Finance

FACT Move Probability $10.73 +0.00 (+0.0%)

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)
0.0%
Stock touched +5.0% ($11.27) at least once during 14 trading days.
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±0.5%
$10.68 — $10.78

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 430 historical windows (2025-01-14 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-0.4% to -0.2%: 11 occurrences (2.6%) -0.3% -0.2% to -0.1%: 13 occurrences (3.0%) -0.1% to +0.0%: 182 occurrences (42.3%) +0.0% to +0.2%: 41 occurrences (9.5%) 0.1% +0.2% to +0.3%: 46 occurrences (10.7%) +0.3% to +0.4%: 3 occurrences (0.7%) +0.4% to +0.6%: 23 occurrences (5.3%) 0.5% +0.6% to +0.7%: 48 occurrences (11.2%) +0.7% to +0.8%: 8 occurrences (1.9%) +0.8% to +1.0%: 30 occurrences (7.0%) 0.9% +1.0% to +1.1%: 11 occurrences (2.6%) +1.1% to +1.2%: 6 occurrences (1.4%) +1.2% to +1.4%: 5 occurrences (1.2%) 1.3% +1.4% to +1.5%: 0 occurrences (0.0%) +1.5% to +1.6%: 0 occurrences (0.0%) +1.6% to +1.8%: 3 occurrences (0.7%) 1.7%
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) 0.0% 0.0% Model-free reality across 430 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (6.11) and kurtosis (47.33).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (65 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 2.0%
  • Recent 20-Day HV: 3.3%
  • Parkinson Intraday Volatility: 0.6%
  • Vol Trend: Expanded (+69% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +0.9%
  • Bottom 10% Move (10th percentile): +0.0%
  • Max Historical Gain (14d): +1.8%
  • Max Historical Loss (14d): -0.4%