Finance

JFBC Move Probability $29.04 +0.34 (+1.2%)

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)
34.7%
Stock touched +5.0% ($30.49) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
16.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.11x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.8%
$27.08 — $31.00

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%.

-11.9% to -10.2%: 5 occurrences (1.0%) -11.0% -10.2% to -8.5%: 4 occurrences (0.8%) -8.5% to -6.8%: 12 occurrences (2.5%) -6.8% to -5.1%: 12 occurrences (2.5%) -6.0% -5.1% to -3.5%: 30 occurrences (6.2%) -3.5% to -1.8%: 39 occurrences (8.0%) -1.8% to -0.1%: 75 occurrences (15.4%) -0.9% -0.1% to +1.6%: 96 occurrences (19.7%) +1.6% to +3.2%: 82 occurrences (16.8%) +3.2% to +4.9%: 51 occurrences (10.5%) 4.1% +4.9% to +6.6%: 24 occurrences (4.9%) +6.6% to +8.3%: 24 occurrences (4.9%) +8.3% to +10.0%: 13 occurrences (2.7%) 9.1% +10.0% to +11.6%: 14 occurrences (2.9%) +11.6% to +13.3%: 4 occurrences (0.8%) +13.3% to +15.0%: 2 occurrences (0.4%) 14.2%
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) 34.7% 16.4% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.7% Adjusts normal bell curve for real-world skewness (0.08) and kurtosis (3.21).
Standard Normal (Black-Scholes / GBM) 47.0% 23.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 31.6% 18.6% Filters for historical windows that started with volatility similar to current 20-day HV (177 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 28.7%
  • Recent 20-Day HV: 18.5%
  • Parkinson Intraday Volatility: 16.3%
  • Vol Trend: Compressed (-35% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +7.1%
  • Bottom 10% Move (10th percentile): -4.2%
  • Max Historical Gain (14d): +15.0%
  • Max Historical Loss (14d): -11.9%