Finance

MXCT Move Probability $1.47 +0.04 (+2.8%)

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)
62.8%
Stock touched +5.0% ($1.54) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
29.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.13x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.5%
$1.23 — $1.71

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%.

-45.7% to -39.8%: 4 occurrences (0.8%) -42.7% -39.8% to -33.8%: 13 occurrences (2.6%) -33.8% to -27.8%: 14 occurrences (2.8%) -27.8% to -21.8%: 17 occurrences (3.3%) -24.8% -21.8% to -15.9%: 40 occurrences (7.9%) -15.9% to -9.9%: 44 occurrences (8.7%) -9.9% to -3.9%: 90 occurrences (17.7%) -6.9% -3.9% to +2.1%: 98 occurrences (19.3%) +2.1% to +8.0%: 67 occurrences (13.2%) +8.0% to +14.0%: 47 occurrences (9.3%) 11.0% +14.0% to +20.0%: 34 occurrences (6.7%) +20.0% to +26.0%: 21 occurrences (4.1%) +26.0% to +31.9%: 13 occurrences (2.6%) 28.9% +31.9% to +37.9%: 3 occurrences (0.6%) +37.9% to +43.9%: 1 occurrences (0.2%) +43.9% to +49.9%: 2 occurrences (0.4%) 46.9%
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) 62.8% 29.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.8% Adjusts normal bell curve for real-world skewness (-0.4) and kurtosis (10.95).
Standard Normal (Black-Scholes / GBM) 76.8% 38.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.3% 34.2% Filters for historical windows that started with volatility similar to current 20-day HV (158 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 70.1%
  • Recent 20-Day HV: 104.5%
  • Parkinson Intraday Volatility: 59.0%
  • Vol Trend: Expanded (+49% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.3%
  • Top 10% Move (90th percentile): +18.8%
  • Bottom 10% Move (10th percentile): -21.5%
  • Max Historical Gain (14d): +49.9%
  • Max Historical Loss (14d): -45.7%