Finance

MSDL Move Probability $12.88 -0.05 (-0.4%)

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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Touch Probability (First Passage)
17.1%
Stock touched +5.0% ($13.52) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
7.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.23x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.8%
$12.26 — $13.49

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%.

-11.7% to -10.1%: 4 occurrences (0.8%) -10.9% -10.1% to -8.5%: 6 occurrences (1.2%) -8.5% to -7.0%: 12 occurrences (2.4%) -7.0% to -5.4%: 29 occurrences (5.7%) -6.2% -5.4% to -3.8%: 53 occurrences (10.4%) -3.8% to -2.3%: 58 occurrences (11.4%) -2.3% to -0.7%: 68 occurrences (13.4%) -1.5% -0.7% to +0.9%: 86 occurrences (16.9%) +0.9% to +2.4%: 64 occurrences (12.6%) +2.4% to +4.0%: 69 occurrences (13.6%) 3.2% +4.0% to +5.6%: 32 occurrences (6.3%) +5.6% to +7.1%: 16 occurrences (3.1%) +7.1% to +8.7%: 5 occurrences (1.0%) 7.9% +8.7% to +10.3%: 4 occurrences (0.8%) +10.3% to +11.8%: 0 occurrences (0.0%) +11.8% to +13.4%: 2 occurrences (0.4%) 12.6%
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) 17.1% 7.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.2% Adjusts normal bell curve for real-world skewness (-0.06) and kurtosis (2.98).
Standard Normal (Black-Scholes / GBM) 30.6% 15.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 18.9% 8.6% Filters for historical windows that started with volatility similar to current 20-day HV (360 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 20.2%
  • Recent 20-Day HV: 18.6%
  • Parkinson Intraday Volatility: 16.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +4.4%
  • Bottom 10% Move (10th percentile): -5.3%
  • Max Historical Gain (14d): +13.4%
  • Max Historical Loss (14d): -11.7%