Finance

MITT Move Probability $5.33 +0.02 (+0.4%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
42.7%
Stock touched +5.0% ($5.60) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.8%
$4.97 — $5.69

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%.

-22.7% to -20.4%: 2 occurrences (0.4%) -21.5% -20.4% to -18.0%: 2 occurrences (0.4%) -18.0% to -15.6%: 5 occurrences (1.0%) -15.6% to -13.2%: 2 occurrences (0.4%) -14.4% -13.2% to -10.8%: 4 occurrences (0.8%) -10.8% to -8.4%: 31 occurrences (6.1%) -8.4% to -6.0%: 46 occurrences (9.1%) -7.2% -6.0% to -3.6%: 62 occurrences (12.2%) -3.6% to -1.2%: 56 occurrences (11.0%) -1.2% to +1.2%: 60 occurrences (11.8%) -0.0% +1.2% to +3.6%: 76 occurrences (15.0%) +3.6% to +6.0%: 57 occurrences (11.2%) +6.0% to +8.4%: 64 occurrences (12.6%) 7.2% +8.4% to +10.8%: 27 occurrences (5.3%) +10.8% to +13.1%: 10 occurrences (2.0%) +13.1% to +15.5%: 4 occurrences (0.8%) 14.3%
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) 42.7% 25.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.4% Adjusts normal bell curve for real-world skewness (-0.79) and kurtosis (5.06).
Standard Normal (Black-Scholes / GBM) 47.4% 23.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 43.5% 29.0% Filters for historical windows that started with volatility similar to current 20-day HV (359 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 28.9%
  • Recent 20-Day HV: 28.5%
  • Parkinson Intraday Volatility: 20.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +7.8%
  • Bottom 10% Move (10th percentile): -7.9%
  • Max Historical Gain (14d): +15.5%
  • Max Historical Loss (14d): -22.7%