Finance

DDI Move Probability $13.72 -0.17 (-1.2%)

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)
42.7%
Stock touched +5.0% ($14.41) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
19.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.17x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.8%
$12.38 — $15.07

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%.

-28.3% to -24.5%: 3 occurrences (0.6%) -26.4% -24.5% to -20.6%: 9 occurrences (1.8%) -20.6% to -16.8%: 7 occurrences (1.4%) -16.8% to -13.0%: 2 occurrences (0.4%) -14.9% -13.0% to -9.1%: 18 occurrences (3.5%) -9.1% to -5.3%: 54 occurrences (10.6%) -5.3% to -1.5%: 94 occurrences (18.5%) -3.4% -1.5% to +2.4%: 153 occurrences (30.1%) +2.4% to +6.2%: 97 occurrences (19.1%) +6.2% to +10.1%: 38 occurrences (7.5%) 8.1% +10.1% to +13.9%: 12 occurrences (2.4%) +13.9% to +17.7%: 6 occurrences (1.2%) +17.7% to +21.6%: 1 occurrences (0.2%) 19.6% +21.6% to +25.4%: 7 occurrences (1.4%) +25.4% to +29.2%: 1 occurrences (0.2%) +29.2% to +33.1%: 6 occurrences (1.2%) 31.2%
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) 42.7% 19.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.7% Adjusts normal bell curve for real-world skewness (-0.83) and kurtosis (20.07).
Standard Normal (Black-Scholes / GBM) 61.9% 31.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 53.5% 41.9% Filters for historical windows that started with volatility similar to current 20-day HV (43 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.7%
  • Recent 20-Day HV: 11.8%
  • Parkinson Intraday Volatility: 18.9%
  • Vol Trend: Compressed (-72% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -8.2%
  • Max Historical Gain (14d): +33.1%
  • Max Historical Loss (14d): -28.3%