Finance

MA Move Probability $622.57 +2.05 (+0.3%)

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)
29.7%
Stock touched +5.0% ($653.69) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
15.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.2%
$590.02 — $655.11

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%.

-10.7% to -9.2%: 5 occurrences (1.0%) -9.9% -9.2% to -7.7%: 7 occurrences (1.4%) -7.7% to -6.2%: 19 occurrences (3.7%) -6.2% to -4.7%: 24 occurrences (4.7%) -5.4% -4.7% to -3.2%: 43 occurrences (8.5%) -3.2% to -1.7%: 53 occurrences (10.4%) -1.7% to -0.2%: 85 occurrences (16.7%) -0.9% -0.2% to +1.3%: 61 occurrences (12.0%) +1.3% to +2.8%: 65 occurrences (12.8%) +2.8% to +4.3%: 50 occurrences (9.8%) 3.6% +4.3% to +5.8%: 30 occurrences (5.9%) +5.8% to +7.3%: 23 occurrences (4.5%) +7.3% to +8.8%: 16 occurrences (3.1%) 8.1% +8.8% to +10.3%: 18 occurrences (3.5%) +10.3% to +11.8%: 5 occurrences (1.0%) +11.8% to +13.3%: 4 occurrences (0.8%) 12.6%
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) 29.7% 15.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.4% Adjusts normal bell curve for real-world skewness (-0.42) and kurtosis (4.24).
Standard Normal (Black-Scholes / GBM) 35.1% 17.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 25.8% 13.6% Filters for historical windows that started with volatility similar to current 20-day HV (337 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 22.2%
  • Recent 20-Day HV: 17.4%
  • Parkinson Intraday Volatility: 18.7%
  • Vol Trend: Compressed (-22% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +6.9%
  • Bottom 10% Move (10th percentile): -4.9%
  • Max Historical Gain (14d): +13.3%
  • Max Historical Loss (14d): -10.7%