Finance

DK Move Probability $78.24 +0.63 (+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)
75.6%
Stock touched +5.0% ($82.15) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
51.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.47x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.6%
$67.64 — $88.84

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%.

-32.7% to -27.5%: 2 occurrences (0.4%) -30.1% -27.5% to -22.2%: 9 occurrences (1.8%) -22.2% to -16.9%: 25 occurrences (4.9%) -16.9% to -11.6%: 35 occurrences (6.9%) -14.2% -11.6% to -6.3%: 44 occurrences (8.7%) -6.3% to -1.0%: 68 occurrences (13.4%) -1.0% to +4.3%: 55 occurrences (10.8%) 1.6% +4.3% to +9.6%: 74 occurrences (14.6%) +9.6% to +14.9%: 68 occurrences (13.4%) +14.9% to +20.1%: 50 occurrences (9.8%) 17.5% +20.1% to +25.4%: 35 occurrences (6.9%) +25.4% to +30.7%: 13 occurrences (2.6%) +30.7% to +36.0%: 14 occurrences (2.8%) 33.4% +36.0% to +41.3%: 7 occurrences (1.4%) +41.3% to +46.6%: 6 occurrences (1.2%) +46.6% to +51.9%: 3 occurrences (0.6%) 49.2%
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) 75.6% 51.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.2% Adjusts normal bell curve for real-world skewness (-0.08) and kurtosis (1.99).
Standard Normal (Black-Scholes / GBM) 71.9% 35.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.9% 50.8% Filters for historical windows that started with volatility similar to current 20-day HV (376 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 57.5%
  • Recent 20-Day HV: 46.8%
  • Parkinson Intraday Volatility: 47.6%
  • Vol Trend: Compressed (-19% vs baseline)

14-Day Return Quantiles

  • Median Return: +5.7%
  • Top 10% Move (90th percentile): +23.8%
  • Bottom 10% Move (10th percentile): -15.4%
  • Max Historical Gain (14d): +51.9%
  • Max Historical Loss (14d): -32.7%