Finance

KSPI Move Probability $93.61 +0.60 (+0.6%)

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)
50.6%
Stock touched +5.0% ($98.29) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
23.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.18x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.5%
$85.64 — $101.58

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%.

-16.4% to -13.5%: 8 occurrences (1.6%) -15.0% -13.5% to -10.6%: 17 occurrences (3.3%) -10.6% to -7.7%: 38 occurrences (7.5%) -7.7% to -4.8%: 77 occurrences (15.2%) -6.3% -4.8% to -2.0%: 71 occurrences (14.0%) -2.0% to +0.9%: 74 occurrences (14.6%) +0.9% to +3.8%: 81 occurrences (15.9%) 2.4% +3.8% to +6.7%: 48 occurrences (9.4%) +6.7% to +9.6%: 48 occurrences (9.4%) +9.6% to +12.5%: 13 occurrences (2.6%) 11.1% +12.5% to +15.4%: 16 occurrences (3.1%) +15.4% to +18.3%: 11 occurrences (2.2%) +18.3% to +21.2%: 2 occurrences (0.4%) 19.8% +21.2% to +24.1%: 3 occurrences (0.6%) +24.1% to +27.0%: 0 occurrences (0.0%) +27.0% to +29.9%: 1 occurrences (0.2%) 28.4%
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) 50.6% 23.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.3% Adjusts normal bell curve for real-world skewness (0.7) and kurtosis (3.33).
Standard Normal (Black-Scholes / GBM) 56.7% 28.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.8% 22.4% Filters for historical windows that started with volatility similar to current 20-day HV (321 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 36.1%
  • Recent 20-Day HV: 27.1%
  • Parkinson Intraday Volatility: 28.5%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +9.1%
  • Bottom 10% Move (10th percentile): -8.4%
  • Max Historical Gain (14d): +29.9%
  • Max Historical Loss (14d): -16.4%