Finance

MTEX Move Probability $8.56 -0.18 (-2.0%)

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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Touch Probability (First Passage)
40.7%
Stock touched +5.0% ($8.99) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
26.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.52x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.7%
$7.14 — $9.99

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%.

-27.1% to -19.7%: 29 occurrences (5.7%) -23.4% -19.7% to -12.2%: 69 occurrences (13.6%) -12.2% to -4.8%: 68 occurrences (13.4%) -4.8% to +2.7%: 170 occurrences (33.5%) -1.0% +2.7% to +10.1%: 109 occurrences (21.5%) +10.1% to +17.6%: 14 occurrences (2.8%) +17.6% to +25.0%: 18 occurrences (3.5%) 21.3% +25.0% to +32.4%: 3 occurrences (0.6%) +32.4% to +39.9%: 3 occurrences (0.6%) +39.9% to +47.3%: 9 occurrences (1.8%) 43.6% +47.3% to +54.8%: 5 occurrences (1.0%) +54.8% to +62.2%: 0 occurrences (0.0%) +62.2% to +69.7%: 9 occurrences (1.8%) 65.9% +69.7% to +77.1%: 0 occurrences (0.0%) +77.1% to +84.5%: 1 occurrences (0.2%) +84.5% to +92.0%: 1 occurrences (0.2%) 88.3%
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) 40.7% 26.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.2% Adjusts normal bell curve for real-world skewness (0.28) and kurtosis (23.39).
Standard Normal (Black-Scholes / GBM) 77.0% 38.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.8% 32.5% Filters for historical windows that started with volatility similar to current 20-day HV (157 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 70.7%
  • Recent 20-Day HV: 87.0%
  • Parkinson Intraday Volatility: 18.1%
  • Vol Trend: Expanded (+23% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +16.4%
  • Bottom 10% Move (10th percentile): -14.6%
  • Max Historical Gain (14d): +92.0%
  • Max Historical Loss (14d): -27.1%