Finance

FLL Move Probability $0.95 -0.05 (-5.1%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
57.3%
Stock touched +5.0% ($1.00) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
25.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.22x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.2%
$0.82 — $1.09

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%.

-41.3% to -36.2%: 5 occurrences (1.0%) -38.8% -36.2% to -31.2%: 7 occurrences (1.4%) -31.2% to -26.1%: 14 occurrences (2.8%) -26.1% to -21.0%: 22 occurrences (4.3%) -23.5% -21.0% to -15.9%: 26 occurrences (5.1%) -15.9% to -10.9%: 59 occurrences (11.6%) -10.9% to -5.8%: 86 occurrences (16.9%) -8.3% -5.8% to -0.7%: 83 occurrences (16.3%) -0.7% to +4.4%: 70 occurrences (13.8%) +4.4% to +9.4%: 38 occurrences (7.5%) 6.9% +9.4% to +14.5%: 39 occurrences (7.7%) +14.5% to +19.6%: 29 occurrences (5.7%) +19.6% to +24.7%: 18 occurrences (3.5%) 22.1% +24.7% to +29.8%: 9 occurrences (1.8%) +29.8% to +34.8%: 1 occurrences (0.2%) +34.8% to +39.9%: 2 occurrences (0.4%) 37.4%
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) 57.3% 25.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.7% Adjusts normal bell curve for real-world skewness (0.31) and kurtosis (3.59).
Standard Normal (Black-Scholes / GBM) 73.1% 36.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.6% 25.1% Filters for historical windows that started with volatility similar to current 20-day HV (346 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 60.1%
  • Recent 20-Day HV: 55.7%
  • Parkinson Intraday Volatility: 47.1%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -3.4%
  • Top 10% Move (90th percentile): +15.4%
  • Bottom 10% Move (10th percentile): -20.2%
  • Max Historical Gain (14d): +39.9%
  • Max Historical Loss (14d): -41.3%