Finance

DXCM Move Probability $80.26 -5.48 (-6.4%)

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)
57.5%
Stock touched +5.0% ($84.27) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
27.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.12x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.7%
$72.45 — $88.07

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%.

-22.9% to -19.6%: 8 occurrences (1.6%) -21.2% -19.6% to -16.4%: 6 occurrences (1.2%) -16.4% to -13.2%: 13 occurrences (2.6%) -13.2% to -9.9%: 26 occurrences (5.1%) -11.5% -9.9% to -6.7%: 38 occurrences (7.5%) -6.7% to -3.5%: 59 occurrences (11.6%) -3.5% to -0.2%: 87 occurrences (17.1%) -1.8% -0.2% to +3.0%: 79 occurrences (15.6%) +3.0% to +6.2%: 77 occurrences (15.2%) +6.2% to +9.5%: 40 occurrences (7.9%) 7.9% +9.5% to +12.7%: 20 occurrences (3.9%) +12.7% to +15.9%: 13 occurrences (2.6%) +15.9% to +19.2%: 14 occurrences (2.8%) 17.6% +19.2% to +22.4%: 16 occurrences (3.1%) +22.4% to +25.6%: 6 occurrences (1.2%) +25.6% to +28.9%: 6 occurrences (1.2%) 27.3%
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) 57.5% 27.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.8% Adjusts normal bell curve for real-world skewness (-0.06) and kurtosis (6.84).
Standard Normal (Black-Scholes / GBM) 61.6% 30.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.0% 23.2% Filters for historical windows that started with volatility similar to current 20-day HV (358 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.3%
  • Recent 20-Day HV: 36.7%
  • Parkinson Intraday Volatility: 32.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +12.9%
  • Bottom 10% Move (10th percentile): -10.1%
  • Max Historical Gain (14d): +28.9%
  • Max Historical Loss (14d): -22.9%