Finance

DKL Move Probability $56.85 -0.38 (-0.7%)

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)
42.9%
Stock touched +5.0% ($59.69) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
25.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.2%
$53.30 — $60.40

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%.

-17.8% to -15.8%: 4 occurrences (0.8%) -16.8% -15.8% to -13.7%: 5 occurrences (1.0%) -13.7% to -11.6%: 7 occurrences (1.4%) -11.6% to -9.5%: 9 occurrences (1.8%) -10.5% -9.5% to -7.4%: 7 occurrences (1.4%) -7.4% to -5.3%: 22 occurrences (4.3%) -5.3% to -3.2%: 34 occurrences (6.7%) -4.3% -3.2% to -1.1%: 55 occurrences (10.8%) -1.1% to +1.0%: 74 occurrences (14.6%) +1.0% to +3.0%: 82 occurrences (16.1%) 2.0% +3.0% to +5.1%: 87 occurrences (17.1%) +5.1% to +7.2%: 56 occurrences (11.0%) +7.2% to +9.3%: 36 occurrences (7.1%) 8.3% +9.3% to +11.4%: 17 occurrences (3.3%) +11.4% to +13.5%: 9 occurrences (1.8%) +13.5% to +15.6%: 4 occurrences (0.8%) 14.5%
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) 42.9% 25.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.6% Adjusts normal bell curve for real-world skewness (-1.66) and kurtosis (10.3).
Standard Normal (Black-Scholes / GBM) 43.5% 21.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 37.0% 16.0% Filters for historical windows that started with volatility similar to current 20-day HV (238 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 26.5%
  • Recent 20-Day HV: 17.5%
  • Parkinson Intraday Volatility: 15.7%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.0%
  • Top 10% Move (90th percentile): +8.0%
  • Bottom 10% Move (10th percentile): -5.4%
  • Max Historical Gain (14d): +15.6%
  • Max Historical Loss (14d): -17.8%