Finance

HBSI Move Probability $47.00 +0.69 (+1.5%)

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)
17.5%
Stock touched +5.0% ($49.35) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
10.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.73x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.9%
$45.18 — $48.82

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-5.3% to -4.1%: 14 occurrences (2.9%) -4.7% -4.1% to -2.9%: 12 occurrences (2.5%) -2.9% to -1.7%: 24 occurrences (4.9%) -1.7% to -0.5%: 66 occurrences (13.6%) -1.1% -0.5% to +0.7%: 135 occurrences (27.7%) +0.7% to +1.9%: 48 occurrences (9.9%) +1.9% to +3.1%: 91 occurrences (18.7%) 2.5% +3.1% to +4.3%: 34 occurrences (7.0%) +4.3% to +5.5%: 23 occurrences (4.7%) +5.5% to +6.7%: 22 occurrences (4.5%) 6.1% +6.7% to +7.9%: 6 occurrences (1.2%) +7.9% to +9.1%: 0 occurrences (0.0%) +9.1% to +10.3%: 2 occurrences (0.4%) 9.7% +10.3% to +11.5%: 2 occurrences (0.4%) +11.5% to +12.7%: 0 occurrences (0.0%) +12.7% to +13.9%: 8 occurrences (1.6%) 13.3%
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) 17.5% 10.1% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.9% Adjusts normal bell curve for real-world skewness (1.28) and kurtosis (18.08).
Standard Normal (Black-Scholes / GBM) 20.9% 10.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 8.3% 3.5% Filters for historical windows that started with volatility similar to current 20-day HV (229 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 16.5%
  • Recent 20-Day HV: 12.7%
  • Parkinson Intraday Volatility: 3.9%
  • Vol Trend: Compressed (-23% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +4.8%
  • Bottom 10% Move (10th percentile): -1.8%
  • Max Historical Gain (14d): +13.9%
  • Max Historical Loss (14d): -5.3%