Finance

MSC Move Probability $0.82 +0.00 (+0.0%)

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)
30.9%
Stock touched +5.0% ($0.87) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
18.1%
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%)
±20.6%
$0.65 — $1.00

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%.

-55.9% to -48.5%: 7 occurrences (1.4%) -52.2% -48.5% to -41.2%: 7 occurrences (1.4%) -41.2% to -33.8%: 2 occurrences (0.4%) -33.8% to -26.4%: 7 occurrences (1.4%) -30.1% -26.4% to -19.0%: 31 occurrences (6.1%) -19.0% to -11.7%: 109 occurrences (21.5%) -11.7% to -4.3%: 78 occurrences (15.4%) -8.0% -4.3% to +3.1%: 146 occurrences (28.7%) +3.1% to +10.5%: 61 occurrences (12.0%) +10.5% to +17.9%: 28 occurrences (5.5%) 14.2% +17.9% to +25.2%: 15 occurrences (3.0%) +25.2% to +32.6%: 1 occurrences (0.2%) +32.6% to +40.0%: 1 occurrences (0.2%) 36.3% +40.0% to +47.4%: 1 occurrences (0.2%) +47.4% to +54.8%: 8 occurrences (1.6%) +54.8% to +62.1%: 6 occurrences (1.2%) 58.4%
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) 30.9% 18.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.4% Adjusts normal bell curve for real-world skewness (-1.97) and kurtosis (37.81).
Standard Normal (Black-Scholes / GBM) 81.3% 40.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.5% 21.3% Filters for historical windows that started with volatility similar to current 20-day HV (211 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 87.4%
  • Recent 20-Day HV: 67.2%
  • Parkinson Intraday Volatility: 43.6%
  • Vol Trend: Compressed (-23% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.4%
  • Top 10% Move (90th percentile): +10.9%
  • Bottom 10% Move (10th percentile): -19.9%
  • Max Historical Gain (14d): +62.1%
  • Max Historical Loss (14d): -55.9%