Finance

LOW Move Probability $196.54 -2.05 (-1.0%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
37.4%
Stock touched +5.0% ($206.37) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
18.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.1%
$184.62 — $208.47

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%.

-14.6% to -12.7%: 4 occurrences (0.8%) -13.7% -12.7% to -10.9%: 8 occurrences (1.6%) -10.9% to -9.0%: 25 occurrences (4.9%) -9.0% to -7.2%: 44 occurrences (8.7%) -8.1% -7.2% to -5.3%: 51 occurrences (10.0%) -5.3% to -3.5%: 52 occurrences (10.2%) -3.5% to -1.6%: 44 occurrences (8.7%) -2.6% -1.6% to +0.2%: 56 occurrences (11.0%) +0.2% to +2.0%: 52 occurrences (10.2%) +2.0% to +3.9%: 53 occurrences (10.4%) 3.0% +3.9% to +5.7%: 46 occurrences (9.1%) +5.7% to +7.6%: 26 occurrences (5.1%) +7.6% to +9.4%: 23 occurrences (4.5%) 8.5% +9.4% to +11.3%: 8 occurrences (1.6%) +11.3% to +13.1%: 7 occurrences (1.4%) +13.1% to +15.0%: 9 occurrences (1.8%) 14.1%
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) 37.4% 18.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.2% Adjusts normal bell curve for real-world skewness (0.19) and kurtosis (0.74).
Standard Normal (Black-Scholes / GBM) 42.1% 21.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.0% 17.5% Filters for historical windows that started with volatility similar to current 20-day HV (446 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.7%
  • Recent 20-Day HV: 26.5%
  • Parkinson Intraday Volatility: 20.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +7.2%
  • Bottom 10% Move (10th percentile): -8.2%
  • Max Historical Gain (14d): +15.0%
  • Max Historical Loss (14d): -14.6%