Finance

MLYS Move Probability $15.71 -2.46 (-13.5%)

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)
70.1%
Stock touched +5.0% ($16.50) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
30.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.28x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.3%
$12.68 — $18.74

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-29.5% to -17.2%: 42 occurrences (8.3%) -23.4% -17.2% to -5.0%: 153 occurrences (30.1%) -5.0% to +7.2%: 187 occurrences (36.8%) +7.2% to +19.4%: 87 occurrences (17.1%) 13.3% +19.4% to +31.7%: 10 occurrences (2.0%) +31.7% to +43.9%: 4 occurrences (0.8%) +43.9% to +56.1%: 4 occurrences (0.8%) 50.0% +56.1% to +68.3%: 5 occurrences (1.0%) +68.3% to +80.6%: 0 occurrences (0.0%) +80.6% to +92.8%: 2 occurrences (0.4%) 86.7% +92.8% to +105.0%: 0 occurrences (0.0%) +105.0% to +117.3%: 2 occurrences (0.4%) +117.3% to +129.5%: 0 occurrences (0.0%) 123.4% +129.5% to +141.7%: 3 occurrences (0.6%) +141.7% to +153.9%: 6 occurrences (1.2%) +153.9% to +166.2%: 3 occurrences (0.6%) 160.0%
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) 70.1% 30.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.3% Adjusts normal bell curve for real-world skewness (4.0) and kurtosis (44.69).
Standard Normal (Black-Scholes / GBM) 80.0% 40.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.6% 32.6% Filters for historical windows that started with volatility similar to current 20-day HV (224 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 81.7%
  • Recent 20-Day HV: 89.5%
  • Parkinson Intraday Volatility: 59.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.6%
  • Top 10% Move (90th percentile): +16.3%
  • Bottom 10% Move (10th percentile): -16.4%
  • Max Historical Gain (14d): +166.2%
  • Max Historical Loss (14d): -29.5%