Finance

MARPS Move Probability $4.30 -0.09 (-2.1%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
37.0%
Stock touched +5.0% ($4.51) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
19.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.1%
$3.78 — $4.82

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%.

-35.1% to -27.4%: 1 occurrences (0.2%) -31.2% -27.4% to -19.8%: 2 occurrences (0.4%) -19.8% to -12.2%: 16 occurrences (3.1%) -12.2% to -4.6%: 98 occurrences (19.3%) -8.4% -4.6% to +3.0%: 235 occurrences (46.3%) +3.0% to +10.7%: 97 occurrences (19.1%) +10.7% to +18.3%: 45 occurrences (8.9%) 14.5% +18.3% to +25.9%: 7 occurrences (1.4%) +25.9% to +33.5%: 2 occurrences (0.4%) +33.5% to +41.1%: 1 occurrences (0.2%) 37.3% +41.1% to +48.8%: 1 occurrences (0.2%) +48.8% to +56.4%: 1 occurrences (0.2%) +56.4% to +64.0%: 1 occurrences (0.2%) 60.2% +64.0% to +71.6%: 0 occurrences (0.0%) +71.6% to +79.2%: 0 occurrences (0.0%) +79.2% to +86.9%: 1 occurrences (0.2%) 83.0%
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) 37.0% 19.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.8% Adjusts normal bell curve for real-world skewness (0.7) and kurtosis (12.96).
Standard Normal (Black-Scholes / GBM) 68.8% 34.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.1% 21.5% Filters for historical windows that started with volatility similar to current 20-day HV (158 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.5%
  • Recent 20-Day HV: 31.9%
  • Parkinson Intraday Volatility: 27.9%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +11.0%
  • Bottom 10% Move (10th percentile): -7.6%
  • Max Historical Gain (14d): +86.9%
  • Max Historical Loss (14d): -35.1%