Finance

KTTA Move Probability $0.49 +0.08 (+20.7%)

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)
54.3%
Stock touched +5.0% ($0.52) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
21.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.49x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±33.8%
$0.33 — $0.66

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%.

-91.1% to -79.3%: 8 occurrences (1.6%) -85.2% -79.3% to -67.6%: 6 occurrences (1.2%) -67.6% to -55.9%: 0 occurrences (0.0%) -55.9% to -44.2%: 9 occurrences (1.8%) -50.0% -44.2% to -32.4%: 17 occurrences (3.3%) -32.4% to -20.7%: 49 occurrences (9.6%) -20.7% to -9.0%: 155 occurrences (30.5%) -14.8% -9.0% to +2.7%: 140 occurrences (27.6%) +2.7% to +14.5%: 73 occurrences (14.4%) +14.5% to +26.2%: 39 occurrences (7.7%) 20.3% +26.2% to +37.9%: 6 occurrences (1.2%) +37.9% to +49.6%: 4 occurrences (0.8%) +49.6% to +61.4%: 1 occurrences (0.2%) 55.5% +61.4% to +73.1%: 0 occurrences (0.0%) +73.1% to +84.8%: 0 occurrences (0.0%) +84.8% to +96.6%: 1 occurrences (0.2%) 90.7%
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) 54.3% 21.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 45.4% Adjusts normal bell curve for real-world skewness (-6.58) and kurtosis (106.41).
Standard Normal (Black-Scholes / GBM) 88.5% 44.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.7% 22.2% Filters for historical windows that started with volatility similar to current 20-day HV (261 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 143.4%
  • Recent 20-Day HV: 88.4%
  • Parkinson Intraday Volatility: 89.0%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: -8.1%
  • Top 10% Move (90th percentile): +14.5%
  • Bottom 10% Move (10th percentile): -25.4%
  • Max Historical Gain (14d): +96.6%
  • Max Historical Loss (14d): -91.1%