Finance

MCFT Move Probability $20.07 +0.69 (+3.6%)

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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Touch Probability (First Passage)
57.0%
Stock touched +5.0% ($21.07) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
28.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.5%
$17.96 — $22.18

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-23.0% to -19.6%: 5 occurrences (1.0%) -21.3% -19.6% to -16.2%: 10 occurrences (2.0%) -16.2% to -12.8%: 19 occurrences (3.7%) -12.8% to -9.4%: 27 occurrences (5.3%) -11.1% -9.4% to -6.0%: 44 occurrences (8.6%) -6.0% to -2.6%: 69 occurrences (13.6%) -2.6% to +0.7%: 92 occurrences (18.1%) -0.9% +0.7% to +4.1%: 79 occurrences (15.5%) +4.1% to +7.5%: 58 occurrences (11.4%) +7.5% to +10.9%: 47 occurrences (9.2%) 9.2% +10.9% to +14.3%: 23 occurrences (4.5%) +14.3% to +17.7%: 20 occurrences (3.9%) +17.7% to +21.1%: 7 occurrences (1.4%) 19.4% +21.1% to +24.4%: 3 occurrences (0.6%) +24.4% to +27.8%: 2 occurrences (0.4%) +27.8% to +31.2%: 4 occurrences (0.8%) 29.5%
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) 57.0% 28.5% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.2% Adjusts normal bell curve for real-world skewness (1.57) and kurtosis (10.18).
Standard Normal (Black-Scholes / GBM) 64.3% 32.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 64.1% 31.2% Filters for historical windows that started with volatility similar to current 20-day HV (298 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 44.6%
  • Recent 20-Day HV: 31.4%
  • Parkinson Intraday Volatility: 28.3%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +11.2%
  • Bottom 10% Move (10th percentile): -11.1%
  • Max Historical Gain (14d): +31.2%
  • Max Historical Loss (14d): -23.0%