Finance

MRX Move Probability $71.55 +0.97 (+1.4%)

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)
67.9%
Stock touched +5.0% ($75.12) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
39.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.1%
$64.30 — $78.79

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%.

-19.5% to -15.7%: 9 occurrences (1.8%) -17.6% -15.7% to -11.9%: 9 occurrences (1.8%) -11.9% to -8.0%: 39 occurrences (7.7%) -8.0% to -4.2%: 45 occurrences (8.9%) -6.1% -4.2% to -0.3%: 69 occurrences (13.6%) -0.3% to +3.5%: 108 occurrences (21.3%) +3.5% to +7.3%: 65 occurrences (12.8%) 5.4% +7.3% to +11.2%: 71 occurrences (14.0%) +11.2% to +15.0%: 39 occurrences (7.7%) +15.0% to +18.9%: 20 occurrences (3.9%) 16.9% +18.9% to +22.7%: 16 occurrences (3.1%) +22.7% to +26.6%: 7 occurrences (1.4%) +26.6% to +30.4%: 4 occurrences (0.8%) 28.5% +30.4% to +34.2%: 2 occurrences (0.4%) +34.2% to +38.1%: 1 occurrences (0.2%) +38.1% to +41.9%: 4 occurrences (0.8%) 40.0%
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) 67.9% 39.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.2% Adjusts normal bell curve for real-world skewness (0.27) and kurtosis (4.55).
Standard Normal (Black-Scholes / GBM) 63.0% 31.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.3% 30.2% Filters for historical windows that started with volatility similar to current 20-day HV (318 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.0%
  • Recent 20-Day HV: 35.1%
  • Parkinson Intraday Volatility: 35.4%
  • Vol Trend: Compressed (-18% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.5%
  • Top 10% Move (90th percentile): +15.8%
  • Bottom 10% Move (10th percentile): -8.3%
  • Max Historical Gain (14d): +41.9%
  • Max Historical Loss (14d): -19.5%