Finance

PFSB Move Probability $22.00 -0.29 (-1.3%)

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)
26.1%
Stock touched +5.0% ($23.10) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
20.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.28x
You are 1.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.9%
$21.14 — $22.86

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-7.9% to -6.6%: 4 occurrences (0.8%) -7.3% -6.6% to -5.3%: 4 occurrences (0.8%) -5.3% to -3.9%: 9 occurrences (1.8%) -3.9% to -2.6%: 24 occurrences (4.9%) -3.3% -2.6% to -1.3%: 31 occurrences (6.4%) -1.3% to +0.1%: 55 occurrences (11.3%) +0.1% to +1.4%: 81 occurrences (16.6%) 0.7% +1.4% to +2.7%: 81 occurrences (16.6%) +2.7% to +4.1%: 68 occurrences (14.0%) +4.1% to +5.4%: 46 occurrences (9.4%) 4.7% +5.4% to +6.7%: 26 occurrences (5.3%) +6.7% to +8.0%: 23 occurrences (4.7%) +8.0% to +9.4%: 15 occurrences (3.1%) 8.7% +9.4% to +10.7%: 8 occurrences (1.6%) +10.7% to +12.0%: 6 occurrences (1.2%) +12.0% to +13.4%: 6 occurrences (1.2%) 12.7%
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) 26.1% 20.3% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.6% Adjusts normal bell curve for real-world skewness (1.55) and kurtosis (9.86).
Standard Normal (Black-Scholes / GBM) 21.3% 10.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 17.8% 14.4% Filters for historical windows that started with volatility similar to current 20-day HV (174 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 16.6%
  • Recent 20-Day HV: 21.3%
  • Parkinson Intraday Volatility: 12.4%
  • Vol Trend: Expanded (+28% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +7.2%
  • Bottom 10% Move (10th percentile): -2.1%
  • Max Historical Gain (14d): +13.4%
  • Max Historical Loss (14d): -7.9%