6.4%: 10 occurrences (2.0%) +6.4% to +7.3%: 4 occurrences (0.8%) 6.8%
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) 9.4% 4.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.2% Adjusts normal bell curve for real-world skewness (-0.09) and kurtosis (1.3).
Standard Normal (Black-Scholes / GBM) 9.2% 4.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 8.2% 5.4% Filters for historical windows that started with volatility similar to current 20-day HV (257 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 12.3%
  • Recent 20-Day HV: 9.0%
  • Parkinson Intraday Volatility: 6.9%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +4.2%
  • Bottom 10% Move (10th percentile): -2.9%
  • Max Historical Gain (14d): +7.3%
  • Max Historical Loss (14d): -7.1%