Finance

PDFS Move Probability $44.02 +2.86 (+6.9%)

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)
65.7%
Stock touched +5.0% ($46.22) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
37.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.74x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.3%
$37.72 — $50.32

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%.

-26.5% to -22.1%: 10 occurrences (2.0%) -24.3% -22.1% to -17.8%: 18 occurrences (3.5%) -17.8% to -13.4%: 32 occurrences (6.3%) -13.4% to -9.1%: 41 occurrences (8.1%) -11.3% -9.1% to -4.7%: 57 occurrences (11.2%) -4.7% to -0.4%: 81 occurrences (15.9%) -0.4% to +4.0%: 63 occurrences (12.4%) 1.8% +4.0% to +8.3%: 57 occurrences (11.2%) +8.3% to +12.7%: 56 occurrences (11.0%) +12.7% to +17.0%: 27 occurrences (5.3%) 14.9% +17.0% to +21.4%: 23 occurrences (4.5%) +21.4% to +25.7%: 9 occurrences (1.8%) +25.7% to +30.1%: 13 occurrences (2.6%) 27.9% +30.1% to +34.5%: 12 occurrences (2.4%) +34.5% to +38.8%: 6 occurrences (1.2%) +38.8% to +43.2%: 3 occurrences (0.6%) 41.0%
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) 65.7% 37.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.7% Adjusts normal bell curve for real-world skewness (-0.32) and kurtosis (2.5).
Standard Normal (Black-Scholes / GBM) 73.3% 36.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.8% 42.7% Filters for historical windows that started with volatility similar to current 20-day HV (241 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 60.7%
  • Recent 20-Day HV: 76.0%
  • Parkinson Intraday Volatility: 38.7%
  • Vol Trend: Expanded (+25% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +19.8%
  • Bottom 10% Move (10th percentile): -14.7%
  • Max Historical Gain (14d): +43.2%
  • Max Historical Loss (14d): -26.5%