Finance

JELD Move Probability $1.28 +0.03 (+2.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
66.1%
Stock touched +5.0% ($1.34) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
33.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.9%
$1.00 — $1.56

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%.

-60.8% to -52.0%: 9 occurrences (1.8%) -56.4% -52.0% to -43.1%: 3 occurrences (0.6%) -43.1% to -34.3%: 19 occurrences (3.7%) -34.3% to -25.4%: 53 occurrences (10.4%) -29.9% -25.4% to -16.6%: 76 occurrences (15.0%) -16.6% to -7.7%: 66 occurrences (13.0%) -7.7% to +1.1%: 83 occurrences (16.3%) -3.3% +1.1% to +9.9%: 59 occurrences (11.6%) +9.9% to +18.8%: 59 occurrences (11.6%) +18.8% to +27.6%: 40 occurrences (7.9%) 23.2% +27.6% to +36.5%: 16 occurrences (3.1%) +36.5% to +45.3%: 8 occurrences (1.6%) +45.3% to +54.2%: 7 occurrences (1.4%) 49.8% +54.2% to +63.0%: 5 occurrences (1.0%) +63.0% to +71.9%: 4 occurrences (0.8%) +71.9% to +80.7%: 1 occurrences (0.2%) 76.3%
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) 66.1% 33.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 39.9% Adjusts normal bell curve for real-world skewness (-0.91) and kurtosis (7.36).
Standard Normal (Black-Scholes / GBM) 82.4% 41.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 77.6% 35.6% Filters for historical windows that started with volatility similar to current 20-day HV (281 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 92.8%
  • Recent 20-Day HV: 124.9%
  • Parkinson Intraday Volatility: 71.0%
  • Vol Trend: Expanded (+35% vs baseline)

14-Day Return Quantiles

  • Median Return: -5.1%
  • Top 10% Move (90th percentile): +25.6%
  • Bottom 10% Move (10th percentile): -30.9%
  • Max Historical Gain (14d): +80.7%
  • Max Historical Loss (14d): -60.8%