Finance

MLAB Move Probability $129.42 +2.43 (+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)
67.1%
Stock touched +5.0% ($135.89) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
32.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.05x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.5%
$111.91 — $146.93

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%.

-29.0% to -25.3%: 6 occurrences (1.2%) -27.2% -25.3% to -21.6%: 2 occurrences (0.4%) -21.6% to -18.0%: 6 occurrences (1.2%) -18.0% to -14.3%: 24 occurrences (4.7%) -16.1% -14.3% to -10.6%: 35 occurrences (6.9%) -10.6% to -7.0%: 47 occurrences (9.3%) -7.0% to -3.3%: 59 occurrences (11.6%) -5.1% -3.3% to +0.4%: 58 occurrences (11.4%) +0.4% to +4.1%: 77 occurrences (15.2%) +4.1% to +7.7%: 75 occurrences (14.8%) 5.9% +7.7% to +11.4%: 50 occurrences (9.8%) +11.4% to +15.1%: 27 occurrences (5.3%) +15.1% to +18.7%: 19 occurrences (3.7%) 16.9% +18.7% to +22.4%: 10 occurrences (2.0%) +22.4% to +26.1%: 7 occurrences (1.4%) +26.1% to +29.8%: 6 occurrences (1.2%) 27.9%
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) 67.1% 32.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.6% Adjusts normal bell curve for real-world skewness (-1.22) and kurtosis (9.11).
Standard Normal (Black-Scholes / GBM) 71.8% 35.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 64.2% 28.2% Filters for historical windows that started with volatility similar to current 20-day HV (341 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 57.4%
  • Recent 20-Day HV: 43.9%
  • Parkinson Intraday Volatility: 33.4%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.4%
  • Top 10% Move (90th percentile): +13.4%
  • Bottom 10% Move (10th percentile): -12.1%
  • Max Historical Gain (14d): +29.8%
  • Max Historical Loss (14d): -29.0%