Finance

KDP Move Probability $34.47 -0.18 (-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)
38.0%
Stock touched +5.0% ($36.19) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
20.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.87x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.2%
$32.34 — $36.60

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%.

-22.5% to -20.2%: 5 occurrences (1.0%) -21.4% -20.2% to -17.8%: 0 occurrences (0.0%) -17.8% to -15.4%: 5 occurrences (1.0%) -15.4% to -13.0%: 3 occurrences (0.6%) -14.2% -13.0% to -10.7%: 9 occurrences (1.8%) -10.7% to -8.3%: 19 occurrences (3.7%) -8.3% to -5.9%: 33 occurrences (6.5%) -7.1% -5.9% to -3.5%: 41 occurrences (8.1%) -3.5% to -1.2%: 88 occurrences (17.3%) -1.2% to +1.2%: 108 occurrences (21.3%) 0.0% +1.2% to +3.6%: 59 occurrences (11.6%) +3.6% to +6.0%: 59 occurrences (11.6%) +6.0% to +8.4%: 38 occurrences (7.5%) 7.2% +8.4% to +10.7%: 28 occurrences (5.5%) +10.7% to +13.1%: 10 occurrences (2.0%) +13.1% to +15.5%: 3 occurrences (0.6%) 14.3%
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) 38.0% 20.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.1% Adjusts normal bell curve for real-world skewness (-0.83) and kurtosis (7.64).
Standard Normal (Black-Scholes / GBM) 43.0% 21.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.6% 23.9% Filters for historical windows that started with volatility similar to current 20-day HV (305 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 26.3%
  • Recent 20-Day HV: 29.4%
  • Parkinson Intraday Volatility: 21.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -6.8%
  • Max Historical Gain (14d): +15.5%
  • Max Historical Loss (14d): -22.5%