Finance

FERG Move Probability $228.69 +0.75 (+0.3%)

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)
45.8%
Stock touched +5.0% ($240.13) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
23.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.96x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.5%
$211.63 — $245.76

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-20.5% to -17.8%: 5 occurrences (1.0%) -19.2% -17.8% to -15.0%: 7 occurrences (1.4%) -15.0% to -12.3%: 13 occurrences (2.6%) -12.3% to -9.5%: 21 occurrences (4.1%) -10.9% -9.5% to -6.8%: 36 occurrences (7.1%) -6.8% to -4.0%: 34 occurrences (6.7%) -4.0% to -1.3%: 44 occurrences (8.6%) -2.7% -1.3% to +1.5%: 101 occurrences (19.8%) +1.5% to +4.2%: 108 occurrences (21.2%) +4.2% to +6.9%: 64 occurrences (12.6%) 5.6% +6.9% to +9.7%: 35 occurrences (6.9%) +9.7% to +12.4%: 14 occurrences (2.8%) +12.4% to +15.2%: 7 occurrences (1.4%) 13.8% +15.2% to +17.9%: 11 occurrences (2.2%) +17.9% to +20.7%: 8 occurrences (1.6%) +20.7% to +23.4%: 1 occurrences (0.2%) 22.1%
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) 45.8% 23.4% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.2% Adjusts normal bell curve for real-world skewness (0.84) and kurtosis (11.17).
Standard Normal (Black-Scholes / GBM) 51.3% 25.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 44.1% 19.4% Filters for historical windows that started with volatility similar to current 20-day HV (304 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.7%
  • Recent 20-Day HV: 23.2%
  • Parkinson Intraday Volatility: 22.3%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +8.5%
  • Bottom 10% Move (10th percentile): -9.1%
  • Max Historical Gain (14d): +23.4%
  • Max Historical Loss (14d): -20.5%