Finance

MPAA Move Probability $9.90 -0.33 (-3.3%)

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)
63.4%
Stock touched +5.0% ($10.40) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
34.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.9%
$8.43 — $11.37

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%.

-26.5% to -19.2%: 27 occurrences (5.3%) -22.8% -19.2% to -11.8%: 44 occurrences (8.7%) -11.8% to -4.5%: 102 occurrences (20.1%) -4.5% to +2.8%: 140 occurrences (27.6%) -0.8% +2.8% to +10.2%: 74 occurrences (14.6%) +10.2% to +17.5%: 52 occurrences (10.2%) +17.5% to +24.8%: 23 occurrences (4.5%) 21.1% +24.8% to +32.1%: 16 occurrences (3.1%) +32.1% to +39.5%: 15 occurrences (3.0%) +39.5% to +46.8%: 4 occurrences (0.8%) 43.1% +46.8% to +54.1%: 3 occurrences (0.6%) +54.1% to +61.5%: 2 occurrences (0.4%) +61.5% to +68.8%: 2 occurrences (0.4%) 65.1% +68.8% to +76.1%: 1 occurrences (0.2%) +76.1% to +83.5%: 0 occurrences (0.0%) +83.5% to +90.8%: 3 occurrences (0.6%) 87.1%
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) 63.4% 34.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.7% Adjusts normal bell curve for real-world skewness (0.05) and kurtosis (14.96).
Standard Normal (Black-Scholes / GBM) 74.3% 37.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 63.1%
  • Recent 20-Day HV: 20.9%
  • Parkinson Intraday Volatility: 40.4%
  • Vol Trend: Compressed (-67% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +20.8%
  • Bottom 10% Move (10th percentile): -14.6%
  • Max Historical Gain (14d): +90.8%
  • Max Historical Loss (14d): -26.5%