Finance

MRK Move Probability $149.88 +1.64 (+1.1%)

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)
44.7%
Stock touched +5.0% ($157.37) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
26.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.8%
$139.70 — $160.06

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%.

-16.7% to -14.1%: 6 occurrences (1.2%) -15.4% -14.1% to -11.5%: 8 occurrences (1.6%) -11.5% to -8.9%: 16 occurrences (3.1%) -8.9% to -6.3%: 33 occurrences (6.5%) -7.6% -6.3% to -3.6%: 54 occurrences (10.6%) -3.6% to -1.0%: 77 occurrences (15.2%) -1.0% to +1.6%: 84 occurrences (16.5%) 0.3% +1.6% to +4.2%: 75 occurrences (14.8%) +4.2% to +6.9%: 64 occurrences (12.6%) +6.9% to +9.5%: 48 occurrences (9.4%) 8.2% +9.5% to +12.1%: 19 occurrences (3.7%) +12.1% to +14.7%: 12 occurrences (2.4%) +14.7% to +17.3%: 2 occurrences (0.4%) 16.0% +17.3% to +20.0%: 6 occurrences (1.2%) +20.0% to +22.6%: 3 occurrences (0.6%) +22.6% to +25.2%: 1 occurrences (0.2%) 23.9%
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) 44.7% 26.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.8% Adjusts normal bell curve for real-world skewness (0.39) and kurtosis (5.35).
Standard Normal (Black-Scholes / GBM) 47.3% 23.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.1% 30.4% Filters for historical windows that started with volatility similar to current 20-day HV (375 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 28.8%
  • Recent 20-Day HV: 29.4%
  • Parkinson Intraday Volatility: 23.7%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +8.7%
  • Bottom 10% Move (10th percentile): -7.0%
  • Max Historical Gain (14d): +25.2%
  • Max Historical Loss (14d): -16.7%