Finance

MLR Move Probability $52.68 +0.63 (+1.2%)

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)
41.5%
Stock touched +5.0% ($55.31) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
22.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.83x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.8%
$48.60 — $56.76

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%.

-27.5% to -24.3%: 6 occurrences (1.2%) -25.9% -24.3% to -21.2%: 6 occurrences (1.2%) -21.2% to -18.1%: 2 occurrences (0.4%) -18.1% to -15.0%: 2 occurrences (0.4%) -16.5% -15.0% to -11.9%: 3 occurrences (0.6%) -11.9% to -8.7%: 32 occurrences (6.3%) -8.7% to -5.6%: 38 occurrences (7.5%) -7.2% -5.6% to -2.5%: 84 occurrences (16.5%) -2.5% to +0.6%: 97 occurrences (19.1%) +0.6% to +3.7%: 78 occurrences (15.4%) 2.2% +3.7% to +6.9%: 86 occurrences (16.9%) +6.9% to +10.0%: 40 occurrences (7.9%) +10.0% to +13.1%: 22 occurrences (4.3%) 11.5% +13.1% to +16.2%: 6 occurrences (1.2%) +16.2% to +19.3%: 4 occurrences (0.8%) +19.3% to +22.5%: 2 occurrences (0.4%) 20.9%
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) 41.5% 22.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.7% Adjusts normal bell curve for real-world skewness (-0.65) and kurtosis (8.89).
Standard Normal (Black-Scholes / GBM) 52.9% 26.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.6% 25.4% Filters for historical windows that started with volatility similar to current 20-day HV (240 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 32.9%
  • Recent 20-Day HV: 20.6%
  • Parkinson Intraday Volatility: 19.9%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +8.3%
  • Bottom 10% Move (10th percentile): -8.6%
  • Max Historical Gain (14d): +22.5%
  • Max Historical Loss (14d): -27.5%