Finance

PCT Move Probability $2.76 -0.16 (-5.5%)

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)
68.9%
Stock touched +5.0% ($2.90) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
37.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.0%
$2.24 — $3.28

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%.

-43.3% to -35.5%: 11 occurrences (2.2%) -39.4% -35.5% to -27.8%: 36 occurrences (7.1%) -27.8% to -20.0%: 46 occurrences (9.1%) -20.0% to -12.3%: 70 occurrences (13.8%) -16.1% -12.3% to -4.5%: 88 occurrences (17.3%) -4.5% to +3.3%: 58 occurrences (11.4%) +3.3% to +11.0%: 52 occurrences (10.2%) 7.1% +11.0% to +18.8%: 44 occurrences (8.7%) +18.8% to +26.5%: 36 occurrences (7.1%) +26.5% to +34.3%: 28 occurrences (5.5%) 30.4% +34.3% to +42.0%: 20 occurrences (3.9%) +42.0% to +49.8%: 6 occurrences (1.2%) +49.8% to +57.6%: 5 occurrences (1.0%) 53.7% +57.6% to +65.3%: 4 occurrences (0.8%) +65.3% to +73.1%: 2 occurrences (0.4%) +73.1% to +80.8%: 2 occurrences (0.4%) 76.9%
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) 68.9% 37.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.7% Adjusts normal bell curve for real-world skewness (0.45) and kurtosis (3.18).
Standard Normal (Black-Scholes / GBM) 79.7% 39.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.5% 25.0% Filters for historical windows that started with volatility similar to current 20-day HV (224 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 80.5%
  • Recent 20-Day HV: 57.7%
  • Parkinson Intraday Volatility: 68.6%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.9%
  • Top 10% Move (90th percentile): +30.7%
  • Bottom 10% Move (10th percentile): -27.0%
  • Max Historical Gain (14d): +80.8%
  • Max Historical Loss (14d): -43.3%