Finance

MS Move Probability $187.11 +6.73 (+3.7%)

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)
50.2%
Stock touched +5.0% ($196.47) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
32.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.55x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.2%
$173.65 — $200.57

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%.

-20.6% to -18.1%: 2 occurrences (0.4%) -19.3% -18.1% to -15.5%: 1 occurrences (0.2%) -15.5% to -12.9%: 7 occurrences (1.4%) -12.9% to -10.4%: 10 occurrences (2.0%) -11.6% -10.4% to -7.8%: 18 occurrences (3.5%) -7.8% to -5.2%: 42 occurrences (8.3%) -5.2% to -2.7%: 40 occurrences (7.9%) -4.0% -2.7% to -0.1%: 66 occurrences (13.0%) -0.1% to +2.5%: 97 occurrences (19.1%) +2.5% to +5.0%: 61 occurrences (12.0%) 3.7% +5.0% to +7.6%: 59 occurrences (11.6%) +7.6% to +10.2%: 39 occurrences (7.7%) +10.2% to +12.7%: 29 occurrences (5.7%) 11.4% +12.7% to +15.3%: 26 occurrences (5.1%) +15.3% to +17.9%: 9 occurrences (1.8%) +17.9% to +20.4%: 2 occurrences (0.4%) 19.1%
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) 50.2% 32.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.1% Adjusts normal bell curve for real-world skewness (0.01) and kurtosis (5.53).
Standard Normal (Black-Scholes / GBM) 49.8% 24.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.0% 32.3% Filters for historical windows that started with volatility similar to current 20-day HV (341 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.5%
  • Recent 20-Day HV: 23.1%
  • Parkinson Intraday Volatility: 24.5%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.8%
  • Top 10% Move (90th percentile): +10.9%
  • Bottom 10% Move (10th percentile): -7.2%
  • Max Historical Gain (14d): +20.4%
  • Max Historical Loss (14d): -20.6%