Finance

PBT Move Probability $33.43 -0.50 (-1.5%)

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)
69.1%
Stock touched +5.0% ($35.10) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
41.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.7%
$30.18 — $36.68

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%.

-19.8% to -16.2%: 4 occurrences (0.8%) -18.0% -16.2% to -12.6%: 14 occurrences (2.8%) -12.6% to -9.0%: 28 occurrences (5.5%) -9.0% to -5.4%: 46 occurrences (9.1%) -7.2% -5.4% to -1.8%: 53 occurrences (10.4%) -1.8% to +1.8%: 72 occurrences (14.2%) +1.8% to +5.4%: 95 occurrences (18.7%) 3.6% +5.4% to +9.0%: 76 occurrences (15.0%) +9.0% to +12.7%: 49 occurrences (9.6%) +12.7% to +16.3%: 26 occurrences (5.1%) 14.5% +16.3% to +19.9%: 18 occurrences (3.5%) +19.9% to +23.5%: 11 occurrences (2.2%) +23.5% to +27.1%: 2 occurrences (0.4%) 25.3% +27.1% to +30.7%: 7 occurrences (1.4%) +30.7% to +34.3%: 4 occurrences (0.8%) +34.3% to +37.9%: 3 occurrences (0.6%) 36.1%
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) 69.1% 41.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.9% Adjusts normal bell curve for real-world skewness (0.02) and kurtosis (1.41).
Standard Normal (Black-Scholes / GBM) 61.5% 30.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.4% 48.4% Filters for historical windows that started with volatility similar to current 20-day HV (283 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.2%
  • Recent 20-Day HV: 32.8%
  • Parkinson Intraday Volatility: 25.7%
  • Vol Trend: Compressed (-20% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.6%
  • Top 10% Move (90th percentile): +14.7%
  • Bottom 10% Move (10th percentile): -8.1%
  • Max Historical Gain (14d): +37.9%
  • Max Historical Loss (14d): -19.8%