Finance

PANL Move Probability $7.94 +0.22 (+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.

← Back to PANL Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
55.7%
Stock touched +5.0% ($8.34) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
33.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.65x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.9%
$7.07 — $8.81

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%.

-27.2% to -22.5%: 11 occurrences (2.2%) -24.8% -22.5% to -17.8%: 8 occurrences (1.6%) -17.8% to -13.1%: 17 occurrences (3.3%) -13.1% to -8.4%: 46 occurrences (9.1%) -10.8% -8.4% to -3.7%: 77 occurrences (15.2%) -3.7% to +1.0%: 101 occurrences (19.9%) +1.0% to +5.7%: 90 occurrences (17.7%) 3.3% +5.7% to +10.4%: 86 occurrences (16.9%) +10.4% to +15.1%: 31 occurrences (6.1%) +15.1% to +19.8%: 14 occurrences (2.8%) 17.4% +19.8% to +24.5%: 9 occurrences (1.8%) +24.5% to +29.2%: 4 occurrences (0.8%) +29.2% to +33.8%: 7 occurrences (1.4%) 31.5% +33.8% to +38.5%: 3 occurrences (0.6%) +38.5% to +43.2%: 1 occurrences (0.2%) +43.2% to +47.9%: 3 occurrences (0.6%) 45.6%
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) 55.7% 33.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.4% Adjusts normal bell curve for real-world skewness (0.63) and kurtosis (5.45).
Standard Normal (Black-Scholes / GBM) 65.5% 32.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.9% 34.1% Filters for historical windows that started with volatility similar to current 20-day HV (328 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 46.3%
  • Recent 20-Day HV: 36.1%
  • Parkinson Intraday Volatility: 33.6%
  • Vol Trend: Compressed (-22% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +12.7%
  • Bottom 10% Move (10th percentile): -10.9%
  • Max Historical Gain (14d): +47.9%
  • Max Historical Loss (14d): -27.2%