Finance

MSM Move Probability $112.24 -20.43 (-15.4%)

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)
45.4%
Stock touched +5.0% ($117.85) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
27.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.1%
$104.22 — $120.26

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-13.7% to -11.9%: 2 occurrences (0.4%) -12.8% -11.9% to -10.0%: 6 occurrences (1.2%) -10.0% to -8.1%: 7 occurrences (1.4%) -8.1% to -6.3%: 6 occurrences (1.2%) -7.2% -6.3% to -4.4%: 34 occurrences (6.7%) -4.4% to -2.5%: 54 occurrences (10.6%) -2.5% to -0.7%: 83 occurrences (16.3%) -1.6% -0.7% to +1.2%: 74 occurrences (14.5%) +1.2% to +3.1%: 62 occurrences (12.2%) +3.1% to +4.9%: 37 occurrences (7.3%) 4.0% +4.9% to +6.8%: 56 occurrences (11.0%) +6.8% to +8.7%: 30 occurrences (5.9%) +8.7% to +10.5%: 29 occurrences (5.7%) 9.6% +10.5% to +12.4%: 21 occurrences (4.1%) +12.4% to +14.3%: 6 occurrences (1.2%) +14.3% to +16.2%: 2 occurrences (0.4%) 15.2%
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) 45.4% 27.9% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.5% Adjusts normal bell curve for real-world skewness (-0.77) and kurtosis (12.11).
Standard Normal (Black-Scholes / GBM) 49.5% 24.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.1% 14.3% Filters for historical windows that started with volatility similar to current 20-day HV (21 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.3%
  • Recent 20-Day HV: 64.9%
  • Parkinson Intraday Volatility: 22.3%
  • Vol Trend: Expanded (+114% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +9.0%
  • Bottom 10% Move (10th percentile): -4.6%
  • Max Historical Gain (14d): +16.2%
  • Max Historical Loss (14d): -13.7%