Finance

DLPN Move Probability $0.97 -0.06 (-5.8%)

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)
57.6%
Stock touched +5.0% ($1.02) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
29.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.5%
$0.82 — $1.12

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-25.8% to -22.2%: 6 occurrences (1.2%) -24.0% -22.2% to -18.5%: 8 occurrences (1.6%) -18.5% to -14.9%: 16 occurrences (3.2%) -14.9% to -11.3%: 11 occurrences (2.2%) -13.1% -11.3% to -7.6%: 47 occurrences (9.3%) -7.6% to -4.0%: 92 occurrences (18.1%) -4.0% to -0.4%: 86 occurrences (17.0%) -2.2% -0.4% to +3.2%: 62 occurrences (12.2%) +3.2% to +6.9%: 60 occurrences (11.8%) +6.9% to +10.5%: 54 occurrences (10.7%) 8.7% +10.5% to +14.1%: 30 occurrences (5.9%) +14.1% to +17.8%: 20 occurrences (3.9%) +17.8% to +21.4%: 6 occurrences (1.2%) 19.6% +21.4% to +25.0%: 8 occurrences (1.6%) +25.0% to +28.7%: 0 occurrences (0.0%) +28.7% to +32.3%: 1 occurrences (0.2%) 30.5%
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) 57.6% 29.6% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.9% Adjusts normal bell curve for real-world skewness (-0.26) and kurtosis (4.44).
Standard Normal (Black-Scholes / GBM) 75.3% 37.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 42.7% 26.7% Filters for historical windows that started with volatility similar to current 20-day HV (150 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 65.7%
  • Recent 20-Day HV: 36.9%
  • Parkinson Intraday Volatility: 26.9%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +12.0%
  • Bottom 10% Move (10th percentile): -10.6%
  • Max Historical Gain (14d): +32.3%
  • Max Historical Loss (14d): -25.8%