Finance

PENN Move Probability $14.89 -0.08 (-0.5%)

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)
61.8%
Stock touched +5.0% ($15.63) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
29.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.11x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.8%
$13.13 — $16.65

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%.

-25.5% to -21.9%: 3 occurrences (0.6%) -23.7% -21.9% to -18.2%: 9 occurrences (1.8%) -18.2% to -14.6%: 31 occurrences (6.1%) -14.6% to -11.0%: 28 occurrences (5.5%) -12.8% -11.0% to -7.3%: 49 occurrences (9.6%) -7.3% to -3.7%: 68 occurrences (13.4%) -3.7% to -0.1%: 80 occurrences (15.7%) -1.9% -0.1% to +3.6%: 73 occurrences (14.4%) +3.6% to +7.2%: 46 occurrences (9.1%) +7.2% to +10.9%: 47 occurrences (9.3%) 9.0% +10.9% to +14.5%: 36 occurrences (7.1%) +14.5% to +18.1%: 20 occurrences (3.9%) +18.1% to +21.8%: 6 occurrences (1.2%) 19.9% +21.8% to +25.4%: 5 occurrences (1.0%) +25.4% to +29.0%: 6 occurrences (1.2%) +29.0% to +32.7%: 1 occurrences (0.2%) 30.9%
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) 61.8% 29.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.8% Adjusts normal bell curve for real-world skewness (0.67) and kurtosis (4.11).
Standard Normal (Black-Scholes / GBM) 68.0% 34.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.9% 27.4% Filters for historical windows that started with volatility similar to current 20-day HV (350 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.2%
  • Recent 20-Day HV: 41.1%
  • Parkinson Intraday Volatility: 41.9%
  • Vol Trend: Compressed (-18% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +12.9%
  • Bottom 10% Move (10th percentile): -13.0%
  • Max Historical Gain (14d): +32.7%
  • Max Historical Loss (14d): -25.5%