Finance

MCI Move Probability $17.85 +0.34 (+1.9%)

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)
38.0%
Stock touched +5.0% ($18.74) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
19.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.91x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.4%
$16.71 — $18.99

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%.

-20.3% to -17.8%: 1 occurrences (0.2%) -19.0% -17.8% to -15.2%: 1 occurrences (0.2%) -15.2% to -12.6%: 4 occurrences (0.8%) -12.6% to -10.1%: 8 occurrences (1.6%) -11.4% -10.1% to -7.5%: 22 occurrences (4.3%) -7.5% to -4.9%: 38 occurrences (7.5%) -4.9% to -2.4%: 79 occurrences (15.6%) -3.7% -2.4% to +0.2%: 118 occurrences (23.2%) +0.2% to +2.8%: 78 occurrences (15.4%) +2.8% to +5.3%: 67 occurrences (13.2%) 4.0% +5.3% to +7.9%: 37 occurrences (7.3%) +7.9% to +10.4%: 29 occurrences (5.7%) +10.4% to +13.0%: 12 occurrences (2.4%) 11.7% +13.0% to +15.6%: 8 occurrences (1.6%) +15.6% to +18.1%: 2 occurrences (0.4%) +18.1% to +20.7%: 4 occurrences (0.8%) 19.4%
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) 38.0% 19.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.8% Adjusts normal bell curve for real-world skewness (0.28) and kurtosis (6.74).
Standard Normal (Black-Scholes / GBM) 44.7% 22.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.5% 20.1% Filters for historical windows that started with volatility similar to current 20-day HV (288 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 27.2%
  • Recent 20-Day HV: 26.9%
  • Parkinson Intraday Volatility: 11.8%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +8.2%
  • Bottom 10% Move (10th percentile): -6.1%
  • Max Historical Gain (14d): +20.7%
  • Max Historical Loss (14d): -20.3%