Finance

MP Move Probability $39.51 +0.46 (+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)
76.8%
Stock touched +5.0% ($41.49) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
42.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.7%
$32.13 — $46.89

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%.

-41.7% to -32.4%: 5 occurrences (1.0%) -37.1% -32.4% to -23.2%: 7 occurrences (1.4%) -23.2% to -14.0%: 65 occurrences (12.8%) -14.0% to -4.8%: 112 occurrences (22.0%) -9.4% -4.8% to +4.4%: 97 occurrences (19.1%) +4.4% to +13.6%: 105 occurrences (20.7%) +13.6% to +22.8%: 53 occurrences (10.4%) 18.2% +22.8% to +32.0%: 27 occurrences (5.3%) +32.0% to +41.2%: 13 occurrences (2.6%) +41.2% to +50.4%: 6 occurrences (1.2%) 45.8% +50.4% to +59.6%: 2 occurrences (0.4%) +59.6% to +68.8%: 3 occurrences (0.6%) +68.8% to +78.0%: 2 occurrences (0.4%) 73.4% +78.0% to +87.2%: 3 occurrences (0.6%) +87.2% to +96.4%: 5 occurrences (1.0%) +96.4% to +105.6%: 3 occurrences (0.6%) 101.0%
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) 76.8% 42.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.4% Adjusts normal bell curve for real-world skewness (1.42) and kurtosis (8.87).
Standard Normal (Black-Scholes / GBM) 79.4% 39.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.8% 41.9% Filters for historical windows that started with volatility similar to current 20-day HV (198 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 79.2%
  • Recent 20-Day HV: 50.6%
  • Parkinson Intraday Volatility: 62.9%
  • Vol Trend: Compressed (-36% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.7%
  • Top 10% Move (90th percentile): +27.3%
  • Bottom 10% Move (10th percentile): -16.0%
  • Max Historical Gain (14d): +105.6%
  • Max Historical Loss (14d): -41.7%