Finance

FROG Move Probability $96.27 +3.88 (+4.2%)

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)
73.2%
Stock touched +5.0% ($101.08) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
40.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.1%
$82.68 — $109.85

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%.

-37.4% to -31.4%: 1 occurrences (0.2%) -34.4% -31.4% to -25.4%: 3 occurrences (0.6%) -25.4% to -19.4%: 8 occurrences (1.6%) -19.4% to -13.4%: 24 occurrences (4.7%) -16.4% -13.4% to -7.5%: 42 occurrences (8.3%) -7.5% to -1.5%: 92 occurrences (18.1%) -1.5% to +4.5%: 119 occurrences (23.4%) 1.5% +4.5% to +10.5%: 86 occurrences (16.9%) +10.5% to +16.5%: 62 occurrences (12.2%) +16.5% to +22.5%: 20 occurrences (3.9%) 19.5% +22.5% to +28.4%: 22 occurrences (4.3%) +28.4% to +34.4%: 17 occurrences (3.3%) +34.4% to +40.4%: 1 occurrences (0.2%) 37.4% +40.4% to +46.4%: 6 occurrences (1.2%) +46.4% to +52.4%: 2 occurrences (0.4%) +52.4% to +58.3%: 3 occurrences (0.6%) 55.4%
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) 73.2% 40.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.7% Adjusts normal bell curve for real-world skewness (0.09) and kurtosis (11.02).
Standard Normal (Black-Scholes / GBM) 73.0% 36.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 82.0% 51.3% Filters for historical windows that started with volatility similar to current 20-day HV (228 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 59.9%
  • Recent 20-Day HV: 73.2%
  • Parkinson Intraday Volatility: 46.8%
  • Vol Trend: Expanded (+22% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.6%
  • Top 10% Move (90th percentile): +21.8%
  • Bottom 10% Move (10th percentile): -10.0%
  • Max Historical Gain (14d): +58.3%
  • Max Historical Loss (14d): -37.4%