Finance

MXL Move Probability $64.86 -10.94 (-14.4%)

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)
80.0%
Stock touched +5.0% ($68.10) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
44.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.1%
$49.90 — $79.81

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-40.3% to -20.9%: 38 occurrences (7.5%) -30.6% -20.9% to -1.4%: 165 occurrences (32.4%) -1.4% to +18.1%: 216 occurrences (42.4%) +18.1% to +37.5%: 50 occurrences (9.8%) 27.8% +37.5% to +57.0%: 16 occurrences (3.1%) +57.0% to +76.5%: 4 occurrences (0.8%) +76.5% to +95.9%: 5 occurrences (1.0%) 86.2% +95.9% to +115.4%: 1 occurrences (0.2%) +115.4% to +134.8%: 0 occurrences (0.0%) +134.8% to +154.3%: 0 occurrences (0.0%) 144.6% +154.3% to +173.8%: 3 occurrences (0.6%) +173.8% to +193.2%: 1 occurrences (0.2%) +193.2% to +212.7%: 1 occurrences (0.2%) 203.0% +212.7% to +232.2%: 3 occurrences (0.6%) +232.2% to +251.6%: 3 occurrences (0.6%) +251.6% to +271.1%: 3 occurrences (0.6%) 261.4%
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) 80.0% 44.6% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.0% Adjusts normal bell curve for real-world skewness (1.19) and kurtosis (14.57).
Standard Normal (Black-Scholes / GBM) 83.2% 41.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 79.2% 37.0% Filters for historical windows that started with volatility similar to current 20-day HV (173 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 97.8%
  • Recent 20-Day HV: 120.8%
  • Parkinson Intraday Volatility: 68.2%
  • Vol Trend: Expanded (+24% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.9%
  • Top 10% Move (90th percentile): +31.7%
  • Bottom 10% Move (10th percentile): -18.2%
  • Max Historical Gain (14d): +271.1%
  • Max Historical Loss (14d): -40.3%