Finance

DGII Move Probability $75.36 +0.60 (+0.8%)

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)
63.0%
Stock touched +5.0% ($79.13) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
42.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.50x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.7%
$68.04 — $82.69

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%.

-23.2% to -19.8%: 1 occurrences (0.2%) -21.5% -19.8% to -16.5%: 10 occurrences (2.0%) -16.5% to -13.2%: 11 occurrences (2.2%) -13.2% to -9.9%: 16 occurrences (3.1%) -11.5% -9.9% to -6.5%: 31 occurrences (6.1%) -6.5% to -3.2%: 51 occurrences (10.0%) -3.2% to +0.1%: 59 occurrences (11.6%) -1.5% +0.1% to +3.4%: 80 occurrences (15.7%) +3.4% to +6.8%: 84 occurrences (16.5%) +6.8% to +10.1%: 60 occurrences (11.8%) 8.4% +10.1% to +13.4%: 47 occurrences (9.3%) +13.4% to +16.8%: 23 occurrences (4.5%) +16.8% to +20.1%: 15 occurrences (3.0%) 18.4% +20.1% to +23.4%: 7 occurrences (1.4%) +23.4% to +26.7%: 7 occurrences (1.4%) +26.7% to +30.1%: 6 occurrences (1.2%) 28.4%
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) 63.0% 42.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.4% Adjusts normal bell curve for real-world skewness (0.96) and kurtosis (5.87).
Standard Normal (Black-Scholes / GBM) 61.6% 30.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.0% 46.4% Filters for historical windows that started with volatility similar to current 20-day HV (375 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.2%
  • Recent 20-Day HV: 36.4%
  • Parkinson Intraday Volatility: 30.8%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +3.2%
  • Top 10% Move (90th percentile): +14.0%
  • Bottom 10% Move (10th percentile): -8.3%
  • Max Historical Gain (14d): +30.1%
  • Max Historical Loss (14d): -23.2%