Finance

FOSL Move Probability $6.75 -0.05 (-0.8%)

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)
78.1%
Stock touched +5.0% ($7.08) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
40.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.0%
$5.26 — $8.23

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%.

-48.2% to -38.2%: 1 occurrences (0.2%) -43.2% -38.2% to -28.3%: 2 occurrences (0.4%) -28.3% to -18.3%: 39 occurrences (7.7%) -18.3% to -8.4%: 91 occurrences (17.9%) -13.3% -8.4% to +1.6%: 138 occurrences (27.2%) +1.6% to +11.6%: 87 occurrences (17.1%) +11.6% to +21.5%: 43 occurrences (8.5%) 16.5% +21.5% to +31.5%: 32 occurrences (6.3%) +31.5% to +41.4%: 22 occurrences (4.3%) +41.4% to +51.4%: 14 occurrences (2.8%) 46.4% +51.4% to +61.3%: 7 occurrences (1.4%) +61.3% to +71.3%: 10 occurrences (2.0%) +71.3% to +81.3%: 14 occurrences (2.8%) 76.3% +81.3% to +91.2%: 5 occurrences (1.0%) +91.2% to +101.2%: 1 occurrences (0.2%) +101.2% to +111.1%: 2 occurrences (0.4%) 106.2%
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) 78.1% 40.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.4% Adjusts normal bell curve for real-world skewness (1.51) and kurtosis (13.45).
Standard Normal (Black-Scholes / GBM) 82.5% 41.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 80.1% 42.5% Filters for historical windows that started with volatility similar to current 20-day HV (181 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 93.4%
  • Recent 20-Day HV: 50.7%
  • Parkinson Intraday Volatility: 73.1%
  • Vol Trend: Compressed (-46% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +43.0%
  • Bottom 10% Move (10th percentile): -17.0%
  • Max Historical Gain (14d): +111.1%
  • Max Historical Loss (14d): -48.2%