Finance

MRCY Move Probability $75.56 +0.98 (+1.3%)

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)
65.6%
Stock touched +5.0% ($79.34) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
40.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.64x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.7%
$65.98 — $85.14

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%.

-27.2% to -23.1%: 4 occurrences (0.8%) -25.2% -23.1% to -18.9%: 14 occurrences (2.8%) -18.9% to -14.7%: 12 occurrences (2.4%) -14.7% to -10.6%: 25 occurrences (4.9%) -12.7% -10.6% to -6.4%: 63 occurrences (12.4%) -6.4% to -2.3%: 62 occurrences (12.2%) -2.3% to +1.9%: 86 occurrences (16.9%) -0.2% +1.9% to +6.1%: 57 occurrences (11.2%) +6.1% to +10.2%: 58 occurrences (11.4%) +10.2% to +14.4%: 47 occurrences (9.3%) 12.3% +14.4% to +18.6%: 22 occurrences (4.3%) +18.6% to +22.7%: 22 occurrences (4.3%) +22.7% to +26.9%: 17 occurrences (3.3%) 24.8% +26.9% to +31.1%: 11 occurrences (2.2%) +31.1% to +35.2%: 2 occurrences (0.4%) +35.2% to +39.4%: 6 occurrences (1.2%) 37.3%
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) 65.6% 40.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.1% Adjusts normal bell curve for real-world skewness (0.52) and kurtosis (13.79).
Standard Normal (Black-Scholes / GBM) 70.0% 35.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.4% 51.2% Filters for historical windows that started with volatility similar to current 20-day HV (207 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 53.8%
  • Recent 20-Day HV: 31.2%
  • Parkinson Intraday Volatility: 37.0%
  • Vol Trend: Compressed (-42% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.4%
  • Top 10% Move (90th percentile): +20.1%
  • Bottom 10% Move (10th percentile): -11.3%
  • Max Historical Gain (14d): +39.4%
  • Max Historical Loss (14d): -27.2%