Finance

MKTW Move Probability $18.55 +0.12 (+0.7%)

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)
57.3%
Stock touched +5.0% ($19.48) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
32.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.74x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.3%
$15.71 — $21.39

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%.

-37.8% to -32.4%: 2 occurrences (0.4%) -35.1% -32.4% to -26.9%: 4 occurrences (0.8%) -26.9% to -21.5%: 3 occurrences (0.6%) -21.5% to -16.1%: 12 occurrences (2.4%) -18.8% -16.1% to -10.7%: 22 occurrences (4.3%) -10.7% to -5.2%: 83 occurrences (16.3%) -5.2% to +0.2%: 115 occurrences (22.6%) -2.5% +0.2% to +5.6%: 106 occurrences (20.9%) +5.6% to +11.1%: 71 occurrences (14.0%) +11.1% to +16.5%: 34 occurrences (6.7%) 13.8% +16.5% to +21.9%: 11 occurrences (2.2%) +21.9% to +27.4%: 13 occurrences (2.6%) +27.4% to +32.8%: 13 occurrences (2.6%) 30.1% +32.8% to +38.2%: 13 occurrences (2.6%) +38.2% to +43.7%: 4 occurrences (0.8%) +43.7% to +49.1%: 2 occurrences (0.4%) 46.4%
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) 57.3% 32.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.6% Adjusts normal bell curve for real-world skewness (1.12) and kurtosis (10.09).
Standard Normal (Black-Scholes / GBM) 75.0% 37.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 43.9% 25.2% Filters for historical windows that started with volatility similar to current 20-day HV (123 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 65.0%
  • Recent 20-Day HV: 31.3%
  • Parkinson Intraday Volatility: 38.0%
  • Vol Trend: Compressed (-52% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +20.8%
  • Bottom 10% Move (10th percentile): -9.3%
  • Max Historical Gain (14d): +49.1%
  • Max Historical Loss (14d): -37.8%