Finance

PDYN Move Probability $3.71 +0.12 (+3.3%)

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 PDYN Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
79.5%
Stock touched +5.0% ($3.90) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
36.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.21x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±32.3%
$2.51 — $4.91

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%.

-51.8% to -33.8%: 10 occurrences (2.0%) -42.8% -33.8% to -15.8%: 94 occurrences (18.5%) -15.8% to +2.1%: 198 occurrences (39.0%) +2.1% to +20.1%: 99 occurrences (19.5%) 11.1% +20.1% to +38.1%: 62 occurrences (12.2%) +38.1% to +56.1%: 15 occurrences (3.0%) +56.1% to +74.0%: 3 occurrences (0.6%) 65.0% +74.0% to +92.0%: 2 occurrences (0.4%) +92.0% to +110.0%: 3 occurrences (0.6%) +110.0% to +127.9%: 4 occurrences (0.8%) 119.0% +127.9% to +145.9%: 6 occurrences (1.2%) +145.9% to +163.9%: 5 occurrences (1.0%) +163.9% to +181.9%: 1 occurrences (0.2%) 172.9% +181.9% to +199.8%: 2 occurrences (0.4%) +199.8% to +217.8%: 2 occurrences (0.4%) +217.8% to +235.8%: 2 occurrences (0.4%) 226.8%
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) 79.5% 36.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.6% Adjusts normal bell curve for real-world skewness (2.95) and kurtosis (21.66).
Standard Normal (Black-Scholes / GBM) 88.0% 44.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.4% 40.6% Filters for historical windows that started with volatility similar to current 20-day HV (143 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 136.9%
  • Recent 20-Day HV: 55.5%
  • Parkinson Intraday Volatility: 110.0%
  • Vol Trend: Compressed (-59% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.9%
  • Top 10% Move (90th percentile): +34.1%
  • Bottom 10% Move (10th percentile): -24.6%
  • Max Historical Gain (14d): +235.8%
  • Max Historical Loss (14d): -51.8%