Finance

OPEN Move Probability $1.95 -0.10 (-5.1%)

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)
74.4%
Stock touched +5.0% ($2.04) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
27.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.76x
You are 2.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±27.6%
$1.41 — $2.48

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%.

-39.6% to -5.8%: 271 occurrences (53.3%) -22.7% -5.8% to +28.1%: 179 occurrences (35.2%) +28.1% to +61.9%: 17 occurrences (3.3%) +61.9% to +95.7%: 15 occurrences (3.0%) 78.8% +95.7% to +129.6%: 8 occurrences (1.6%) +129.6% to +163.4%: 7 occurrences (1.4%) +163.4% to +197.2%: 3 occurrences (0.6%) 180.3% +197.2% to +231.1%: 2 occurrences (0.4%) +231.1% to +264.9%: 0 occurrences (0.0%) +264.9% to +298.7%: 2 occurrences (0.4%) 281.8% +298.7% to +332.6%: 2 occurrences (0.4%) +332.6% to +366.4%: 0 occurrences (0.0%) +366.4% to +400.3%: 0 occurrences (0.0%) 383.3% +400.3% to +434.1%: 1 occurrences (0.2%) +434.1% to +467.9%: 0 occurrences (0.0%) +467.9% to +501.8%: 1 occurrences (0.2%) 484.8%
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) 74.4% 27.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.4% Adjusts normal bell curve for real-world skewness (1.6) and kurtosis (10.37).
Standard Normal (Black-Scholes / GBM) 86.0% 43.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.7% 25.5% Filters for historical windows that started with volatility similar to current 20-day HV (357 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 117.1%
  • Recent 20-Day HV: 77.4%
  • Parkinson Intraday Volatility: 97.2%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: -6.8%
  • Top 10% Move (90th percentile): +34.2%
  • Bottom 10% Move (10th percentile): -21.7%
  • Max Historical Gain (14d): +501.8%
  • Max Historical Loss (14d): -39.6%