Finance

MVO Move Probability $0.60 -0.03 (-5.3%)

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)
57.8%
Stock touched +5.0% ($0.63) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
23.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.43x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±28.0%
$0.43 — $0.76

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 446 historical windows (2024-09-23 to 2026-07-24). The colored bar indicates the win zone for +5.0%.

-78.3% to -66.5%: 11 occurrences (2.5%) -72.4% -66.5% to -54.7%: 9 occurrences (2.0%) -54.7% to -42.9%: 9 occurrences (2.0%) -42.9% to -31.1%: 6 occurrences (1.3%) -37.0% -31.1% to -19.3%: 35 occurrences (7.8%) -19.3% to -7.5%: 62 occurrences (13.9%) -7.5% to +4.3%: 195 occurrences (43.7%) -1.6% +4.3% to +16.1%: 62 occurrences (13.9%) +16.1% to +27.9%: 29 occurrences (6.5%) +27.9% to +39.8%: 11 occurrences (2.5%) 33.9% +39.8% to +51.6%: 9 occurrences (2.0%) +51.6% to +63.4%: 2 occurrences (0.4%) +63.4% to +75.2%: 2 occurrences (0.4%) 69.3% +75.2% to +87.0%: 1 occurrences (0.2%) +87.0% to +98.8%: 0 occurrences (0.0%) +98.8% to +110.6%: 3 occurrences (0.7%) 104.7%
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) 57.8% 23.8% Model-free reality across 446 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 42.5% Adjusts normal bell curve for real-world skewness (-2.68) and kurtosis (28.75).
Standard Normal (Black-Scholes / GBM) 86.2% 43.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 86.7% 50.0% Filters for historical windows that started with volatility similar to current 20-day HV (60 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 119.0%
  • Recent 20-Day HV: 291.1%
  • Parkinson Intraday Volatility: 74.6%
  • Vol Trend: Expanded (+145% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.7%
  • Top 10% Move (90th percentile): +20.6%
  • Bottom 10% Move (10th percentile): -25.0%
  • Max Historical Gain (14d): +110.6%
  • Max Historical Loss (14d): -78.3%