Finance

DDD Move Probability $3.02 +0.03 (+1.0%)

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

← Back to DDD Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
79.1%
Stock touched +5.0% ($3.17) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
40.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.0%
$2.35 — $3.69

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%.

-41.3% to -34.9%: 8 occurrences (1.6%) -38.1% -34.9% to -28.6%: 14 occurrences (2.8%) -28.6% to -22.2%: 30 occurrences (5.9%) -22.2% to -15.9%: 33 occurrences (6.5%) -19.0% -15.9% to -9.5%: 66 occurrences (13.0%) -9.5% to -3.1%: 81 occurrences (15.9%) -3.1% to +3.2%: 58 occurrences (11.4%) 0.0% +3.2% to +9.6%: 49 occurrences (9.6%) +9.6% to +15.9%: 40 occurrences (7.9%) +15.9% to +22.3%: 43 occurrences (8.5%) 19.1% +22.3% to +28.7%: 31 occurrences (6.1%) +28.7% to +35.0%: 16 occurrences (3.1%) +35.0% to +41.4%: 17 occurrences (3.3%) 38.2% +41.4% to +47.7%: 15 occurrences (3.0%) +47.7% to +54.1%: 6 occurrences (1.2%) +54.1% to +60.5%: 1 occurrences (0.2%) 57.3%
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) 79.1% 40.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.0% Adjusts normal bell curve for real-world skewness (0.31) and kurtosis (5.3).
Standard Normal (Black-Scholes / GBM) 82.5% 41.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 85.6% 45.1% Filters for historical windows that started with volatility similar to current 20-day HV (195 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 93.5%
  • Recent 20-Day HV: 63.7%
  • Parkinson Intraday Volatility: 70.4%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +30.5%
  • Bottom 10% Move (10th percentile): -22.2%
  • Max Historical Gain (14d): +60.5%
  • Max Historical Loss (14d): -41.3%