Finance

MDCX Move Probability $2.72 -0.14 (-4.9%)

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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Touch Probability (First Passage)
78.1%
Stock touched +5.0% ($2.86) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
32.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.40x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±38.0%
$1.69 — $3.75

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 470 historical windows (2024-11-14 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-65.8% to -31.4%: 52 occurrences (11.1%) -48.6% -31.4% to +3.1%: 246 occurrences (52.3%) +3.1% to +37.6%: 129 occurrences (27.4%) +37.6% to +72.0%: 26 occurrences (5.5%) 54.8% +72.0% to +106.5%: 3 occurrences (0.6%) +106.5% to +140.9%: 0 occurrences (0.0%) +140.9% to +175.4%: 1 occurrences (0.2%) 158.2% +175.4% to +209.8%: 2 occurrences (0.4%) +209.8% to +244.3%: 3 occurrences (0.6%) +244.3% to +278.7%: 4 occurrences (0.9%) 261.5% +278.7% to +313.2%: 0 occurrences (0.0%) +313.2% to +347.7%: 0 occurrences (0.0%) +347.7% to +382.1%: 0 occurrences (0.0%) 364.9% +382.1% to +416.6%: 0 occurrences (0.0%) +416.6% to +451.0%: 0 occurrences (0.0%) +451.0% to +485.5%: 4 occurrences (0.9%) 468.3%
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) 78.1% 32.6% Model-free reality across 470 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.6% Adjusts normal bell curve for real-world skewness (4.38) and kurtosis (73.76).
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) 81.1% 30.6% Filters for historical windows that started with volatility similar to current 20-day HV (111 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 161.4%
  • Recent 20-Day HV: 193.8%
  • Parkinson Intraday Volatility: 83.4%
  • Vol Trend: Expanded (+20% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.9%
  • Top 10% Move (90th percentile): +36.4%
  • Bottom 10% Move (10th percentile): -33.2%
  • Max Historical Gain (14d): +485.5%
  • Max Historical Loss (14d): -65.8%