Finance

DUK Move Probability $123.67 +3.01 (+2.5%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
20.4%
Stock touched +5.0% ($129.85) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
8.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.42x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.0%
$118.69 — $128.65

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-10.0% to -8.8%: 1 occurrences (0.2%) -9.4% -8.8% to -7.6%: 4 occurrences (0.8%) -7.6% to -6.4%: 10 occurrences (2.0%) -6.4% to -5.2%: 10 occurrences (2.0%) -5.8% -5.2% to -4.0%: 24 occurrences (4.7%) -4.0% to -2.8%: 46 occurrences (9.0%) -2.8% to -1.7%: 49 occurrences (9.6%) -2.3% -1.7% to -0.5%: 67 occurrences (13.2%) -0.5% to +0.7%: 62 occurrences (12.2%) +0.7% to +1.9%: 62 occurrences (12.2%) 1.3% +1.9% to +3.1%: 55 occurrences (10.8%) +3.1% to +4.3%: 59 occurrences (11.6%) +4.3% to +5.5%: 29 occurrences (5.7%) 4.9% +5.5% to +6.7%: 18 occurrences (3.5%) +6.7% to +7.9%: 9 occurrences (1.8%) +7.9% to +9.0%: 4 occurrences (0.8%) 8.5%
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) 20.4% 8.4% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.3% Adjusts normal bell curve for real-world skewness (-0.24) and kurtosis (0.51).
Standard Normal (Black-Scholes / GBM) 22.6% 11.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.0% 8.4% Filters for historical windows that started with volatility similar to current 20-day HV (431 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 17.1%
  • Recent 20-Day HV: 16.7%
  • Parkinson Intraday Volatility: 14.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +4.6%
  • Bottom 10% Move (10th percentile): -3.9%
  • Max Historical Gain (14d): +9.0%
  • Max Historical Loss (14d): -10.0%