Finance

PEP Move Probability $134.69 +0.68 (+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)
28.3%
Stock touched +5.0% ($141.42) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
12.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.32x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.1%
$127.85 — $141.53

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%.

-10.6% to -8.9%: 5 occurrences (1.0%) -9.8% -8.9% to -7.2%: 23 occurrences (4.5%) -7.2% to -5.4%: 43 occurrences (8.5%) -5.4% to -3.7%: 70 occurrences (13.8%) -4.6% -3.7% to -2.0%: 68 occurrences (13.4%) -2.0% to -0.2%: 79 occurrences (15.6%) -0.2% to +1.5%: 60 occurrences (11.8%) 0.6% +1.5% to +3.3%: 66 occurrences (13.0%) +3.3% to +5.0%: 32 occurrences (6.3%) +5.0% to +6.7%: 18 occurrences (3.5%) 5.9% +6.7% to +8.5%: 19 occurrences (3.7%) +8.5% to +10.2%: 13 occurrences (2.6%) +10.2% to +11.9%: 2 occurrences (0.4%) 11.1% +11.9% to +13.7%: 3 occurrences (0.6%) +13.7% to +15.4%: 4 occurrences (0.8%) +15.4% to +17.2%: 3 occurrences (0.6%) 16.3%
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) 28.3% 12.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.5% Adjusts normal bell curve for real-world skewness (0.27) and kurtosis (2.31).
Standard Normal (Black-Scholes / GBM) 33.7% 16.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 29.4% 12.9% Filters for historical windows that started with volatility similar to current 20-day HV (419 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.6%
  • Recent 20-Day HV: 22.7%
  • Parkinson Intraday Volatility: 17.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.9%
  • Top 10% Move (90th percentile): +6.3%
  • Bottom 10% Move (10th percentile): -6.2%
  • Max Historical Gain (14d): +17.2%
  • Max Historical Loss (14d): -10.6%