Finance

DE Move Probability $640.75 +4.24 (+0.7%)

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)
45.6%
Stock touched +5.0% ($672.79) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
23.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.93x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.2%
$594.94 — $686.56

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-13.5% to -11.0%: 5 occurrences (1.0%) -12.3% -11.0% to -8.6%: 8 occurrences (1.6%) -8.6% to -6.2%: 26 occurrences (5.1%) -6.2% to -3.7%: 48 occurrences (9.4%) -4.9% -3.7% to -1.3%: 91 occurrences (17.9%) -1.3% to +1.1%: 104 occurrences (20.4%) +1.1% to +3.6%: 80 occurrences (15.7%) 2.4% +3.6% to +6.0%: 40 occurrences (7.9%) +6.0% to +8.5%: 26 occurrences (5.1%) +8.5% to +10.9%: 35 occurrences (6.9%) 9.7% +10.9% to +13.3%: 15 occurrences (2.9%) +13.3% to +15.8%: 18 occurrences (3.5%) +15.8% to +18.2%: 9 occurrences (1.8%) 17.0% +18.2% to +20.6%: 1 occurrences (0.2%) +20.6% to +23.1%: 1 occurrences (0.2%) +23.1% to +25.5%: 2 occurrences (0.4%) 24.3%
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) 45.6% 23.6% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.0% Adjusts normal bell curve for real-world skewness (0.7) and kurtosis (4.02).
Standard Normal (Black-Scholes / GBM) 49.5% 24.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.4% 24.9% Filters for historical windows that started with volatility similar to current 20-day HV (369 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.3%
  • Recent 20-Day HV: 30.3%
  • Parkinson Intraday Volatility: 24.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +10.3%
  • Bottom 10% Move (10th percentile): -5.4%
  • Max Historical Gain (14d): +25.5%
  • Max Historical Loss (14d): -13.5%