Finance

HL Move Probability $15.13 +0.12 (+0.8%)

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)
73.8%
Stock touched +5.0% ($15.89) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
43.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.70x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.5%
$12.78 — $17.49

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%.

-34.4% to -27.9%: 3 occurrences (0.6%) -31.1% -27.9% to -21.5%: 9 occurrences (1.8%) -21.5% to -15.1%: 41 occurrences (8.1%) -15.1% to -8.6%: 69 occurrences (13.6%) -11.8% -8.6% to -2.2%: 81 occurrences (15.9%) -2.2% to +4.2%: 77 occurrences (15.2%) +4.2% to +10.7%: 72 occurrences (14.2%) 7.5% +10.7% to +17.1%: 62 occurrences (12.2%) +17.1% to +23.5%: 36 occurrences (7.1%) +23.5% to +30.0%: 29 occurrences (5.7%) 26.8% +30.0% to +36.4%: 12 occurrences (2.4%) +36.4% to +42.8%: 6 occurrences (1.2%) +42.8% to +49.3%: 7 occurrences (1.4%) 46.0% +49.3% to +55.7%: 2 occurrences (0.4%) +55.7% to +62.1%: 0 occurrences (0.0%) +62.1% to +68.6%: 2 occurrences (0.4%) 65.3%
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) 73.8% 43.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.5% Adjusts normal bell curve for real-world skewness (-0.18) and kurtosis (2.26).
Standard Normal (Black-Scholes / GBM) 75.3% 37.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.4% 37.2% Filters for historical windows that started with volatility similar to current 20-day HV (239 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 65.9%
  • Recent 20-Day HV: 47.9%
  • Parkinson Intraday Volatility: 50.9%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.2%
  • Top 10% Move (90th percentile): +24.4%
  • Bottom 10% Move (10th percentile): -15.3%
  • Max Historical Gain (14d): +68.6%
  • Max Historical Loss (14d): -34.4%