Finance

MTSI Move Probability $272.94 +9.89 (+3.8%)

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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Touch Probability (First Passage)
68.3%
Stock touched +5.0% ($286.59) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
43.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.3%
$236.57 — $309.31

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%.

-29.3% to -25.0%: 6 occurrences (1.2%) -27.2% -25.0% to -20.7%: 4 occurrences (0.8%) -20.7% to -16.4%: 15 occurrences (3.0%) -16.4% to -12.1%: 26 occurrences (5.1%) -14.3% -12.1% to -7.8%: 39 occurrences (7.7%) -7.8% to -3.5%: 51 occurrences (10.0%) -3.5% to +0.8%: 72 occurrences (14.2%) -1.4% +0.8% to +5.1%: 75 occurrences (14.8%) +5.1% to +9.4%: 76 occurrences (15.0%) +9.4% to +13.7%: 52 occurrences (10.2%) 11.5% +13.7% to +18.0%: 29 occurrences (5.7%) +18.0% to +22.3%: 19 occurrences (3.7%) +22.3% to +26.6%: 14 occurrences (2.8%) 24.4% +26.6% to +30.9%: 12 occurrences (2.4%) +30.9% to +35.2%: 15 occurrences (3.0%) +35.2% to +39.5%: 3 occurrences (0.6%) 37.3%
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) 68.3% 43.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.4% Adjusts normal bell curve for real-world skewness (-0.09) and kurtosis (3.69).
Standard Normal (Black-Scholes / GBM) 71.4% 35.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.5% 45.5% Filters for historical windows that started with volatility similar to current 20-day HV (286 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 56.5%
  • Recent 20-Day HV: 68.7%
  • Parkinson Intraday Volatility: 40.8%
  • Vol Trend: Expanded (+22% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.1%
  • Top 10% Move (90th percentile): +20.2%
  • Bottom 10% Move (10th percentile): -12.0%
  • Max Historical Gain (14d): +39.5%
  • Max Historical Loss (14d): -29.3%