Finance

MAZE Move Probability $32.55 +0.10 (+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)
72.8%
Stock touched +5.0% ($34.18) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
44.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.65x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.8%
$25.77 — $39.33

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 419 historical windows (2025-01-31 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-44.4% to -36.2%: 12 occurrences (2.9%) -40.3% -36.2% to -28.0%: 6 occurrences (1.4%) -28.0% to -19.8%: 16 occurrences (3.8%) -19.8% to -11.6%: 29 occurrences (6.9%) -15.7% -11.6% to -3.3%: 80 occurrences (19.1%) -3.3% to +4.9%: 90 occurrences (21.5%) +4.9% to +13.1%: 84 occurrences (20.0%) 9.0% +13.1% to +21.3%: 41 occurrences (9.8%) +21.3% to +29.5%: 19 occurrences (4.5%) +29.5% to +37.7%: 15 occurrences (3.6%) 33.6% +37.7% to +45.9%: 8 occurrences (1.9%) +45.9% to +54.1%: 6 occurrences (1.4%) +54.1% to +62.3%: 3 occurrences (0.7%) 58.2% +62.3% to +70.5%: 5 occurrences (1.2%) +70.5% to +78.7%: 3 occurrences (0.7%) +78.7% to +87.0%: 2 occurrences (0.5%) 82.8%
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) 72.8% 44.2% Model-free reality across 419 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.2% Adjusts normal bell curve for real-world skewness (0.2) and kurtosis (18.57).
Standard Normal (Black-Scholes / GBM) 81.5% 40.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.8% 47.6% Filters for historical windows that started with volatility similar to current 20-day HV (246 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 88.4%
  • Recent 20-Day HV: 57.8%
  • Parkinson Intraday Volatility: 65.1%
  • Vol Trend: Compressed (-35% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +28.5%
  • Bottom 10% Move (10th percentile): -17.3%
  • Max Historical Gain (14d): +87.0%
  • Max Historical Loss (14d): -44.4%