Finance

DREM Move Probability $0.02 -0.01 (-37.5%)

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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Touch Probability (First Passage)
46.9%
Stock touched +5.0% ($0.02) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.42x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±61.0%
$0.01 — $0.03

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 486 historical windows (2024-10-22 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-71.1% to -29.2%: 86 occurrences (17.7%) -50.1% -29.2% to +12.8%: 274 occurrences (56.4%) +12.8% to +54.7%: 60 occurrences (12.3%) +54.7% to +96.7%: 24 occurrences (4.9%) 75.7% +96.7% to +138.6%: 19 occurrences (3.9%) +138.6% to +180.6%: 0 occurrences (0.0%) +180.6% to +222.5%: 8 occurrences (1.6%) 201.5% +222.5% to +264.5%: 9 occurrences (1.9%) +264.5% to +306.4%: 0 occurrences (0.0%) +306.4% to +348.3%: 5 occurrences (1.0%) 327.4% +348.3% to +390.3%: 0 occurrences (0.0%) +390.3% to +432.2%: 0 occurrences (0.0%) +432.2% to +474.2%: 0 occurrences (0.0%) 453.2% +474.2% to +516.1%: 0 occurrences (0.0%) +516.1% to +558.1%: 0 occurrences (0.0%) +558.1% to +600.0%: 1 occurrences (0.2%) 579.0%
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) 46.9% 33.1% Model-free reality across 486 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.8% Adjusts normal bell curve for real-world skewness (4.15) and kurtosis (51.21).
Standard Normal (Black-Scholes / GBM) 93.6% 46.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.6% 32.3% Filters for historical windows that started with volatility similar to current 20-day HV (161 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 258.8%
  • Recent 20-Day HV: 171.9%
  • Parkinson Intraday Volatility: 67.1%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +60.3%
  • Bottom 10% Move (10th percentile): -34.5%
  • Max Historical Gain (14d): +600.0%
  • Max Historical Loss (14d): -71.1%