Finance

HALO Move Probability $124.86 +0.55 (+0.4%)

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)
66.3%
Stock touched +5.0% ($131.10) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
39.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.3%
$111.95 — $137.76

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%.

-22.4% to -18.9%: 8 occurrences (1.6%) -20.6% -18.9% to -15.4%: 13 occurrences (2.6%) -15.4% to -11.9%: 16 occurrences (3.1%) -11.9% to -8.4%: 43 occurrences (8.5%) -10.1% -8.4% to -4.9%: 31 occurrences (6.1%) -4.9% to -1.4%: 45 occurrences (8.9%) -1.4% to +2.2%: 74 occurrences (14.6%) 0.4% +2.2% to +5.7%: 87 occurrences (17.1%) +5.7% to +9.2%: 85 occurrences (16.7%) +9.2% to +12.7%: 44 occurrences (8.7%) 10.9% +12.7% to +16.2%: 26 occurrences (5.1%) +16.2% to +19.7%: 20 occurrences (3.9%) +19.7% to +23.2%: 4 occurrences (0.8%) 21.4% +23.2% to +26.7%: 4 occurrences (0.8%) +26.7% to +30.2%: 2 occurrences (0.4%) +30.2% to +33.7%: 6 occurrences (1.2%) 31.9%
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) 66.3% 39.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.3% Adjusts normal bell curve for real-world skewness (-1.57) and kurtosis (29.17).
Standard Normal (Black-Scholes / GBM) 63.7% 31.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.2% 47.5% Filters for historical windows that started with volatility similar to current 20-day HV (299 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.8%
  • Recent 20-Day HV: 34.4%
  • Parkinson Intraday Volatility: 31.3%
  • Vol Trend: Compressed (-22% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.3%
  • Top 10% Move (90th percentile): +14.5%
  • Bottom 10% Move (10th percentile): -10.5%
  • Max Historical Gain (14d): +33.7%
  • Max Historical Loss (14d): -22.4%