Finance

MCDIF Move Probability $4.35 +0.35 (+8.8%)

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)
53.2%
Stock touched +5.0% ($4.57) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
27.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.90x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±38.2%
$2.69 — $6.01

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-84.2% to -74.4%: 7 occurrences (1.4%) -79.3% -74.4% to -64.6%: 7 occurrences (1.4%) -64.6% to -54.9%: 0 occurrences (0.0%) -54.9% to -45.1%: 0 occurrences (0.0%) -50.0% -45.1% to -35.4%: 16 occurrences (3.3%) -35.4% to -25.6%: 18 occurrences (3.7%) -25.6% to -15.9%: 35 occurrences (7.2%) -20.7% -15.9% to -6.1%: 74 occurrences (15.2%) -6.1% to +3.7%: 161 occurrences (33.1%) +3.7% to +13.4%: 89 occurrences (18.3%) 8.5% +13.4% to +23.2%: 18 occurrences (3.7%) +23.2% to +32.9%: 33 occurrences (6.8%) +32.9% to +42.7%: 8 occurrences (1.6%) 37.8% +42.7% to +52.4%: 15 occurrences (3.1%) +52.4% to +62.2%: 5 occurrences (1.0%) +62.2% to +71.9%: 1 occurrences (0.2%) 67.1%
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) 53.2% 27.9% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.8% Adjusts normal bell curve for real-world skewness (0.53) and kurtosis (71.86).
Standard Normal (Black-Scholes / GBM) 89.8% 44.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.2% 39.3% Filters for historical windows that started with volatility similar to current 20-day HV (122 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 161.9%
  • Recent 20-Day HV: 54.5%
  • Parkinson Intraday Volatility: 80.6%
  • Vol Trend: Compressed (-66% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +25.3%
  • Bottom 10% Move (10th percentile): -25.0%
  • Max Historical Gain (14d): +71.9%
  • Max Historical Loss (14d): -84.2%