Finance

DFTX Move Probability $35.47 +0.38 (+1.1%)

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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Touch Probability (First Passage)
84.4%
Stock touched +5.0% ($37.24) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
44.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.90x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.5%
$29.25 — $41.69

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%.

-31.1% to -22.6%: 12 occurrences (2.4%) -26.9% -22.6% to -14.1%: 25 occurrences (4.9%) -14.1% to -5.6%: 68 occurrences (13.4%) -5.6% to +2.9%: 143 occurrences (28.1%) -1.3% +2.9% to +11.4%: 99 occurrences (19.5%) +11.4% to +19.9%: 86 occurrences (16.9%) +19.9% to +28.4%: 35 occurrences (6.9%) 24.2% +28.4% to +37.0%: 16 occurrences (3.1%) +37.0% to +45.5%: 9 occurrences (1.8%) +45.5% to +54.0%: 2 occurrences (0.4%) 49.7% +54.0% to +62.5%: 1 occurrences (0.2%) +62.5% to +71.0%: 0 occurrences (0.0%) +71.0% to +79.5%: 2 occurrences (0.4%) 75.2% +79.5% to +88.0%: 5 occurrences (1.0%) +88.0% to +96.5%: 2 occurrences (0.4%) +96.5% to +105.0%: 3 occurrences (0.6%) 100.8%
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) 84.4% 44.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.1% Adjusts normal bell curve for real-world skewness (1.26) and kurtosis (10.49).
Standard Normal (Black-Scholes / GBM) 78.1% 39.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 84.0% 47.0% Filters for historical windows that started with volatility similar to current 20-day HV (349 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 74.4%
  • Recent 20-Day HV: 56.6%
  • Parkinson Intraday Volatility: 63.9%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.4%
  • Top 10% Move (90th percentile): +25.9%
  • Bottom 10% Move (10th percentile): -11.5%
  • Max Historical Gain (14d): +105.0%
  • Max Historical Loss (14d): -31.1%