Finance

KROS Move Probability $11.17 -0.23 (-2.0%)

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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Touch Probability (First Passage)
59.1%
Stock touched +5.0% ($11.73) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
28.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.10x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.6%
$8.43 — $13.91

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%.

-76.7% to -68.9%: 10 occurrences (2.0%) -72.8% -68.9% to -61.1%: 4 occurrences (0.8%) -61.1% to -53.4%: 0 occurrences (0.0%) -53.4% to -45.6%: 0 occurrences (0.0%) -49.5% -45.6% to -37.8%: 1 occurrences (0.2%) -37.8% to -30.0%: 7 occurrences (1.4%) -30.0% to -22.2%: 14 occurrences (2.8%) -26.1% -22.2% to -14.4%: 26 occurrences (5.1%) -14.4% to -6.6%: 80 occurrences (15.7%) -6.6% to +1.2%: 156 occurrences (30.7%) -2.7% +1.2% to +9.0%: 127 occurrences (25.0%) +9.0% to +16.8%: 49 occurrences (9.6%) +16.8% to +24.6%: 19 occurrences (3.7%) 20.7% +24.6% to +32.4%: 7 occurrences (1.4%) +32.4% to +40.2%: 2 occurrences (0.4%) +40.2% to +48.0%: 6 occurrences (1.2%) 44.1%
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) 59.1% 28.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 86.8% Adjusts normal bell curve for real-world skewness (-15.11) and kurtosis (297.88).
Standard Normal (Black-Scholes / GBM) 84.3% 42.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.2% 32.1% Filters for historical windows that started with volatility similar to current 20-day HV (330 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 104.3%
  • Recent 20-Day HV: 40.9%
  • Parkinson Intraday Volatility: 40.7%
  • Vol Trend: Compressed (-61% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +12.8%
  • Bottom 10% Move (10th percentile): -16.6%
  • Max Historical Gain (14d): +48.0%
  • Max Historical Loss (14d): -76.7%