Finance

MC Move Probability $53.04 -0.81 (-1.5%)

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)
54.3%
Stock touched +5.0% ($55.69) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
28.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.2%
$48.16 — $57.92

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%.

-23.4% to -20.3%: 2 occurrences (0.4%) -21.8% -20.3% to -17.3%: 9 occurrences (1.8%) -17.3% to -14.3%: 23 occurrences (4.5%) -14.3% to -11.2%: 27 occurrences (5.3%) -12.8% -11.2% to -8.2%: 32 occurrences (6.3%) -8.2% to -5.2%: 42 occurrences (8.3%) -5.2% to -2.2%: 62 occurrences (12.2%) -3.7% -2.2% to +0.9%: 77 occurrences (15.2%) +0.9% to +3.9%: 64 occurrences (12.6%) +3.9% to +6.9%: 64 occurrences (12.6%) 5.4% +6.9% to +9.9%: 43 occurrences (8.5%) +9.9% to +13.0%: 23 occurrences (4.5%) +13.0% to +16.0%: 14 occurrences (2.8%) 14.5% +16.0% to +19.0%: 13 occurrences (2.6%) +19.0% to +22.0%: 7 occurrences (1.4%) +22.0% to +25.1%: 6 occurrences (1.2%) 23.6%
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) 54.3% 28.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.5% Adjusts normal bell curve for real-world skewness (0.35) and kurtosis (6.18).
Standard Normal (Black-Scholes / GBM) 59.6% 29.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.4% 27.3% Filters for historical windows that started with volatility similar to current 20-day HV (209 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 39.0%
  • Recent 20-Day HV: 24.2%
  • Parkinson Intraday Volatility: 29.9%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +11.6%
  • Bottom 10% Move (10th percentile): -12.3%
  • Max Historical Gain (14d): +25.1%
  • Max Historical Loss (14d): -23.4%