Finance

FOUR Move Probability $39.51 -0.97 (-2.4%)

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)
59.8%
Stock touched +5.0% ($41.49) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
28.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.13x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.6%
$34.15 — $44.87

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%.

-29.0% to -24.8%: 5 occurrences (1.0%) -26.9% -24.8% to -20.6%: 11 occurrences (2.2%) -20.6% to -16.5%: 23 occurrences (4.5%) -16.5% to -12.3%: 34 occurrences (6.7%) -14.4% -12.3% to -8.1%: 80 occurrences (15.7%) -8.1% to -3.9%: 76 occurrences (15.0%) -3.9% to +0.3%: 70 occurrences (13.8%) -1.8% +0.3% to +4.5%: 60 occurrences (11.8%) +4.5% to +8.7%: 69 occurrences (13.6%) +8.7% to +12.9%: 41 occurrences (8.1%) 10.8% +12.9% to +17.1%: 20 occurrences (3.9%) +17.1% to +21.3%: 5 occurrences (1.0%) +21.3% to +25.5%: 5 occurrences (1.0%) 23.4% +25.5% to +29.7%: 7 occurrences (1.4%) +29.7% to +33.9%: 1 occurrences (0.2%) +33.9% to +38.1%: 1 occurrences (0.2%) 36.0%
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) 59.8% 28.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.1% Adjusts normal bell curve for real-world skewness (-0.67) and kurtosis (6.49).
Standard Normal (Black-Scholes / GBM) 71.9% 36.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.7% 26.1% Filters for historical windows that started with volatility similar to current 20-day HV (184 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 57.6%
  • Recent 20-Day HV: 34.2%
  • Parkinson Intraday Volatility: 43.7%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.8%
  • Top 10% Move (90th percentile): +11.4%
  • Bottom 10% Move (10th percentile): -14.4%
  • Max Historical Gain (14d): +38.1%
  • Max Historical Loss (14d): -29.0%