Finance

EDIT Move Probability $2.50 -0.08 (-2.9%)

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)
79.7%
Stock touched +5.0% ($2.62) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
37.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.13x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±25.1%
$1.87 — $3.13

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%.

-53.8% to -41.7%: 3 occurrences (0.6%) -47.7% -41.7% to -29.7%: 27 occurrences (5.3%) -29.7% to -17.6%: 59 occurrences (11.6%) -17.6% to -5.6%: 121 occurrences (23.8%) -11.6% -5.6% to +6.4%: 120 occurrences (23.6%) +6.4% to +18.5%: 67 occurrences (13.2%) +18.5% to +30.5%: 54 occurrences (10.6%) 24.5% +30.5% to +42.5%: 22 occurrences (4.3%) +42.5% to +54.6%: 27 occurrences (5.3%) +54.6% to +66.6%: 6 occurrences (1.2%) 60.6% +66.6% to +78.6%: 1 occurrences (0.2%) +78.6% to +90.7%: 0 occurrences (0.0%) +90.7% to +102.7%: 0 occurrences (0.0%) 96.7% +102.7% to +114.7%: 0 occurrences (0.0%) +114.7% to +126.8%: 0 occurrences (0.0%) +126.8% to +138.8%: 1 occurrences (0.2%) 132.8%
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) 79.7% 37.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.9% Adjusts normal bell curve for real-world skewness (1.11) and kurtosis (16.81).
Standard Normal (Black-Scholes / GBM) 84.6% 42.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.3% 37.4% Filters for historical windows that started with volatility similar to current 20-day HV (364 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 106.4%
  • Recent 20-Day HV: 80.4%
  • Parkinson Intraday Volatility: 86.2%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.3%
  • Top 10% Move (90th percentile): +33.0%
  • Bottom 10% Move (10th percentile): -24.8%
  • Max Historical Gain (14d): +138.8%
  • Max Historical Loss (14d): -53.8%