Finance

HEPS Move Probability $2.75 +0.02 (+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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
51.4%
Stock touched +5.0% ($2.89) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
27.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.4%
$2.38 — $3.12

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%.

-21.0% to -16.1%: 4 occurrences (0.8%) -18.6% -16.1% to -11.2%: 36 occurrences (7.1%) -11.2% to -6.3%: 68 occurrences (13.4%) -6.3% to -1.4%: 129 occurrences (25.4%) -3.8% -1.4% to +3.5%: 109 occurrences (21.5%) +3.5% to +8.4%: 75 occurrences (14.8%) +8.4% to +13.3%: 51 occurrences (10.0%) 10.9% +13.3% to +18.3%: 13 occurrences (2.6%) +18.3% to +23.2%: 8 occurrences (1.6%) +23.2% to +28.1%: 0 occurrences (0.0%) 25.6% +28.1% to +33.0%: 1 occurrences (0.2%) +33.0% to +37.9%: 1 occurrences (0.2%) +37.9% to +42.8%: 2 occurrences (0.4%) 40.3% +42.8% to +47.7%: 4 occurrences (0.8%) +47.7% to +52.6%: 5 occurrences (1.0%) +52.6% to +57.5%: 2 occurrences (0.4%) 55.1%
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) 51.4% 27.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.2% Adjusts normal bell curve for real-world skewness (4.38) and kurtosis (65.21).
Standard Normal (Black-Scholes / GBM) 71.6% 35.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.1% 27.3% Filters for historical windows that started with volatility similar to current 20-day HV (370 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 56.8%
  • Recent 20-Day HV: 45.6%
  • Parkinson Intraday Volatility: 39.4%
  • Vol Trend: Compressed (-20% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +11.1%
  • Bottom 10% Move (10th percentile): -10.6%
  • Max Historical Gain (14d): +57.5%
  • Max Historical Loss (14d): -21.0%