Finance

MAR Move Probability $403.96 +6.71 (+1.7%)

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)
43.5%
Stock touched +5.0% ($424.16) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
28.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.51x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.5%
$377.76 — $430.16

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%.

-14.9% to -12.5%: 8 occurrences (1.6%) -13.7% -12.5% to -10.1%: 7 occurrences (1.4%) -10.1% to -7.7%: 16 occurrences (3.1%) -7.7% to -5.3%: 50 occurrences (9.8%) -6.5% -5.3% to -2.9%: 49 occurrences (9.6%) -2.9% to -0.5%: 76 occurrences (15.0%) -0.5% to +1.9%: 66 occurrences (13.0%) 0.7% +1.9% to +4.3%: 66 occurrences (13.0%) +4.3% to +6.6%: 60 occurrences (11.8%) +6.6% to +9.0%: 51 occurrences (10.0%) 7.8% +9.0% to +11.4%: 34 occurrences (6.7%) +11.4% to +13.8%: 10 occurrences (2.0%) +13.8% to +16.2%: 8 occurrences (1.6%) 15.0% +16.2% to +18.6%: 3 occurrences (0.6%) +18.6% to +21.0%: 3 occurrences (0.6%) +21.0% to +23.4%: 1 occurrences (0.2%) 22.2%
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) 43.5% 28.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.2% Adjusts normal bell curve for real-world skewness (0.27) and kurtosis (3.98).
Standard Normal (Black-Scholes / GBM) 45.2% 22.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 47.3% 30.9% Filters for historical windows that started with volatility similar to current 20-day HV (262 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 27.5%
  • Recent 20-Day HV: 19.1%
  • Parkinson Intraday Volatility: 21.1%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +9.4%
  • Bottom 10% Move (10th percentile): -6.4%
  • Max Historical Gain (14d): +23.4%
  • Max Historical Loss (14d): -14.9%