Finance

MTR Move Probability $2.06 -0.42 (-16.8%)

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)
25.2%
Stock touched +5.0% ($2.16) at least once during 14 trading days.
Median first touch: Day 6 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
1.39x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.7%
$1.81 — $2.30

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%.

-32.2% to -26.4%: 3 occurrences (0.6%) -29.3% -26.4% to -20.6%: 2 occurrences (0.4%) -20.6% to -14.7%: 37 occurrences (7.3%) -14.7% to -8.9%: 63 occurrences (12.4%) -11.8% -8.9% to -3.1%: 148 occurrences (29.1%) -3.1% to +2.7%: 128 occurrences (25.2%) +2.7% to +8.6%: 73 occurrences (14.4%) 5.7% +8.6% to +14.4%: 22 occurrences (4.3%) +14.4% to +20.2%: 20 occurrences (3.9%) +20.2% to +26.1%: 9 occurrences (1.8%) 23.1% +26.1% to +31.9%: 0 occurrences (0.0%) +31.9% to +37.7%: 2 occurrences (0.4%) +37.7% to +43.5%: 0 occurrences (0.0%) 40.6% +43.5% to +49.4%: 0 occurrences (0.0%) +49.4% to +55.2%: 0 occurrences (0.0%) +55.2% to +61.0%: 1 occurrences (0.2%) 58.1%
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) 25.2% 18.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.6% Adjusts normal bell curve for real-world skewness (-0.9) and kurtosis (22.78).
Standard Normal (Black-Scholes / GBM) 67.7% 33.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 22.6% 13.5% Filters for historical windows that started with volatility similar to current 20-day HV (133 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.7%
  • Recent 20-Day HV: 65.3%
  • Parkinson Intraday Volatility: 18.7%
  • Vol Trend: Expanded (+31% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.0%
  • Top 10% Move (90th percentile): +9.1%
  • Bottom 10% Move (10th percentile): -13.8%
  • Max Historical Gain (14d): +61.0%
  • Max Historical Loss (14d): -32.2%