Finance

MRNA Move Probability $245.94 +3.65 (+1.5%)

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)
78.9%
Stock touched +5.0% ($258.24) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
39.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.03x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.8%
$187.30 — $304.58

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%.

-33.9% to -19.2%: 36 occurrences (7.1%) -26.5% -19.2% to -4.5%: 145 occurrences (28.5%) -4.5% to +10.2%: 178 occurrences (35.0%) +10.2% to +24.8%: 82 occurrences (16.1%) 17.5% +24.8% to +39.5%: 35 occurrences (6.9%) +39.5% to +54.2%: 12 occurrences (2.4%) +54.2% to +68.9%: 5 occurrences (1.0%) 61.5% +68.9% to +83.5%: 1 occurrences (0.2%) +83.5% to +98.2%: 0 occurrences (0.0%) +98.2% to +112.9%: 0 occurrences (0.0%) 105.5% +112.9% to +127.6%: 2 occurrences (0.4%) +127.6% to +142.2%: 6 occurrences (1.2%) +142.2% to +156.9%: 2 occurrences (0.4%) 149.6% +156.9% to +171.6%: 1 occurrences (0.2%) +171.6% to +186.3%: 2 occurrences (0.4%) +186.3% to +200.9%: 1 occurrences (0.2%) 193.6%
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) 78.9% 39.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.2% Adjusts normal bell curve for real-world skewness (7.69) and kurtosis (122.69).
Standard Normal (Black-Scholes / GBM) 83.8% 41.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 79.1% 45.7% Filters for historical windows that started with volatility similar to current 20-day HV (326 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 101.2%
  • Recent 20-Day HV: 86.0%
  • Parkinson Intraday Volatility: 64.8%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +28.7%
  • Bottom 10% Move (10th percentile): -16.5%
  • Max Historical Gain (14d): +200.9%
  • Max Historical Loss (14d): -33.9%