Finance

FTLF Move Probability $8.27 +0.21 (+2.6%)

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)
38.8%
Stock touched +5.0% ($8.68) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
23.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.9%
$7.29 — $9.25

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%.

-37.1% to -32.0%: 2 occurrences (0.4%) -34.6% -32.0% to -27.0%: 6 occurrences (1.2%) -27.0% to -21.9%: 9 occurrences (1.8%) -21.9% to -16.8%: 1 occurrences (0.2%) -19.4% -16.8% to -11.8%: 21 occurrences (4.1%) -11.8% to -6.7%: 107 occurrences (21.1%) -6.7% to -1.6%: 138 occurrences (27.2%) -4.2% -1.6% to +3.4%: 94 occurrences (18.5%) +3.4% to +8.5%: 62 occurrences (12.2%) +8.5% to +13.6%: 26 occurrences (5.1%) 11.0% +13.6% to +18.6%: 14 occurrences (2.8%) +18.6% to +23.7%: 11 occurrences (2.2%) +23.7% to +28.8%: 8 occurrences (1.6%) 26.2% +28.8% to +33.9%: 6 occurrences (1.2%) +33.9% to +38.9%: 2 occurrences (0.4%) +38.9% to +44.0%: 1 occurrences (0.2%) 41.5%
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) 38.8% 23.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.6% Adjusts normal bell curve for real-world skewness (0.25) and kurtosis (10.94).
Standard Normal (Black-Scholes / GBM) 68.2% 34.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 42.1% 23.9% Filters for historical windows that started with volatility similar to current 20-day HV (335 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.4%
  • Recent 20-Day HV: 47.2%
  • Parkinson Intraday Volatility: 15.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -2.7%
  • Top 10% Move (90th percentile): +12.0%
  • Bottom 10% Move (10th percentile): -10.6%
  • Max Historical Gain (14d): +44.0%
  • Max Historical Loss (14d): -37.1%