Finance

FG Move Probability $20.34 +0.21 (+1.1%)

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)
49.4%
Stock touched +5.0% ($21.36) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
20.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.41x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.7%
$18.37 — $22.31

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%.

-23.8% to -20.7%: 8 occurrences (1.6%) -22.3% -20.7% to -17.6%: 11 occurrences (2.2%) -17.6% to -14.4%: 17 occurrences (3.3%) -14.4% to -11.3%: 33 occurrences (6.5%) -12.8% -11.3% to -8.1%: 50 occurrences (9.8%) -8.1% to -5.0%: 48 occurrences (9.4%) -5.0% to -1.8%: 67 occurrences (13.2%) -3.4% -1.8% to +1.3%: 76 occurrences (15.0%) +1.3% to +4.5%: 84 occurrences (16.5%) +4.5% to +7.6%: 47 occurrences (9.3%) 6.0% +7.6% to +10.8%: 29 occurrences (5.7%) +10.8% to +13.9%: 21 occurrences (4.1%) +13.9% to +17.0%: 6 occurrences (1.2%) 15.5% +17.0% to +20.2%: 6 occurrences (1.2%) +20.2% to +23.3%: 3 occurrences (0.6%) +23.3% to +26.5%: 2 occurrences (0.4%) 24.9%
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) 49.4% 20.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.5% Adjusts normal bell curve for real-world skewness (-0.79) and kurtosis (6.17).
Standard Normal (Black-Scholes / GBM) 61.5% 30.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.4% 20.4% Filters for historical windows that started with volatility similar to current 20-day HV (338 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.1%
  • Recent 20-Day HV: 33.4%
  • Parkinson Intraday Volatility: 26.3%
  • Vol Trend: Compressed (-19% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +9.3%
  • Bottom 10% Move (10th percentile): -12.7%
  • Max Historical Gain (14d): +26.5%
  • Max Historical Loss (14d): -23.8%