Finance

KG Move Probability $5.16 +0.50 (+10.7%)

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)
53.3%
Stock touched +5.0% ($5.41) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
25.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.08x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±58.6%
$2.13 — $8.18

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%.

-44.5% to +119.0%: 494 occurrences (97.2%) 37.3% +119.0% to +282.5%: 0 occurrences (0.0%) +282.5% to +446.0%: 0 occurrences (0.0%) +446.0% to +609.5%: 0 occurrences (0.0%) 527.8% +609.5% to +773.1%: 0 occurrences (0.0%) +773.1% to +936.6%: 0 occurrences (0.0%) +936.6% to +1100.1%: 0 occurrences (0.0%) 1018.3% +1100.1% to +1263.6%: 0 occurrences (0.0%) +1263.6% to +1427.1%: 0 occurrences (0.0%) +1427.1% to +1590.6%: 1 occurrences (0.2%) 1508.8% +1590.6% to +1754.1%: 1 occurrences (0.2%) +1754.1% to +1917.6%: 2 occurrences (0.4%) +1917.6% to +2081.1%: 2 occurrences (0.4%) 1999.3% +2081.1% to +2244.6%: 3 occurrences (0.6%) +2244.6% to +2408.1%: 1 occurrences (0.2%) +2408.1% to +2571.6%: 4 occurrences (0.8%) 2489.9%
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) 53.3% 25.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (18.6) and kurtosis (393.34).
Standard Normal (Black-Scholes / GBM) 93.4% 46.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.6% 25.3% Filters for historical windows that started with volatility similar to current 20-day HV (289 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 248.6%
  • Recent 20-Day HV: 80.3%
  • Parkinson Intraday Volatility: 48.3%
  • Vol Trend: Compressed (-68% vs baseline)

14-Day Return Quantiles

  • Median Return: -6.2%
  • Top 10% Move (90th percentile): +22.9%
  • Bottom 10% Move (10th percentile): -24.0%
  • Max Historical Gain (14d): +2571.6%
  • Max Historical Loss (14d): -44.5%