Finance

FICO Move Probability $794.79 -4.72 (-0.6%)

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)
53.7%
Stock touched +5.0% ($834.53) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
27.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.94x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.2%
$689.75 — $899.84

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%.

-38.3% to -33.7%: 3 occurrences (0.6%) -36.0% -33.7% to -29.2%: 8 occurrences (1.6%) -29.2% to -24.6%: 4 occurrences (0.8%) -24.6% to -20.0%: 8 occurrences (1.6%) -22.3% -20.0% to -15.4%: 34 occurrences (6.7%) -15.4% to -10.9%: 58 occurrences (11.4%) -10.9% to -6.3%: 68 occurrences (13.4%) -8.6% -6.3% to -1.7%: 65 occurrences (12.8%) -1.7% to +2.9%: 81 occurrences (15.9%) +2.9% to +7.4%: 72 occurrences (14.2%) 5.1% +7.4% to +12.0%: 54 occurrences (10.6%) +12.0% to +16.6%: 30 occurrences (5.9%) +16.6% to +21.1%: 21 occurrences (4.1%) 18.9% +21.1% to +25.7%: 0 occurrences (0.0%) +25.7% to +30.3%: 1 occurrences (0.2%) +30.3% to +34.9%: 1 occurrences (0.2%) 32.6%
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) 53.7% 27.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.6% Adjusts normal bell curve for real-world skewness (-2.04) and kurtosis (15.68).
Standard Normal (Black-Scholes / GBM) 71.2% 35.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 81.8% 31.8% Filters for historical windows that started with volatility similar to current 20-day HV (22 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 56.1%
  • Recent 20-Day HV: 133.6%
  • Parkinson Intraday Volatility: 40.0%
  • Vol Trend: Expanded (+138% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.3%
  • Top 10% Move (90th percentile): +12.3%
  • Bottom 10% Move (10th percentile): -16.4%
  • Max Historical Gain (14d): +34.9%
  • Max Historical Loss (14d): -38.3%