Finance

DFNS Move Probability $5.04 +0.12 (+2.4%)

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 DFNS Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
72.5%
Stock touched +5.0% ($5.29) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
22.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.18x
You are 3.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±72.5%
$1.39 — $8.69

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%.

-93.8% to +96.2%: 484 occurrences (95.1%) 1.2% +96.2% to +286.2%: 11 occurrences (2.2%) +286.2% to +476.2%: 0 occurrences (0.0%) +476.2% to +666.3%: 1 occurrences (0.2%) 571.3% +666.3% to +856.3%: 0 occurrences (0.0%) +856.3% to +1046.3%: 0 occurrences (0.0%) +1046.3% to +1236.3%: 0 occurrences (0.0%) 1141.3% +1236.3% to +1426.3%: 0 occurrences (0.0%) +1426.3% to +1616.3%: 1 occurrences (0.2%) +1616.3% to +1806.3%: 2 occurrences (0.4%) 1711.3% +1806.3% to +1996.3%: 1 occurrences (0.2%) +1996.3% to +2186.3%: 1 occurrences (0.2%) +2186.3% to +2376.4%: 1 occurrences (0.2%) 2281.3% +2376.4% to +2566.4%: 4 occurrences (0.8%) +2566.4% to +2756.4%: 1 occurrences (0.2%) +2756.4% to +2946.4%: 2 occurrences (0.4%) 2851.4%
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) 72.5% 22.8% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.4% Adjusts normal bell curve for real-world skewness (0.76) and kurtosis (67.68).
Standard Normal (Black-Scholes / GBM) 94.6% 47.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.4% 20.9% Filters for historical windows that started with volatility similar to current 20-day HV (325 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 307.6%
  • Recent 20-Day HV: 121.2%
  • Parkinson Intraday Volatility: 190.8%
  • Vol Trend: Compressed (-61% vs baseline)

14-Day Return Quantiles

  • Median Return: -21.7%
  • Top 10% Move (90th percentile): +38.3%
  • Bottom 10% Move (10th percentile): -51.5%
  • Max Historical Gain (14d): +2946.4%
  • Max Historical Loss (14d): -93.8%