Finance

PETS Move Probability $1.20 -0.01 (-0.8%)

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)
58.1%
Stock touched +5.0% ($1.25) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
26.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.19x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±41.9%
$0.69 — $1.70

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%.

-28.0% to +32.6%: 460 occurrences (90.6%) 2.3% +32.6% to +93.1%: 12 occurrences (2.4%) +93.1% to +153.7%: 22 occurrences (4.3%) +153.7% to +214.3%: 0 occurrences (0.0%) 184.0% +214.3% to +274.9%: 0 occurrences (0.0%) +274.9% to +335.5%: 0 occurrences (0.0%) +335.5% to +396.0%: 0 occurrences (0.0%) 365.7% +396.0% to +456.6%: 0 occurrences (0.0%) +456.6% to +517.2%: 0 occurrences (0.0%) +517.2% to +577.8%: 0 occurrences (0.0%) 547.5% +577.8% to +638.4%: 0 occurrences (0.0%) +638.4% to +698.9%: 0 occurrences (0.0%) +698.9% to +759.5%: 5 occurrences (1.0%) 729.2% +759.5% to +820.1%: 2 occurrences (0.4%) +820.1% to +880.7%: 3 occurrences (0.6%) +880.7% to +941.3%: 4 occurrences (0.8%) 911.0%
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) 58.1% 26.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (15.37) and kurtosis (286.21).
Standard Normal (Black-Scholes / GBM) 90.7% 45.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.8% 19.7% Filters for historical windows that started with volatility similar to current 20-day HV (309 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 177.6%
  • Recent 20-Day HV: 46.0%
  • Parkinson Intraday Volatility: 51.7%
  • Vol Trend: Compressed (-74% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.2%
  • Top 10% Move (90th percentile): +25.2%
  • Bottom 10% Move (10th percentile): -16.7%
  • Max Historical Gain (14d): +941.3%
  • Max Historical Loss (14d): -28.0%