Finance

DH Move Probability $1.15 +0.02 (+1.8%)

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)
66.3%
Stock touched +5.0% ($1.21) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
28.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.37x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.5%
$0.95 — $1.35

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%.

-51.6% to -44.4%: 12 occurrences (2.4%) -48.0% -44.4% to -37.2%: 5 occurrences (1.0%) -37.2% to -30.1%: 12 occurrences (2.4%) -30.1% to -22.9%: 16 occurrences (3.1%) -26.5% -22.9% to -15.7%: 33 occurrences (6.5%) -15.7% to -8.6%: 73 occurrences (14.4%) -8.6% to -1.4%: 125 occurrences (24.6%) -5.0% -1.4% to +5.8%: 99 occurrences (19.5%) +5.8% to +12.9%: 65 occurrences (12.8%) +12.9% to +20.1%: 36 occurrences (7.1%) 16.5% +20.1% to +27.3%: 13 occurrences (2.6%) +27.3% to +34.4%: 5 occurrences (1.0%) +34.4% to +41.6%: 5 occurrences (1.0%) 38.0% +41.6% to +48.8%: 4 occurrences (0.8%) +48.8% to +56.0%: 1 occurrences (0.2%) +56.0% to +63.1%: 4 occurrences (0.8%) 59.5%
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) 66.3% 28.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.7% Adjusts normal bell curve for real-world skewness (-1.16) and kurtosis (15.97).
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) 73.9% 38.8% Filters for historical windows that started with volatility similar to current 20-day HV (188 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 74.3%
  • Recent 20-Day HV: 45.5%
  • Parkinson Intraday Volatility: 54.9%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.6%
  • Top 10% Move (90th percentile): +15.1%
  • Bottom 10% Move (10th percentile): -20.9%
  • Max Historical Gain (14d): +63.1%
  • Max Historical Loss (14d): -51.6%