Finance

FACO Move Probability $6.06 +0.09 (+1.5%)

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

← Back to FACO Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
50.5%
Stock touched +5.0% ($6.37) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
26.9%
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%)
±9.4%
$5.49 — $6.63

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-15.4% to -12.7%: 7 occurrences (1.4%) -14.0% -12.7% to -10.0%: 8 occurrences (1.6%) -10.0% to -7.4%: 28 occurrences (5.7%) -7.4% to -4.7%: 41 occurrences (8.4%) -6.1% -4.7% to -2.1%: 57 occurrences (11.7%) -2.1% to +0.6%: 110 occurrences (22.6%) +0.6% to +3.2%: 67 occurrences (13.8%) 1.9% +3.2% to +5.9%: 50 occurrences (10.3%) +5.9% to +8.6%: 27 occurrences (5.5%) +8.6% to +11.2%: 24 occurrences (4.9%) 9.9% +11.2% to +13.9%: 38 occurrences (7.8%) +13.9% to +16.5%: 10 occurrences (2.1%) +16.5% to +19.2%: 6 occurrences (1.2%) 17.9% +19.2% to +21.8%: 7 occurrences (1.4%) +21.8% to +24.5%: 4 occurrences (0.8%) +24.5% to +27.2%: 3 occurrences (0.6%) 25.8%
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) 50.5% 26.9% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.5% Adjusts normal bell curve for real-world skewness (1.08) and kurtosis (6.76).
Standard Normal (Black-Scholes / GBM) 60.5% 30.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.9% 29.9% Filters for historical windows that started with volatility similar to current 20-day HV (348 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 40.0%
  • Recent 20-Day HV: 35.8%
  • Parkinson Intraday Volatility: 26.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +12.1%
  • Bottom 10% Move (10th percentile): -7.1%
  • Max Historical Gain (14d): +27.2%
  • Max Historical Loss (14d): -15.4%