Finance

DTE Move Probability $129.64 +0.38 (+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)
23.4%
Stock touched +5.0% ($136.12) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
12.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.83x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.1%
$124.28 — $135.00

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%.

-11.1% to -9.8%: 3 occurrences (0.6%) -10.5% -9.8% to -8.4%: 5 occurrences (1.0%) -8.4% to -7.0%: 3 occurrences (0.6%) -7.0% to -5.6%: 17 occurrences (3.3%) -6.3% -5.6% to -4.3%: 31 occurrences (6.1%) -4.3% to -2.9%: 42 occurrences (8.3%) -2.9% to -1.5%: 69 occurrences (13.6%) -2.2% -1.5% to -0.1%: 71 occurrences (14.0%) -0.1% to +1.2%: 64 occurrences (12.6%) +1.2% to +2.6%: 74 occurrences (14.6%) 1.9% +2.6% to +4.0%: 44 occurrences (8.7%) +4.0% to +5.4%: 30 occurrences (5.9%) +5.4% to +6.7%: 25 occurrences (4.9%) 6.1% +6.7% to +8.1%: 17 occurrences (3.3%) +8.1% to +9.5%: 7 occurrences (1.4%) +9.5% to +10.9%: 6 occurrences (1.2%) 10.2%
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) 23.4% 12.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.6% Adjusts normal bell curve for real-world skewness (-0.47) and kurtosis (1.42).
Standard Normal (Black-Scholes / GBM) 23.8% 11.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 21.8% 13.1% Filters for historical windows that started with volatility similar to current 20-day HV (444 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 17.5%
  • Recent 20-Day HV: 17.0%
  • Parkinson Intraday Volatility: 15.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +5.4%
  • Bottom 10% Move (10th percentile): -4.6%
  • Max Historical Gain (14d): +10.9%
  • Max Historical Loss (14d): -11.1%