Finance

FRNM Move Probability $13.98 -0.08 (-0.6%)

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)
19.7%
Stock touched +5.0% ($14.68) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
12.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.61x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.8%
$12.89 — $15.07

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%.

-27.6% to -23.0%: 3 occurrences (0.6%) -25.3% -23.0% to -18.4%: 5 occurrences (1.0%) -18.4% to -13.8%: 7 occurrences (1.4%) -13.8% to -9.2%: 11 occurrences (2.2%) -11.5% -9.2% to -4.7%: 23 occurrences (4.5%) -4.7% to -0.1%: 79 occurrences (15.6%) -0.1% to +4.5%: 315 occurrences (62.0%) 2.2% +4.5% to +9.1%: 17 occurrences (3.3%) +9.1% to +13.7%: 15 occurrences (3.0%) +13.7% to +18.3%: 10 occurrences (2.0%) 16.0% +18.3% to +22.9%: 6 occurrences (1.2%) +22.9% to +27.5%: 10 occurrences (2.0%) +27.5% to +32.0%: 3 occurrences (0.6%) 29.8% +32.0% to +36.6%: 2 occurrences (0.4%) +36.6% to +41.2%: 1 occurrences (0.2%) +41.2% to +45.8%: 1 occurrences (0.2%) 43.5%
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) 19.7% 12.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.1% Adjusts normal bell curve for real-world skewness (0.04) and kurtosis (20.55).
Standard Normal (Black-Scholes / GBM) 53.0% 26.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 90.0% 57.5% Filters for historical windows that started with volatility similar to current 20-day HV (40 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.0%
  • Recent 20-Day HV: 88.6%
  • Parkinson Intraday Volatility: 25.3%
  • Vol Trend: Expanded (+169% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +8.5%
  • Bottom 10% Move (10th percentile): -3.7%
  • Max Historical Gain (14d): +45.8%
  • Max Historical Loss (14d): -27.6%