Finance

KRMD Move Probability $3.11 +0.06 (+2.1%)

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)
58.7%
Stock touched +5.0% ($3.27) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
31.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.2%
$2.70 — $3.52

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%.

-33.2% to -27.8%: 7 occurrences (1.4%) -30.5% -27.8% to -22.5%: 10 occurrences (2.0%) -22.5% to -17.1%: 19 occurrences (3.7%) -17.1% to -11.8%: 37 occurrences (7.3%) -14.5% -11.8% to -6.4%: 58 occurrences (11.4%) -6.4% to -1.1%: 126 occurrences (24.8%) -1.1% to +4.3%: 80 occurrences (15.7%) 1.6% +4.3% to +9.6%: 48 occurrences (9.4%) +9.6% to +15.0%: 43 occurrences (8.5%) +15.0% to +20.3%: 22 occurrences (4.3%) 17.6% +20.3% to +25.7%: 26 occurrences (5.1%) +25.7% to +31.0%: 13 occurrences (2.6%) +31.0% to +36.4%: 9 occurrences (1.8%) 33.7% +36.4% to +41.7%: 3 occurrences (0.6%) +41.7% to +47.1%: 3 occurrences (0.6%) +47.1% to +52.4%: 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) 58.7% 31.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.8% Adjusts normal bell curve for real-world skewness (0.41) and kurtosis (5.2).
Standard Normal (Black-Scholes / GBM) 71.1% 35.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.0% 22.0% Filters for historical windows that started with volatility similar to current 20-day HV (150 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 55.9%
  • Recent 20-Day HV: 33.1%
  • Parkinson Intraday Volatility: 40.5%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +21.6%
  • Bottom 10% Move (10th percentile): -14.2%
  • Max Historical Gain (14d): +52.4%
  • Max Historical Loss (14d): -33.2%