Finance

KGS Move Probability $49.04 +1.62 (+3.4%)

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)
65.0%
Stock touched +5.0% ($51.49) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
38.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.1%
$44.06 — $54.02

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%.

-27.5% to -23.6%: 3 occurrences (0.6%) -25.5% -23.6% to -19.8%: 2 occurrences (0.4%) -19.8% to -16.0%: 11 occurrences (2.2%) -16.0% to -12.2%: 16 occurrences (3.1%) -14.1% -12.2% to -8.4%: 38 occurrences (7.5%) -8.4% to -4.6%: 62 occurrences (12.2%) -4.6% to -0.8%: 80 occurrences (15.7%) -2.7% -0.8% to +3.1%: 68 occurrences (13.4%) +3.1% to +6.9%: 67 occurrences (13.2%) +6.9% to +10.7%: 55 occurrences (10.8%) 8.8% +10.7% to +14.5%: 53 occurrences (10.4%) +14.5% to +18.3%: 25 occurrences (4.9%) +18.3% to +22.1%: 10 occurrences (2.0%) 20.2% +22.1% to +26.0%: 11 occurrences (2.2%) +26.0% to +29.8%: 3 occurrences (0.6%) +29.8% to +33.6%: 4 occurrences (0.8%) 31.7%
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) 65.0% 38.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.9% Adjusts normal bell curve for real-world skewness (-0.79) and kurtosis (4.93).
Standard Normal (Black-Scholes / GBM) 63.1% 31.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 66.2% 41.5% Filters for historical windows that started with volatility similar to current 20-day HV (340 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.1%
  • Recent 20-Day HV: 34.7%
  • Parkinson Intraday Volatility: 33.4%
  • Vol Trend: Compressed (-19% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.7%
  • Top 10% Move (90th percentile): +14.9%
  • Bottom 10% Move (10th percentile): -10.0%
  • Max Historical Gain (14d): +33.6%
  • Max Historical Loss (14d): -27.5%