Finance

DRDB Move Probability $10.72 +0.00 (+0.0%)

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)
0.0%
Stock touched +5.0% ($11.26) at least once during 14 trading days.
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±0.5%
$10.67 — $10.77

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 415 historical windows (2025-02-05 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-1.6% to -1.4%: 1 occurrences (0.2%) -1.5% -1.4% to -1.2%: 0 occurrences (0.0%) -1.2% to -0.9%: 2 occurrences (0.5%) -0.9% to -0.7%: 4 occurrences (1.0%) -0.8% -0.7% to -0.5%: 9 occurrences (2.2%) -0.5% to -0.2%: 24 occurrences (5.8%) -0.2% to -0.0%: 25 occurrences (6.0%) -0.1% -0.0% to +0.2%: 183 occurrences (44.1%) +0.2% to +0.4%: 42 occurrences (10.1%) +0.4% to +0.7%: 56 occurrences (13.5%) 0.6% +0.7% to +0.9%: 10 occurrences (2.4%) +0.9% to +1.1%: 21 occurrences (5.1%) +1.1% to +1.4%: 23 occurrences (5.5%) 1.2% +1.4% to +1.6%: 5 occurrences (1.2%) +1.6% to +1.8%: 3 occurrences (0.7%) +1.8% to +2.1%: 7 occurrences (1.7%) 1.9%
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) 0.0% 0.0% Model-free reality across 415 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (2.75) and kurtosis (20.88).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (99 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 2.0%
  • Recent 20-Day HV: 3.7%
  • Parkinson Intraday Volatility: 0.3%
  • Vol Trend: Expanded (+80% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +1.0%
  • Bottom 10% Move (10th percentile): -0.2%
  • Max Historical Gain (14d): +2.1%
  • Max Historical Loss (14d): -1.6%