Finance

MWA Move Probability $21.86 -0.14 (-0.6%)

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)
42.7%
Stock touched +5.0% ($22.95) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
24.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.76x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.3%
$20.27 — $23.45

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%.

-19.1% to -16.6%: 2 occurrences (0.4%) -17.8% -16.6% to -14.1%: 1 occurrences (0.2%) -14.1% to -11.6%: 1 occurrences (0.2%) -11.6% to -9.0%: 33 occurrences (6.5%) -10.3% -9.0% to -6.5%: 48 occurrences (9.4%) -6.5% to -4.0%: 66 occurrences (13.0%) -4.0% to -1.5%: 58 occurrences (11.4%) -2.8% -1.5% to +1.0%: 73 occurrences (14.4%) +1.0% to +3.5%: 71 occurrences (14.0%) +3.5% to +6.0%: 53 occurrences (10.4%) 4.8% +6.0% to +8.5%: 35 occurrences (6.9%) +8.5% to +11.1%: 33 occurrences (6.5%) +11.1% to +13.6%: 12 occurrences (2.4%) 12.3% +13.6% to +16.1%: 14 occurrences (2.8%) +16.1% to +18.6%: 5 occurrences (1.0%) +18.6% to +21.1%: 3 occurrences (0.6%) 19.9%
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) 42.7% 24.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.3% Adjusts normal bell curve for real-world skewness (0.92) and kurtosis (8.91).
Standard Normal (Black-Scholes / GBM) 50.4% 25.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.1% 31.8% Filters for historical windows that started with volatility similar to current 20-day HV (110 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.0%
  • Recent 20-Day HV: 15.7%
  • Parkinson Intraday Volatility: 23.7%
  • Vol Trend: Compressed (-49% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +9.4%
  • Bottom 10% Move (10th percentile): -8.3%
  • Max Historical Gain (14d): +21.1%
  • Max Historical Loss (14d): -19.1%