Finance

MAT Move Probability $16.95 -0.05 (-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)
48.6%
Stock touched +5.0% ($17.79) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
24.8%
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%)
±10.3%
$15.20 — $18.69

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%.

-27.0% to -23.2%: 13 occurrences (2.6%) -25.1% -23.2% to -19.3%: 6 occurrences (1.2%) -19.3% to -15.5%: 9 occurrences (1.8%) -15.5% to -11.6%: 17 occurrences (3.3%) -13.6% -11.6% to -7.8%: 31 occurrences (6.1%) -7.8% to -4.0%: 90 occurrences (17.7%) -4.0% to -0.1%: 90 occurrences (17.7%) -2.0% -0.1% to +3.7%: 98 occurrences (19.3%) +3.7% to +7.6%: 76 occurrences (15.0%) +7.6% to +11.4%: 29 occurrences (5.7%) 9.5% +11.4% to +15.3%: 9 occurrences (1.8%) +15.3% to +19.1%: 13 occurrences (2.6%) +19.1% to +23.0%: 10 occurrences (2.0%) 21.0% +23.0% to +26.8%: 5 occurrences (1.0%) +26.8% to +30.6%: 11 occurrences (2.2%) +30.6% to +34.5%: 1 occurrences (0.2%) 32.6%
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) 48.6% 24.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.6% Adjusts normal bell curve for real-world skewness (-2.4) and kurtosis (32.34).
Standard Normal (Black-Scholes / GBM) 63.6% 31.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 53.0% 36.1% Filters for historical windows that started with volatility similar to current 20-day HV (83 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.8%
  • Recent 20-Day HV: 68.4%
  • Parkinson Intraday Volatility: 33.3%
  • Vol Trend: Expanded (+56% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +10.0%
  • Bottom 10% Move (10th percentile): -10.8%
  • Max Historical Gain (14d): +34.5%
  • Max Historical Loss (14d): -27.0%