Finance

MREO Move Probability $0.29 -0.01 (-2.6%)

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)
72.4%
Stock touched +5.0% ($0.30) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
28.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.56x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±40.2%
$0.17 — $0.41

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%.

-86.6% to -75.2%: 8 occurrences (1.6%) -80.9% -75.2% to -63.7%: 6 occurrences (1.2%) -63.7% to -52.3%: 0 occurrences (0.0%) -52.3% to -40.9%: 5 occurrences (1.0%) -46.6% -40.9% to -29.4%: 15 occurrences (3.0%) -29.4% to -18.0%: 40 occurrences (7.9%) -18.0% to -6.5%: 137 occurrences (27.0%) -12.2% -6.5% to +4.9%: 153 occurrences (30.1%) +4.9% to +16.4%: 89 occurrences (17.5%) +16.4% to +27.8%: 24 occurrences (4.7%) 22.1% +27.8% to +39.2%: 19 occurrences (3.7%) +39.2% to +50.7%: 9 occurrences (1.8%) +50.7% to +62.1%: 1 occurrences (0.2%) 56.4% +62.1% to +73.6%: 1 occurrences (0.2%) +73.6% to +85.0%: 0 occurrences (0.0%) +85.0% to +96.5%: 1 occurrences (0.2%) 90.7%
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) 72.4% 28.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 93.0% Adjusts normal bell curve for real-world skewness (-14.17) and kurtosis (271.24).
Standard Normal (Black-Scholes / GBM) 90.3% 45.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.4% 28.1% Filters for historical windows that started with volatility similar to current 20-day HV (256 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 170.7%
  • Recent 20-Day HV: 93.8%
  • Parkinson Intraday Volatility: 74.9%
  • Vol Trend: Compressed (-45% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.0%
  • Top 10% Move (90th percentile): +18.3%
  • Bottom 10% Move (10th percentile): -23.0%
  • Max Historical Gain (14d): +96.5%
  • Max Historical Loss (14d): -86.6%