Finance

MCHX Move Probability $1.27 +0.01 (+1.2%)

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)
48.2%
Stock touched +5.0% ($1.34) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
26.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.83x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.4%
$1.12 — $1.43

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%.

-31.3% to -27.3%: 6 occurrences (1.2%) -29.3% -27.3% to -23.3%: 9 occurrences (1.8%) -23.3% to -19.3%: 9 occurrences (1.8%) -19.3% to -15.3%: 14 occurrences (2.8%) -17.3% -15.3% to -11.3%: 16 occurrences (3.1%) -11.3% to -7.3%: 51 occurrences (10.0%) -7.3% to -3.3%: 83 occurrences (16.3%) -5.3% -3.3% to +0.7%: 121 occurrences (23.8%) +0.7% to +4.7%: 62 occurrences (12.2%) +4.7% to +8.7%: 46 occurrences (9.1%) 6.7% +8.7% to +12.7%: 36 occurrences (7.1%) +12.7% to +16.7%: 23 occurrences (4.5%) +16.7% to +20.7%: 13 occurrences (2.6%) 18.7% +20.7% to +24.7%: 10 occurrences (2.0%) +24.7% to +28.7%: 5 occurrences (1.0%) +28.7% to +32.7%: 4 occurrences (0.8%) 30.7%
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) 48.2% 26.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.5% Adjusts normal bell curve for real-world skewness (-0.28) and kurtosis (8.73).
Standard Normal (Black-Scholes / GBM) 69.4% 34.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.2% 27.8% Filters for historical windows that started with volatility similar to current 20-day HV (227 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 52.6%
  • Recent 20-Day HV: 41.1%
  • Parkinson Intraday Volatility: 26.4%
  • Vol Trend: Compressed (-22% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +13.3%
  • Bottom 10% Move (10th percentile): -12.0%
  • Max Historical Gain (14d): +32.7%
  • Max Historical Loss (14d): -31.3%