Finance

FA Move Probability $19.67 +0.12 (+0.6%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to FA Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
62.4%
Stock touched +5.0% ($20.65) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
33.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.3%
$17.25 — $22.09

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%.

-34.7% to -30.3%: 9 occurrences (1.8%) -32.5% -30.3% to -25.9%: 11 occurrences (2.2%) -25.9% to -21.4%: 3 occurrences (0.6%) -21.4% to -17.0%: 5 occurrences (1.0%) -19.2% -17.0% to -12.6%: 19 occurrences (3.7%) -12.6% to -8.2%: 38 occurrences (7.5%) -8.2% to -3.8%: 95 occurrences (18.7%) -6.0% -3.8% to +0.6%: 79 occurrences (15.6%) +0.6% to +5.1%: 80 occurrences (15.7%) +5.1% to +9.5%: 74 occurrences (14.6%) 7.3% +9.5% to +13.9%: 38 occurrences (7.5%) +13.9% to +18.3%: 24 occurrences (4.7%) +18.3% to +22.7%: 12 occurrences (2.4%) 20.5% +22.7% to +27.1%: 8 occurrences (1.6%) +27.1% to +31.6%: 8 occurrences (1.6%) +31.6% to +36.0%: 5 occurrences (1.0%) 33.8%
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) 62.4% 33.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.5% Adjusts normal bell curve for real-world skewness (1.11) and kurtosis (7.92).
Standard Normal (Black-Scholes / GBM) 69.2% 34.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.7% 34.5% Filters for historical windows that started with volatility similar to current 20-day HV (319 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 52.3%
  • Recent 20-Day HV: 44.5%
  • Parkinson Intraday Volatility: 38.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +15.3%
  • Bottom 10% Move (10th percentile): -11.2%
  • Max Historical Gain (14d): +36.0%
  • Max Historical Loss (14d): -34.7%