Finance

KE Move Probability $26.46 +0.29 (+1.1%)

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)
62.2%
Stock touched +5.0% ($27.78) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
29.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.09x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.2%
$23.49 — $29.43

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%.

-25.0% to -20.2%: 13 occurrences (2.6%) -22.6% -20.2% to -15.4%: 12 occurrences (2.4%) -15.4% to -10.6%: 15 occurrences (3.0%) -10.6% to -5.7%: 63 occurrences (12.4%) -8.2% -5.7% to -0.9%: 98 occurrences (19.3%) -0.9% to +3.9%: 132 occurrences (26.0%) +3.9% to +8.7%: 84 occurrences (16.5%) 6.3% +8.7% to +13.5%: 47 occurrences (9.3%) +13.5% to +18.3%: 14 occurrences (2.8%) +18.3% to +23.2%: 7 occurrences (1.4%) 20.8% +23.2% to +28.0%: 4 occurrences (0.8%) +28.0% to +32.8%: 1 occurrences (0.2%) +32.8% to +37.6%: 2 occurrences (0.4%) 35.2% +37.6% to +42.4%: 6 occurrences (1.2%) +42.4% to +47.2%: 6 occurrences (1.2%) +47.2% to +52.1%: 4 occurrences (0.8%) 49.7%
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) 62.2% 29.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.8% Adjusts normal bell curve for real-world skewness (-0.54) and kurtosis (19.79).
Standard Normal (Black-Scholes / GBM) 66.4% 33.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.1% 22.2% Filters for historical windows that started with volatility similar to current 20-day HV (275 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.6%
  • Recent 20-Day HV: 32.2%
  • Parkinson Intraday Volatility: 27.4%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +12.4%
  • Bottom 10% Move (10th percentile): -9.6%
  • Max Historical Gain (14d): +52.1%
  • Max Historical Loss (14d): -25.0%