Finance

FFAI Move Probability $0.64 -0.02 (-3.1%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
76.2%
Stock touched +5.0% ($0.67) at least once during 14 trading days.
Median first touch: Day 1 of 14
Expiration Close Probability
24.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.17x
You are 3.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±34.6%
$0.42 — $0.87

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%.

-86.0% to -67.2%: 14 occurrences (2.8%) -76.6% -67.2% to -48.3%: 18 occurrences (3.5%) -48.3% to -29.5%: 77 occurrences (15.2%) -29.5% to -10.7%: 162 occurrences (31.9%) -20.1% -10.7% to +8.2%: 128 occurrences (25.2%) +8.2% to +27.0%: 62 occurrences (12.2%) +27.0% to +45.9%: 24 occurrences (4.7%) 36.4% +45.9% to +64.7%: 9 occurrences (1.8%) +64.7% to +83.5%: 7 occurrences (1.4%) +83.5% to +102.4%: 4 occurrences (0.8%) 92.9% +102.4% to +121.2%: 0 occurrences (0.0%) +121.2% to +140.0%: 1 occurrences (0.2%) +140.0% to +158.9%: 0 occurrences (0.0%) 149.5% +158.9% to +177.7%: 1 occurrences (0.2%) +177.7% to +196.5%: 0 occurrences (0.0%) +196.5% to +215.4%: 1 occurrences (0.2%) 206.0%
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) 76.2% 24.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.4% Adjusts normal bell curve for real-world skewness (1.15) and kurtosis (10.38).
Standard Normal (Black-Scholes / GBM) 88.8% 44.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.5% 30.3% Filters for historical windows that started with volatility similar to current 20-day HV (251 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 146.7%
  • Recent 20-Day HV: 141.0%
  • Parkinson Intraday Volatility: 125.7%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -13.0%
  • Top 10% Move (90th percentile): +25.3%
  • Bottom 10% Move (10th percentile): -43.0%
  • Max Historical Gain (14d): +215.4%
  • Max Historical Loss (14d): -86.0%