Finance

PEVM Move Probability $0.00 +0.00 (+0.0%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
62.2%
Stock touched +5.0% ($0.00) at least once during 14 trading days.
Median first touch: Day 1 of 14
Expiration Close Probability
30.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.02x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±90.0%
$0.00 — $0.00

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-97.4% to -81.5%: 28 occurrences (5.7%) -89.4% -81.5% to -65.6%: 10 occurrences (2.1%) -65.6% to -49.6%: 31 occurrences (6.4%) -49.6% to -33.7%: 44 occurrences (9.0%) -41.7% -33.7% to -17.8%: 77 occurrences (15.8%) -17.8% to -1.9%: 100 occurrences (20.5%) -1.9% to +14.0%: 83 occurrences (17.0%) 6.0% +14.0% to +29.9%: 49 occurrences (10.1%) +29.9% to +45.8%: 26 occurrences (5.3%) +45.8% to +61.7%: 9 occurrences (1.8%) 53.7% +61.7% to +77.6%: 8 occurrences (1.6%) +77.6% to +93.5%: 5 occurrences (1.0%) +93.5% to +109.4%: 8 occurrences (1.6%) 101.5% +109.4% to +125.3%: 6 occurrences (1.2%) +125.3% to +141.2%: 1 occurrences (0.2%) +141.2% to +157.1%: 2 occurrences (0.4%) 149.2%
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) 62.2% 30.8% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 91.5% Adjusts normal bell curve for real-world skewness (-9.52) and kurtosis (123.31).
Standard Normal (Black-Scholes / GBM) 95.7% 47.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.0% 24.0% Filters for historical windows that started with volatility similar to current 20-day HV (25 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 382.0%
  • Recent 20-Day HV: 1063.4%
  • Parkinson Intraday Volatility: 308.5%
  • Vol Trend: Expanded (+178% vs baseline)

14-Day Return Quantiles

  • Median Return: -8.8%
  • Top 10% Move (90th percentile): +38.9%
  • Bottom 10% Move (10th percentile): -58.7%
  • Max Historical Gain (14d): +157.1%
  • Max Historical Loss (14d): -97.4%