Finance

F Move Probability $11.88 -0.26 (-2.1%)

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)
51.6%
Stock touched +5.0% ($12.48) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
25.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.2%
$10.91 — $12.86

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%.

-19.5% to -15.6%: 6 occurrences (1.2%) -17.5% -15.6% to -11.6%: 18 occurrences (3.5%) -11.6% to -7.7%: 30 occurrences (5.9%) -7.7% to -3.8%: 68 occurrences (13.4%) -5.7% -3.8% to +0.2%: 114 occurrences (22.4%) +0.2% to +4.1%: 119 occurrences (23.4%) +4.1% to +8.0%: 84 occurrences (16.5%) 6.1% +8.0% to +12.0%: 47 occurrences (9.3%) +12.0% to +15.9%: 11 occurrences (2.2%) +15.9% to +19.8%: 4 occurrences (0.8%) 17.9% +19.8% to +23.8%: 0 occurrences (0.0%) +23.8% to +27.7%: 0 occurrences (0.0%) +27.7% to +31.6%: 0 occurrences (0.0%) 29.7% +31.6% to +35.6%: 4 occurrences (0.8%) +35.6% to +39.5%: 1 occurrences (0.2%) +39.5% to +43.4%: 2 occurrences (0.4%) 41.5%
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) 51.6% 25.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.7% Adjusts normal bell curve for real-world skewness (0.55) and kurtosis (4.55).
Standard Normal (Black-Scholes / GBM) 55.4% 27.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.5% 19.4% Filters for historical windows that started with volatility similar to current 20-day HV (278 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.0%
  • Recent 20-Day HV: 23.7%
  • Parkinson Intraday Volatility: 28.0%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.7%
  • Top 10% Move (90th percentile): +9.2%
  • Bottom 10% Move (10th percentile): -8.0%
  • Max Historical Gain (14d): +43.4%
  • Max Historical Loss (14d): -19.5%