Finance

MRMD Move Probability $0.06 -0.00 (-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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Touch Probability (First Passage)
77.6%
Stock touched +5.0% ($0.06) at least once during 14 trading days.
Median first touch: Day 1 of 14
Expiration Close Probability
26.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.91x
You are 2.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.8%
$0.04 — $0.07

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-43.3% to -36.6%: 8 occurrences (1.6%) -39.9% -36.6% to -29.9%: 4 occurrences (0.8%) -29.9% to -23.2%: 21 occurrences (4.3%) -23.2% to -16.6%: 44 occurrences (9.0%) -19.9% -16.6% to -9.9%: 82 occurrences (16.8%) -9.9% to -3.2%: 117 occurrences (24.0%) -3.2% to +3.5%: 71 occurrences (14.6%) 0.2% +3.5% to +10.2%: 23 occurrences (4.7%) +10.2% to +16.9%: 26 occurrences (5.3%) +16.9% to +23.5%: 41 occurrences (8.4%) 20.2% +23.5% to +30.2%: 20 occurrences (4.1%) +30.2% to +36.9%: 16 occurrences (3.3%) +36.9% to +43.6%: 6 occurrences (1.2%) 40.2% +43.6% to +50.3%: 5 occurrences (1.0%) +50.3% to +57.0%: 1 occurrences (0.2%) +57.0% to +63.6%: 2 occurrences (0.4%) 60.3%
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) 77.6% 26.7% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.9% Adjusts normal bell curve for real-world skewness (0.91) and kurtosis (4.68).
Standard Normal (Black-Scholes / GBM) 82.3% 41.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.2% 23.6% Filters for historical windows that started with volatility similar to current 20-day HV (89 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 92.4%
  • Recent 20-Day HV: 47.2%
  • Parkinson Intraday Volatility: 121.3%
  • Vol Trend: Compressed (-49% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.9%
  • Top 10% Move (90th percentile): +24.1%
  • Bottom 10% Move (10th percentile): -19.4%
  • Max Historical Gain (14d): +63.6%
  • Max Historical Loss (14d): -43.3%