Finance

FGI Move Probability $7.47 -0.39 (-4.9%)

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)
63.9%
Stock touched +5.0% ($7.85) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
37.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±46.6%
$3.99 — $10.96

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-41.0% to +100.5%: 482 occurrences (95.1%) 29.8% +100.5% to +242.0%: 9 occurrences (1.8%) +242.0% to +383.5%: 2 occurrences (0.4%) +383.5% to +525.0%: 0 occurrences (0.0%) 454.3% +525.0% to +666.6%: 2 occurrences (0.4%) +666.6% to +808.1%: 0 occurrences (0.0%) +808.1% to +949.6%: 1 occurrences (0.2%) 878.8% +949.6% to +1091.1%: 0 occurrences (0.0%) +1091.1% to +1232.6%: 0 occurrences (0.0%) +1232.6% to +1374.1%: 0 occurrences (0.0%) 1303.4% +1374.1% to +1515.6%: 0 occurrences (0.0%) +1515.6% to +1657.1%: 3 occurrences (0.6%) +1657.1% to +1798.6%: 3 occurrences (0.6%) 1727.9% +1798.6% to +1940.1%: 3 occurrences (0.6%) +1940.1% to +2081.7%: 1 occurrences (0.2%) +2081.7% to +2223.2%: 1 occurrences (0.2%) 2152.4%
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) 63.9% 37.9% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.6% Adjusts normal bell curve for real-world skewness (6.17) and kurtosis (66.05).
Standard Normal (Black-Scholes / GBM) 91.7% 45.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.0% 44.4% Filters for historical windows that started with volatility similar to current 20-day HV (54 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 197.6%
  • Recent 20-Day HV: 51.4%
  • Parkinson Intraday Volatility: 79.2%
  • Vol Trend: Compressed (-74% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +41.7%
  • Bottom 10% Move (10th percentile): -24.7%
  • Max Historical Gain (14d): +2223.2%
  • Max Historical Loss (14d): -41.0%