Finance

LOCO Move Probability $15.07 -0.65 (-4.1%)

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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Touch Probability (First Passage)
44.9%
Stock touched +5.0% ($15.82) 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
1.93x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.3%
$13.82 — $16.32

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%.

-17.0% to -14.1%: 7 occurrences (1.4%) -15.5% -14.1% to -11.2%: 6 occurrences (1.2%) -11.2% to -8.3%: 27 occurrences (5.3%) -8.3% to -5.4%: 68 occurrences (13.4%) -6.8% -5.4% to -2.5%: 87 occurrences (17.1%) -2.5% to +0.4%: 91 occurrences (17.9%) +0.4% to +3.3%: 65 occurrences (12.8%) 1.9% +3.3% to +6.2%: 57 occurrences (11.2%) +6.2% to +9.1%: 40 occurrences (7.9%) +9.1% to +12.0%: 18 occurrences (3.5%) 10.6% +12.0% to +14.9%: 13 occurrences (2.6%) +14.9% to +17.8%: 10 occurrences (2.0%) +17.8% to +20.7%: 4 occurrences (0.8%) 19.3% +20.7% to +23.6%: 2 occurrences (0.4%) +23.6% to +26.5%: 6 occurrences (1.2%) +26.5% to +29.4%: 7 occurrences (1.4%) 28.0%
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) 44.9% 23.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.1% Adjusts normal bell curve for real-world skewness (1.15) and kurtosis (6.99).
Standard Normal (Black-Scholes / GBM) 55.6% 27.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 48.4% 25.7% Filters for historical windows that started with volatility similar to current 20-day HV (366 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.1%
  • Recent 20-Day HV: 30.1%
  • Parkinson Intraday Volatility: 26.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +10.6%
  • Bottom 10% Move (10th percentile): -7.6%
  • Max Historical Gain (14d): +29.4%
  • Max Historical Loss (14d): -17.0%