Finance

DIBS Move Probability $4.32 +0.01 (+0.2%)

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)
51.8%
Stock touched +5.0% ($4.54) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.07x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.1%
$3.80 — $4.84

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%.

-32.1% to -26.1%: 4 occurrences (0.8%) -29.1% -26.1% to -20.1%: 15 occurrences (3.0%) -20.1% to -14.2%: 24 occurrences (4.7%) -14.2% to -8.2%: 55 occurrences (10.8%) -11.2% -8.2% to -2.2%: 142 occurrences (28.0%) -2.2% to +3.8%: 125 occurrences (24.6%) +3.8% to +9.8%: 56 occurrences (11.0%) 6.8% +9.8% to +15.8%: 39 occurrences (7.7%) +15.8% to +21.7%: 13 occurrences (2.6%) +21.7% to +27.7%: 8 occurrences (1.6%) 24.7% +27.7% to +33.7%: 6 occurrences (1.2%) +33.7% to +39.7%: 5 occurrences (1.0%) +39.7% to +45.7%: 11 occurrences (2.2%) 42.7% +45.7% to +51.6%: 2 occurrences (0.4%) +51.6% to +57.6%: 1 occurrences (0.2%) +57.6% to +63.6%: 2 occurrences (0.4%) 60.6%
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) 51.8% 25.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.0% Adjusts normal bell curve for real-world skewness (0.34) and kurtosis (2.95).
Standard Normal (Black-Scholes / GBM) 68.8% 34.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.8% 22.7% Filters for historical windows that started with volatility similar to current 20-day HV (299 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.5%
  • Recent 20-Day HV: 50.8%
  • Parkinson Intraday Volatility: 39.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.6%
  • Top 10% Move (90th percentile): +14.9%
  • Bottom 10% Move (10th percentile): -12.9%
  • Max Historical Gain (14d): +63.6%
  • Max Historical Loss (14d): -32.1%