Finance

MAMO Move Probability $0.95 +0.01 (+1.6%)

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)
61.8%
Stock touched +5.0% ($1.00) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
31.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.96x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±44.7%
$0.53 — $1.37

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%.

-72.5% to -8.0%: 107 occurrences (21.1%) -40.2% -8.0% to +56.5%: 375 occurrences (73.8%) +56.5% to +121.0%: 3 occurrences (0.6%) +121.0% to +185.5%: 11 occurrences (2.2%) 153.2% +185.5% to +250.0%: 0 occurrences (0.0%) +250.0% to +314.5%: 0 occurrences (0.0%) +314.5% to +378.9%: 0 occurrences (0.0%) 346.7% +378.9% to +443.4%: 0 occurrences (0.0%) +443.4% to +507.9%: 0 occurrences (0.0%) +507.9% to +572.4%: 0 occurrences (0.0%) 540.2% +572.4% to +636.9%: 0 occurrences (0.0%) +636.9% to +701.4%: 0 occurrences (0.0%) +701.4% to +765.9%: 0 occurrences (0.0%) 733.6% +765.9% to +830.4%: 2 occurrences (0.4%) +830.4% to +894.9%: 6 occurrences (1.2%) +894.9% to +959.4%: 4 occurrences (0.8%) 927.1%
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) 61.8% 31.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (11.62) and kurtosis (224.47).
Standard Normal (Black-Scholes / GBM) 91.3% 45.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 45.3% 10.5% Filters for historical windows that started with volatility similar to current 20-day HV (86 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 189.7%
  • Recent 20-Day HV: 35.3%
  • Parkinson Intraday Volatility: 48.4%
  • Vol Trend: Compressed (-81% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +19.5%
  • Bottom 10% Move (10th percentile): -14.3%
  • Max Historical Gain (14d): +959.4%
  • Max Historical Loss (14d): -72.5%