Finance

MCHP Move Probability $77.13 +1.33 (+1.8%)

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)
57.7%
Stock touched +5.0% ($80.99) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
29.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.97x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.5%
$67.50 — $86.76

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%.

-35.2% to -29.8%: 2 occurrences (0.4%) -32.5% -29.8% to -24.4%: 6 occurrences (1.2%) -24.4% to -19.0%: 6 occurrences (1.2%) -19.0% to -13.6%: 41 occurrences (8.1%) -16.3% -13.6% to -8.2%: 50 occurrences (9.8%) -8.2% to -2.8%: 110 occurrences (21.7%) -2.8% to +2.6%: 116 occurrences (22.8%) -0.1% +2.6% to +8.0%: 59 occurrences (11.6%) +8.0% to +13.5%: 32 occurrences (6.3%) +13.5% to +18.9%: 34 occurrences (6.7%) 16.2% +18.9% to +24.3%: 17 occurrences (3.3%) +24.3% to +29.7%: 16 occurrences (3.1%) +29.7% to +35.1%: 14 occurrences (2.8%) 32.4% +35.1% to +40.5%: 1 occurrences (0.2%) +40.5% to +45.9%: 2 occurrences (0.4%) +45.9% to +51.3%: 2 occurrences (0.4%) 48.6%
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) 57.7% 29.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.7% Adjusts normal bell curve for real-world skewness (0.46) and kurtosis (8.05).
Standard Normal (Black-Scholes / GBM) 69.6% 34.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.8% 31.0% Filters for historical windows that started with volatility similar to current 20-day HV (335 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 53.0%
  • Recent 20-Day HV: 39.6%
  • Parkinson Intraday Volatility: 39.6%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +18.9%
  • Bottom 10% Move (10th percentile): -14.1%
  • Max Historical Gain (14d): +51.3%
  • Max Historical Loss (14d): -35.2%