Finance

FPS Move Probability $24.47 -7.28 (-22.9%)

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)
77.1%
Stock touched +5.0% ($25.69) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
42.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.80x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.3%
$19.51 — $29.43

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 166 historical windows (2026-02-05 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-39.3% to -34.2%: 2 occurrences (1.2%) -36.8% -34.2% to -29.1%: 4 occurrences (2.4%) -29.1% to -24.0%: 9 occurrences (5.4%) -24.0% to -18.9%: 14 occurrences (8.4%) -21.4% -18.9% to -13.7%: 11 occurrences (6.6%) -13.7% to -8.6%: 13 occurrences (7.8%) -8.6% to -3.5%: 19 occurrences (11.4%) -6.1% -3.5% to +1.6%: 12 occurrences (7.2%) +1.6% to +6.7%: 13 occurrences (7.8%) +6.7% to +11.8%: 10 occurrences (6.0%) 9.3% +11.8% to +16.9%: 5 occurrences (3.0%) +16.9% to +22.1%: 24 occurrences (14.5%) +22.1% to +27.2%: 11 occurrences (6.6%) 24.6% +27.2% to +32.3%: 12 occurrences (7.2%) +32.3% to +37.4%: 5 occurrences (3.0%) +37.4% to +42.5%: 2 occurrences (1.2%) 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) 77.1% 42.8% Model-free reality across 166 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 41.6% Adjusts normal bell curve for real-world skewness (-0.52) and kurtosis (2.16).
Standard Normal (Black-Scholes / GBM) 81.0% 40.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.8% 33.3% 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: 86.0%
  • Recent 20-Day HV: 111.8%
  • Parkinson Intraday Volatility: 68.6%
  • Vol Trend: Expanded (+30% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +28.2%
  • Bottom 10% Move (10th percentile): -23.5%
  • Max Historical Gain (14d): +42.5%
  • Max Historical Loss (14d): -39.3%