Finance

MTD Move Probability $1677.32 +40.97 (+2.5%)

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)
51.6%
Stock touched +5.0% ($1761.19) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
28.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.82x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.9%
$1544.62 — $1810.02

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%: 7 occurrences (1.4%) -19.3% -18.1% to -15.6%: 6 occurrences (1.2%) -15.6% to -13.1%: 10 occurrences (2.0%) -13.1% to -10.6%: 19 occurrences (3.7%) -11.9% -10.6% to -8.1%: 18 occurrences (3.5%) -8.1% to -5.7%: 37 occurrences (7.3%) -5.7% to -3.2%: 45 occurrences (8.9%) -4.4% -3.2% to -0.7%: 71 occurrences (14.0%) -0.7% to +1.8%: 63 occurrences (12.4%) +1.8% to +4.3%: 69 occurrences (13.6%) 3.0% +4.3% to +6.8%: 63 occurrences (12.4%) +6.8% to +9.3%: 52 occurrences (10.2%) +9.3% to +11.7%: 21 occurrences (4.1%) 10.5% +11.7% to +14.2%: 17 occurrences (3.3%) +14.2% to +16.7%: 8 occurrences (1.6%) +16.7% to +19.2%: 2 occurrences (0.4%) 18.0%
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) 51.6% 28.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.2% Adjusts normal bell curve for real-world skewness (-0.8) and kurtosis (6.8).
Standard Normal (Black-Scholes / GBM) 53.7% 26.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 45.6% 21.8% Filters for historical windows that started with volatility similar to current 20-day HV (340 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.6%
  • Recent 20-Day HV: 23.7%
  • Parkinson Intraday Volatility: 24.0%
  • Vol Trend: Compressed (-29% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +9.2%
  • Bottom 10% Move (10th percentile): -9.5%
  • Max Historical Gain (14d): +19.2%
  • Max Historical Loss (14d): -20.6%