Finance

FIP Move Probability $2.40 +0.10 (+4.6%)

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)
69.3%
Stock touched +5.0% ($2.53) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
29.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.36x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.2%
$2.01 — $2.80

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%.

-39.0% to -33.9%: 3 occurrences (0.6%) -36.5% -33.9% to -28.8%: 7 occurrences (1.4%) -28.8% to -23.7%: 22 occurrences (4.3%) -23.7% to -18.6%: 34 occurrences (6.7%) -21.2% -18.6% to -13.5%: 58 occurrences (11.4%) -13.5% to -8.4%: 49 occurrences (9.6%) -8.4% to -3.3%: 78 occurrences (15.4%) -5.9% -3.3% to +1.8%: 73 occurrences (14.4%) +1.8% to +6.8%: 56 occurrences (11.0%) +6.8% to +11.9%: 48 occurrences (9.4%) 9.4% +11.9% to +17.0%: 21 occurrences (4.1%) +17.0% to +22.1%: 22 occurrences (4.3%) +22.1% to +27.2%: 13 occurrences (2.6%) 24.7% +27.2% to +32.3%: 15 occurrences (3.0%) +32.3% to +37.4%: 5 occurrences (1.0%) +37.4% to +42.5%: 4 occurrences (0.8%) 40.0%
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) 69.3% 29.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.1% Adjusts normal bell curve for real-world skewness (0.0) and kurtosis (2.24).
Standard Normal (Black-Scholes / GBM) 76.4% 38.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 66.8% 31.3% Filters for historical windows that started with volatility similar to current 20-day HV (371 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 68.9%
  • Recent 20-Day HV: 75.9%
  • Parkinson Intraday Volatility: 59.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -3.0%
  • Top 10% Move (90th percentile): +18.4%
  • Bottom 10% Move (10th percentile): -21.0%
  • Max Historical Gain (14d): +42.5%
  • Max Historical Loss (14d): -39.0%