Finance

PEPG Move Probability $2.73 -0.15 (-5.0%)

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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Touch Probability (First Passage)
71.7%
Stock touched +5.0% ($2.87) 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
1.94x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±33.6%
$1.81 — $3.65

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%.

-72.2% to -47.8%: 26 occurrences (5.1%) -60.0% -47.8% to -23.3%: 74 occurrences (14.6%) -23.3% to +1.2%: 186 occurrences (36.6%) +1.2% to +25.6%: 132 occurrences (26.0%) 13.4% +25.6% to +50.1%: 48 occurrences (9.4%) +50.1% to +74.5%: 19 occurrences (3.7%) +74.5% to +99.0%: 5 occurrences (1.0%) 86.7% +99.0% to +123.4%: 5 occurrences (1.0%) +123.4% to +147.9%: 2 occurrences (0.4%) +147.9% to +172.3%: 4 occurrences (0.8%) 160.1% +172.3% to +196.8%: 0 occurrences (0.0%) +196.8% to +221.2%: 1 occurrences (0.2%) +221.2% to +245.7%: 4 occurrences (0.8%) 233.5% +245.7% to +270.2%: 1 occurrences (0.2%) +270.2% to +294.6%: 0 occurrences (0.0%) +294.6% to +319.1%: 1 occurrences (0.2%) 306.8%
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) 71.7% 37.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.8% Adjusts normal bell curve for real-world skewness (0.19) and kurtosis (31.62).
Standard Normal (Black-Scholes / GBM) 88.5% 44.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.0% 46.3% Filters for historical windows that started with volatility similar to current 20-day HV (307 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 142.6%
  • Recent 20-Day HV: 88.9%
  • Parkinson Intraday Volatility: 93.7%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.9%
  • Top 10% Move (90th percentile): +39.5%
  • Bottom 10% Move (10th percentile): -37.1%
  • Max Historical Gain (14d): +319.1%
  • Max Historical Loss (14d): -72.2%