Finance

DSP Move Probability $13.53 +0.04 (+0.3%)

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)
70.7%
Stock touched +5.0% ($14.21) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
39.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.2%
$11.33 — $15.73

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%.

-43.0% to -36.2%: 14 occurrences (2.8%) -39.6% -36.2% to -29.5%: 8 occurrences (1.6%) -29.5% to -22.7%: 10 occurrences (2.0%) -22.7% to -15.9%: 18 occurrences (3.5%) -19.3% -15.9% to -9.2%: 46 occurrences (9.1%) -9.2% to -2.4%: 86 occurrences (16.9%) -2.4% to +4.4%: 116 occurrences (22.8%) 1.0% +4.4% to +11.1%: 98 occurrences (19.3%) +11.1% to +17.9%: 52 occurrences (10.2%) +17.9% to +24.7%: 29 occurrences (5.7%) 21.3% +24.7% to +31.4%: 14 occurrences (2.8%) +31.4% to +38.2%: 3 occurrences (0.6%) +38.2% to +44.9%: 5 occurrences (1.0%) 41.6% +44.9% to +51.7%: 5 occurrences (1.0%) +51.7% to +58.5%: 3 occurrences (0.6%) +58.5% to +65.2%: 1 occurrences (0.2%) 61.9%
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) 70.7% 39.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.5% Adjusts normal bell curve for real-world skewness (-0.9) and kurtosis (10.4).
Standard Normal (Black-Scholes / GBM) 76.4% 38.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.6% 38.6% Filters for historical windows that started with volatility similar to current 20-day HV (207 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 68.8%
  • Recent 20-Day HV: 43.5%
  • Parkinson Intraday Volatility: 44.4%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.0%
  • Top 10% Move (90th percentile): +19.6%
  • Bottom 10% Move (10th percentile): -15.2%
  • Max Historical Gain (14d): +65.2%
  • Max Historical Loss (14d): -43.0%