Finance

FTDR Move Probability $80.81 +0.37 (+0.5%)

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)
58.1%
Stock touched +5.0% ($84.86) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
36.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.2%
$72.59 — $89.04

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%.

-35.4% to -30.8%: 8 occurrences (1.6%) -33.1% -30.8% to -26.3%: 5 occurrences (1.0%) -26.3% to -21.8%: 12 occurrences (2.4%) -21.8% to -17.2%: 6 occurrences (1.2%) -19.5% -17.2% to -12.7%: 13 occurrences (2.6%) -12.7% to -8.2%: 11 occurrences (2.2%) -8.2% to -3.6%: 56 occurrences (11.0%) -5.9% -3.6% to +0.9%: 96 occurrences (18.9%) +0.9% to +5.4%: 125 occurrences (24.6%) +5.4% to +9.9%: 85 occurrences (16.7%) 7.7% +9.9% to +14.5%: 40 occurrences (7.9%) +14.5% to +19.0%: 27 occurrences (5.3%) +19.0% to +23.5%: 11 occurrences (2.2%) 21.3% +23.5% to +28.1%: 0 occurrences (0.0%) +28.1% to +32.6%: 3 occurrences (0.6%) +32.6% to +37.1%: 10 occurrences (2.0%) 34.9%
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) 58.1% 36.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.3% Adjusts normal bell curve for real-world skewness (-0.59) and kurtosis (15.9).
Standard Normal (Black-Scholes / GBM) 63.2% 31.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.7% 34.3% Filters for historical windows that started with volatility similar to current 20-day HV (312 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.2%
  • Recent 20-Day HV: 28.0%
  • Parkinson Intraday Volatility: 33.3%
  • Vol Trend: Compressed (-35% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.6%
  • Top 10% Move (90th percentile): +14.2%
  • Bottom 10% Move (10th percentile): -8.7%
  • Max Historical Gain (14d): +37.1%
  • Max Historical Loss (14d): -35.4%