Finance

DNUT Move Probability $2.87 -0.09 (-3.2%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to DNUT Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
62.4%
Stock touched +5.0% ($3.01) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
26.4%
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%)
±15.8%
$2.42 — $3.32

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%.

-41.6% to -36.5%: 5 occurrences (1.0%) -39.0% -36.5% to -31.3%: 8 occurrences (1.6%) -31.3% to -26.1%: 15 occurrences (3.0%) -26.1% to -20.9%: 17 occurrences (3.3%) -23.5% -20.9% to -15.7%: 18 occurrences (3.5%) -15.7% to -10.6%: 58 occurrences (11.4%) -10.6% to -5.4%: 86 occurrences (16.9%) -8.0% -5.4% to -0.2%: 104 occurrences (20.5%) -0.2% to +5.0%: 63 occurrences (12.4%) +5.0% to +10.1%: 52 occurrences (10.2%) 7.6% +10.1% to +15.3%: 26 occurrences (5.1%) +15.3% to +20.5%: 29 occurrences (5.7%) +20.5% to +25.7%: 18 occurrences (3.5%) 23.1% +25.7% to +30.9%: 7 occurrences (1.4%) +30.9% to +36.0%: 1 occurrences (0.2%) +36.0% to +41.2%: 1 occurrences (0.2%) 38.6%
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) 62.4% 26.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.1% Adjusts normal bell curve for real-world skewness (-0.22) and kurtosis (9.89).
Standard Normal (Black-Scholes / GBM) 75.8% 37.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.7% 22.9% Filters for historical windows that started with volatility similar to current 20-day HV (131 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 67.2%
  • Recent 20-Day HV: 34.5%
  • Parkinson Intraday Volatility: 56.0%
  • Vol Trend: Compressed (-49% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.1%
  • Top 10% Move (90th percentile): +15.8%
  • Bottom 10% Move (10th percentile): -18.4%
  • Max Historical Gain (14d): +41.2%
  • Max Historical Loss (14d): -41.6%