Finance

MGM Move Probability $27.93 -1.58 (-5.4%)

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)
47.1%
Stock touched +5.0% ($29.32) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
24.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.5%
$25.28 — $30.57

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-24.7% to -20.9%: 13 occurrences (2.5%) -22.8% -20.9% to -17.1%: 7 occurrences (1.4%) -17.1% to -13.3%: 5 occurrences (1.0%) -13.3% to -9.6%: 23 occurrences (4.5%) -11.4% -9.6% to -5.8%: 89 occurrences (17.5%) -5.8% to -2.0%: 97 occurrences (19.0%) -2.0% to +1.8%: 94 occurrences (18.4%) -0.1% +1.8% to +5.6%: 69 occurrences (13.5%) +5.6% to +9.4%: 51 occurrences (10.0%) +9.4% to +13.1%: 27 occurrences (5.3%) 11.2% +13.1% to +16.9%: 17 occurrences (3.3%) +16.9% to +20.7%: 3 occurrences (0.6%) +20.7% to +24.5%: 4 occurrences (0.8%) 22.6% +24.5% to +28.3%: 4 occurrences (0.8%) +28.3% to +32.0%: 6 occurrences (1.2%) +32.0% to +35.8%: 1 occurrences (0.2%) 33.9%
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) 47.1% 24.1% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.4% Adjusts normal bell curve for real-world skewness (1.02) and kurtosis (9.11).
Standard Normal (Black-Scholes / GBM) 60.6% 30.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.6% 25.7% Filters for historical windows that started with volatility similar to current 20-day HV (307 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 40.2%
  • Recent 20-Day HV: 29.4%
  • Parkinson Intraday Volatility: 31.2%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.3%
  • Top 10% Move (90th percentile): +10.3%
  • Bottom 10% Move (10th percentile): -9.5%
  • Max Historical Gain (14d): +35.8%
  • Max Historical Loss (14d): -24.7%