Finance

PAX Move Probability $11.92 -0.12 (-1.0%)

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)
54.5%
Stock touched +5.0% ($12.52) at least once during 14 trading days.
Median first touch: Day 6 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
2.02x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.3%
$11.05 — $12.79

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%.

-21.1% to -18.3%: 5 occurrences (1.0%) -19.7% -18.3% to -15.4%: 8 occurrences (1.6%) -15.4% to -12.6%: 24 occurrences (4.7%) -12.6% to -9.8%: 29 occurrences (5.7%) -11.2% -9.8% to -6.9%: 23 occurrences (4.5%) -6.9% to -4.1%: 36 occurrences (7.1%) -4.1% to -1.3%: 56 occurrences (11.0%) -2.7% -1.3% to +1.6%: 80 occurrences (15.7%) +1.6% to +4.4%: 97 occurrences (19.1%) +4.4% to +7.2%: 62 occurrences (12.2%) 5.8% +7.2% to +10.1%: 37 occurrences (7.3%) +10.1% to +12.9%: 23 occurrences (4.5%) +12.9% to +15.7%: 11 occurrences (2.2%) 14.3% +15.7% to +18.6%: 3 occurrences (0.6%) +18.6% to +21.4%: 5 occurrences (1.0%) +21.4% to +24.3%: 9 occurrences (1.8%) 22.8%
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) 54.5% 27.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.4% Adjusts normal bell curve for real-world skewness (-0.08) and kurtosis (1.79).
Standard Normal (Black-Scholes / GBM) 50.2% 25.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.8% 24.0% Filters for historical windows that started with volatility similar to current 20-day HV (338 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.8%
  • Recent 20-Day HV: 37.0%
  • Parkinson Intraday Volatility: 25.9%
  • Vol Trend: Expanded (+20% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.4%
  • Top 10% Move (90th percentile): +9.9%
  • Bottom 10% Move (10th percentile): -11.2%
  • Max Historical Gain (14d): +24.3%
  • Max Historical Loss (14d): -21.1%