Finance

KELYA Move Probability $16.40 +0.58 (+3.7%)

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)
56.1%
Stock touched +5.0% ($17.22) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
27.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.04x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.8%
$14.79 — $18.01

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%.

-33.9% to -29.9%: 8 occurrences (1.6%) -31.9% -29.9% to -25.9%: 9 occurrences (1.8%) -25.9% to -21.9%: 6 occurrences (1.2%) -21.9% to -17.9%: 3 occurrences (0.6%) -19.9% -17.9% to -13.9%: 11 occurrences (2.2%) -13.9% to -9.9%: 20 occurrences (3.9%) -9.9% to -5.9%: 58 occurrences (11.4%) -7.9% -5.9% to -1.9%: 98 occurrences (19.3%) -1.9% to +2.1%: 100 occurrences (19.7%) +2.1% to +6.1%: 69 occurrences (13.6%) 4.1% +6.1% to +10.1%: 50 occurrences (9.8%) +10.1% to +14.1%: 33 occurrences (6.5%) +14.1% to +18.1%: 21 occurrences (4.1%) 16.1% +18.1% to +22.1%: 14 occurrences (2.8%) +22.1% to +26.1%: 6 occurrences (1.2%) +26.1% to +30.1%: 2 occurrences (0.4%) 28.1%
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) 56.1% 27.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.1% Adjusts normal bell curve for real-world skewness (-1.45) and kurtosis (12.81).
Standard Normal (Black-Scholes / GBM) 62.0% 31.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.8% 30.6% Filters for historical windows that started with volatility similar to current 20-day HV (353 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.7%
  • Recent 20-Day HV: 34.5%
  • Parkinson Intraday Volatility: 30.2%
  • Vol Trend: Compressed (-17% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +12.9%
  • Bottom 10% Move (10th percentile): -11.0%
  • Max Historical Gain (14d): +30.1%
  • Max Historical Loss (14d): -33.9%