Finance

FENG Move Probability $1.38 -0.09 (-6.1%)

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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Touch Probability (First Passage)
33.3%
Stock touched +5.0% ($1.45) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
21.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.56x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.6%
$1.18 — $1.58

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%.

-30.0% to -25.0%: 15 occurrences (3.0%) -27.5% -25.0% to -20.1%: 11 occurrences (2.2%) -20.1% to -15.1%: 21 occurrences (4.1%) -15.1% to -10.2%: 32 occurrences (6.3%) -12.6% -10.2% to -5.2%: 77 occurrences (15.2%) -5.2% to -0.2%: 91 occurrences (17.9%) -0.2% to +4.7%: 146 occurrences (28.7%) 2.2% +4.7% to +9.7%: 68 occurrences (13.4%) +9.7% to +14.6%: 16 occurrences (3.1%) +14.6% to +19.6%: 13 occurrences (2.6%) 17.1% +19.6% to +24.6%: 3 occurrences (0.6%) +24.6% to +29.5%: 2 occurrences (0.4%) +29.5% to +34.5%: 0 occurrences (0.0%) 32.0% +34.5% to +39.4%: 10 occurrences (2.0%) +39.4% to +44.4%: 0 occurrences (0.0%) +44.4% to +49.4%: 3 occurrences (0.6%) 46.9%
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) 33.3% 21.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.6% Adjusts normal bell curve for real-world skewness (-1.65) and kurtosis (28.08).
Standard Normal (Black-Scholes / GBM) 73.8% 36.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 41.5% 32.5% Filters for historical windows that started with volatility similar to current 20-day HV (123 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.0%
  • Recent 20-Day HV: 32.5%
  • Parkinson Intraday Volatility: 12.3%
  • Vol Trend: Compressed (-48% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +8.3%
  • Bottom 10% Move (10th percentile): -14.0%
  • Max Historical Gain (14d): +49.4%
  • Max Historical Loss (14d): -30.0%