Finance

DERM Move Probability $4.79 -0.45 (-8.6%)

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 DERM Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
71.3%
Stock touched +5.0% ($5.03) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
32.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.21x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.1%
$4.02 — $5.56

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%.

-47.1% to -41.3%: 3 occurrences (0.6%) -44.2% -41.3% to -35.6%: 2 occurrences (0.4%) -35.6% to -29.9%: 3 occurrences (0.6%) -29.9% to -24.1%: 6 occurrences (1.2%) -27.0% -24.1% to -18.4%: 26 occurrences (5.1%) -18.4% to -12.7%: 37 occurrences (7.3%) -12.7% to -7.0%: 54 occurrences (10.6%) -9.8% -7.0% to -1.2%: 79 occurrences (15.6%) -1.2% to +4.5%: 124 occurrences (24.4%) +4.5% to +10.2%: 58 occurrences (11.4%) 7.4% +10.2% to +16.0%: 43 occurrences (8.5%) +16.0% to +21.7%: 43 occurrences (8.5%) +21.7% to +27.4%: 18 occurrences (3.5%) 24.5% +27.4% to +33.1%: 6 occurrences (1.2%) +33.1% to +38.9%: 4 occurrences (0.8%) +38.9% to +44.6%: 2 occurrences (0.4%) 41.7%
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) 71.3% 32.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.8% Adjusts normal bell curve for real-world skewness (-0.87) and kurtosis (10.61).
Standard Normal (Black-Scholes / GBM) 76.2% 38.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.4% 29.8% Filters for historical windows that started with volatility similar to current 20-day HV (356 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 68.3%
  • Recent 20-Day HV: 70.8%
  • Parkinson Intraday Volatility: 45.1%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +19.1%
  • Bottom 10% Move (10th percentile): -16.0%
  • Max Historical Gain (14d): +44.6%
  • Max Historical Loss (14d): -47.1%