Finance

FFBW Move Probability $11.80 +0.03 (+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)
10.5%
Stock touched +5.0% ($12.39) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
5.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.04x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.3%
$11.41 — $12.19

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-6.5% to -5.2%: 8 occurrences (1.6%) -5.8% -5.2% to -4.0%: 13 occurrences (2.7%) -4.0% to -2.8%: 13 occurrences (2.7%) -2.8% to -1.5%: 48 occurrences (9.9%) -2.1% -1.5% to -0.3%: 90 occurrences (18.5%) -0.3% to +0.9%: 139 occurrences (28.5%) +0.9% to +2.2%: 84 occurrences (17.2%) 1.6% +2.2% to +3.4%: 49 occurrences (10.1%) +3.4% to +4.7%: 11 occurrences (2.3%) +4.7% to +5.9%: 20 occurrences (4.1%) 5.3% +5.9% to +7.1%: 6 occurrences (1.2%) +7.1% to +8.4%: 2 occurrences (0.4%) +8.4% to +9.6%: 1 occurrences (0.2%) 9.0% +9.6% to +10.8%: 2 occurrences (0.4%) +10.8% to +12.1%: 0 occurrences (0.0%) +12.1% to +13.3%: 1 occurrences (0.2%) 12.7%
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) 10.5% 5.1% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.7% Adjusts normal bell curve for real-world skewness (1.83) and kurtosis (27.31).
Standard Normal (Black-Scholes / GBM) 14.4% 7.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 31.6% 23.7% Filters for historical windows that started with volatility similar to current 20-day HV (38 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 14.2%
  • Recent 20-Day HV: 5.2%
  • Parkinson Intraday Volatility: 7.8%
  • Vol Trend: Compressed (-63% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +3.2%
  • Bottom 10% Move (10th percentile): -2.3%
  • Max Historical Gain (14d): +13.3%
  • Max Historical Loss (14d): -6.5%