Finance

DFH Move Probability $7.42 -1.81 (-19.6%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
59.3%
Stock touched +5.0% ($7.79) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
27.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.13x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.8%
$6.39 — $8.44

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-33.0% to -29.2%: 1 occurrences (0.2%) -31.1% -29.2% to -25.4%: 8 occurrences (1.6%) -25.4% to -21.6%: 14 occurrences (2.8%) -21.6% to -17.8%: 26 occurrences (5.1%) -19.7% -17.8% to -14.0%: 33 occurrences (6.5%) -14.0% to -10.2%: 63 occurrences (12.4%) -10.2% to -6.4%: 66 occurrences (13.0%) -8.3% -6.4% to -2.6%: 51 occurrences (10.0%) -2.6% to +1.2%: 51 occurrences (10.0%) +1.2% to +5.0%: 54 occurrences (10.6%) 3.1% +5.0% to +8.8%: 57 occurrences (11.2%) +8.8% to +12.7%: 47 occurrences (9.3%) +12.7% to +16.5%: 23 occurrences (4.5%) 14.6% +16.5% to +20.3%: 10 occurrences (2.0%) +20.3% to +24.1%: 1 occurrences (0.2%) +24.1% to +27.9%: 3 occurrences (0.6%) 26.0%
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) 59.3% 27.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.3% Adjusts normal bell curve for real-world skewness (0.0) and kurtosis (3.87).
Standard Normal (Black-Scholes / GBM) 72.4% 36.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.3% 23.9% Filters for historical windows that started with volatility similar to current 20-day HV (159 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.6%
  • Recent 20-Day HV: 92.0%
  • Parkinson Intraday Volatility: 42.5%
  • Vol Trend: Expanded (+57% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.0%
  • Top 10% Move (90th percentile): +11.1%
  • Bottom 10% Move (10th percentile): -17.7%
  • Max Historical Gain (14d): +27.9%
  • Max Historical Loss (14d): -33.0%