Finance

DDL Move Probability $2.04 -0.09 (-4.2%)

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)
59.4%
Stock touched +5.0% ($2.14) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
23.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.54x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.2%
$1.75 — $2.32

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%.

-30.2% to -24.4%: 7 occurrences (1.4%) -27.3% -24.4% to -18.6%: 26 occurrences (5.1%) -18.6% to -12.8%: 32 occurrences (6.3%) -12.8% to -6.9%: 73 occurrences (14.4%) -9.9% -6.9% to -1.1%: 136 occurrences (26.8%) -1.1% to +4.7%: 111 occurrences (21.9%) +4.7% to +10.5%: 46 occurrences (9.1%) 7.6% +10.5% to +16.3%: 30 occurrences (5.9%) +16.3% to +22.2%: 18 occurrences (3.5%) +22.2% to +28.0%: 11 occurrences (2.2%) 25.1% +28.0% to +33.8%: 7 occurrences (1.4%) +33.8% to +39.6%: 4 occurrences (0.8%) +39.6% to +45.4%: 2 occurrences (0.4%) 42.5% +45.4% to +51.3%: 3 occurrences (0.6%) +51.3% to +57.1%: 1 occurrences (0.2%) +57.1% to +62.9%: 1 occurrences (0.2%) 60.0%
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) 59.4% 23.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.7% Adjusts normal bell curve for real-world skewness (0.44) and kurtosis (2.56).
Standard Normal (Black-Scholes / GBM) 73.1% 36.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.3% 18.4% 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: 60.1%
  • Recent 20-Day HV: 33.8%
  • Parkinson Intraday Volatility: 48.1%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.9%
  • Top 10% Move (90th percentile): +15.4%
  • Bottom 10% Move (10th percentile): -14.5%
  • Max Historical Gain (14d): +62.9%
  • Max Historical Loss (14d): -30.2%