Finance

FF Move Probability $5.57 +0.02 (+0.4%)

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)
56.5%
Stock touched +5.0% ($5.85) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
28.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.2%
$4.95 — $6.19

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%.

-27.0% to -23.1%: 1 occurrences (0.2%) -25.1% -23.1% to -19.3%: 6 occurrences (1.2%) -19.3% to -15.5%: 21 occurrences (4.1%) -15.5% to -11.6%: 28 occurrences (5.5%) -13.5% -11.6% to -7.8%: 32 occurrences (6.3%) -7.8% to -3.9%: 58 occurrences (11.4%) -3.9% to -0.1%: 86 occurrences (16.9%) -2.0% -0.1% to +3.7%: 106 occurrences (20.9%) +3.7% to +7.6%: 80 occurrences (15.7%) +7.6% to +11.4%: 38 occurrences (7.5%) 9.5% +11.4% to +15.3%: 20 occurrences (3.9%) +15.3% to +19.1%: 10 occurrences (2.0%) +19.1% to +22.9%: 8 occurrences (1.6%) 21.0% +22.9% to +26.8%: 9 occurrences (1.8%) +26.8% to +30.6%: 3 occurrences (0.6%) +30.6% to +34.5%: 2 occurrences (0.4%) 32.5%
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) 56.5% 28.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.0% Adjusts normal bell curve for real-world skewness (-0.23) and kurtosis (10.8).
Standard Normal (Black-Scholes / GBM) 66.2% 33.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.9% 31.8% Filters for historical windows that started with volatility similar to current 20-day HV (195 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.4%
  • Recent 20-Day HV: 26.2%
  • Parkinson Intraday Volatility: 33.4%
  • Vol Trend: Compressed (-45% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +11.7%
  • Bottom 10% Move (10th percentile): -13.1%
  • Max Historical Gain (14d): +34.5%
  • Max Historical Loss (14d): -27.0%