HELP Move Probability $8.98 -1.59 (-15.0%)
Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.
Touch Probability (First Passage)
78.1%
Stock touched +5.0% ($9.43) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
35.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.23x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±42.4%
$5.18 — $12.78
Historical 14-Day Return Distribution
Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.
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) | 78.1% | 35.0% | Model-free reality across 508 historical 14-day windows. |
| Fat-Tail Adjusted (Cornish-Fisher) | — | 0.1% | Adjusts normal bell curve for real-world skewness (14.8) and kurtosis (277.86). |
| Standard Normal (Black-Scholes / GBM) | 90.8% | 45.4% | Classic theoretical log-normal model with constant volatility (often underestimates tail risks). |
| Regime-Conditioned (Similar Volatility) | 76.6% | 31.6% | Filters for historical windows that started with volatility similar to current 20-day HV (380 matching periods). |
Underlying Volatility Profile
Volatility Metrics
- 1-Year Annualized HV: 179.7%
- Recent 20-Day HV: 85.9%
- Parkinson Intraday Volatility: 64.2%
- Vol Trend: Compressed (-52% vs baseline)
14-Day Return Quantiles
- Median Return: -0.3%
- Top 10% Move (90th percentile): +36.4%
- Bottom 10% Move (10th percentile): -15.9%
- Max Historical Gain (14d): +2569.4%
- Max Historical Loss (14d): -34.6%