Finance

FSLY Move Probability $24.42 +1.97 (+8.8%)

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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Touch Probability (First Passage)
77.8%
Stock touched +5.0% ($25.64) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
41.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.7%
$18.89 — $29.95

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-47.0% to -35.1%: 7 occurrences (1.4%) -41.1% -35.1% to -23.3%: 31 occurrences (6.1%) -23.3% to -11.4%: 57 occurrences (11.2%) -11.4% to +0.4%: 148 occurrences (29.0%) -5.5% +0.4% to +12.3%: 127 occurrences (24.9%) +12.3% to +24.2%: 53 occurrences (10.4%) +24.2% to +36.0%: 33 occurrences (6.5%) 30.1% +36.0% to +47.9%: 29 occurrences (5.7%) +47.9% to +59.7%: 8 occurrences (1.6%) +59.7% to +71.6%: 2 occurrences (0.4%) 65.7% +71.6% to +83.4%: 3 occurrences (0.6%) +83.4% to +95.3%: 4 occurrences (0.8%) +95.3% to +107.2%: 2 occurrences (0.4%) 101.2% +107.2% to +119.0%: 2 occurrences (0.4%) +119.0% to +130.9%: 2 occurrences (0.4%) +130.9% to +142.7%: 2 occurrences (0.4%) 136.8%
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) 77.8% 41.4% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.3% Adjusts normal bell curve for real-world skewness (0.65) and kurtosis (21.14).
Standard Normal (Black-Scholes / GBM) 83.0% 41.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.3% 38.0% Filters for historical windows that started with volatility similar to current 20-day HV (263 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 96.2%
  • Recent 20-Day HV: 94.8%
  • Parkinson Intraday Volatility: 66.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +37.0%
  • Bottom 10% Move (10th percentile): -18.5%
  • Max Historical Gain (14d): +142.7%
  • Max Historical Loss (14d): -47.0%