Finance

FLY Move Probability $17.65 +1.33 (+8.2%)

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)
74.8%
Stock touched +5.0% ($18.53) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
34.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.19x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.8%
$13.28 — $22.02

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 290 historical windows (2025-08-07 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-46.0% to -37.7%: 7 occurrences (2.4%) -41.9% -37.7% to -29.4%: 23 occurrences (7.9%) -29.4% to -21.1%: 40 occurrences (13.8%) -21.1% to -12.9%: 44 occurrences (15.2%) -17.0% -12.9% to -4.6%: 43 occurrences (14.8%) -4.6% to +3.7%: 31 occurrences (10.7%) +3.7% to +12.0%: 24 occurrences (8.3%) 7.8% +12.0% to +20.3%: 21 occurrences (7.2%) +20.3% to +28.6%: 16 occurrences (5.5%) +28.6% to +36.8%: 13 occurrences (4.5%) 32.7% +36.8% to +45.1%: 9 occurrences (3.1%) +45.1% to +53.4%: 8 occurrences (2.8%) +53.4% to +61.7%: 3 occurrences (1.0%) 57.5% +61.7% to +70.0%: 5 occurrences (1.7%) +70.0% to +78.3%: 0 occurrences (0.0%) +78.3% to +86.5%: 3 occurrences (1.0%) 82.4%
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) 74.8% 34.1% Model-free reality across 290 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 40.1% Adjusts normal bell curve for real-world skewness (0.15) and kurtosis (1.2).
Standard Normal (Black-Scholes / GBM) 84.4% 42.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.1% 43.8% Filters for historical windows that started with volatility similar to current 20-day HV (96 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 105.1%
  • Recent 20-Day HV: 69.5%
  • Parkinson Intraday Volatility: 85.2%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: -7.4%
  • Top 10% Move (90th percentile): +36.1%
  • Bottom 10% Move (10th percentile): -29.5%
  • Max Historical Gain (14d): +86.5%
  • Max Historical Loss (14d): -46.0%