Finance

PERI Move Probability $8.73 -0.17 (-2.0%)

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)
55.1%
Stock touched +5.0% ($9.17) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
27.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.4%
$7.91 — $9.55

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%.

-29.1% to -25.1%: 2 occurrences (0.4%) -27.1% -25.1% to -21.0%: 6 occurrences (1.2%) -21.0% to -16.9%: 10 occurrences (2.0%) -16.9% to -12.8%: 15 occurrences (3.0%) -14.9% -12.8% to -8.7%: 27 occurrences (5.3%) -8.7% to -4.7%: 61 occurrences (12.0%) -4.7% to -0.6%: 98 occurrences (19.3%) -2.6% -0.6% to +3.5%: 113 occurrences (22.2%) +3.5% to +7.6%: 82 occurrences (16.1%) +7.6% to +11.7%: 44 occurrences (8.7%) 9.6% +11.7% to +15.8%: 27 occurrences (5.3%) +15.8% to +19.8%: 13 occurrences (2.6%) +19.8% to +23.9%: 6 occurrences (1.2%) 21.9% +23.9% to +28.0%: 3 occurrences (0.6%) +28.0% to +32.1%: 0 occurrences (0.0%) +32.1% to +36.2%: 1 occurrences (0.2%) 34.1%
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) 55.1% 27.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.1% Adjusts normal bell curve for real-world skewness (-0.49) and kurtosis (7.86).
Standard Normal (Black-Scholes / GBM) 60.3% 30.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.4% 25.5% Filters for historical windows that started with volatility similar to current 20-day HV (353 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 39.8%
  • Recent 20-Day HV: 31.2%
  • Parkinson Intraday Volatility: 30.6%
  • Vol Trend: Compressed (-22% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +11.6%
  • Bottom 10% Move (10th percentile): -9.8%
  • Max Historical Gain (14d): +36.2%
  • Max Historical Loss (14d): -29.1%