Finance

PG Move Probability $156.84 -2.55 (-1.6%)

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)
24.4%
Stock touched +5.0% ($164.68) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
12.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.03x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.5%
$149.78 — $163.90

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%.

-13.4% to -11.8%: 1 occurrences (0.2%) -12.6% -11.8% to -10.3%: 2 occurrences (0.4%) -10.3% to -8.8%: 3 occurrences (0.6%) -8.8% to -7.2%: 5 occurrences (1.0%) -8.0% -7.2% to -5.7%: 18 occurrences (3.5%) -5.7% to -4.1%: 45 occurrences (8.9%) -4.1% to -2.6%: 54 occurrences (10.6%) -3.3% -2.6% to -1.0%: 96 occurrences (18.9%) -1.0% to +0.5%: 85 occurrences (16.7%) +0.5% to +2.1%: 67 occurrences (13.2%) 1.3% +2.1% to +3.6%: 45 occurrences (8.9%) +3.6% to +5.2%: 31 occurrences (6.1%) +5.2% to +6.7%: 24 occurrences (4.7%) 5.9% +6.7% to +8.3%: 24 occurrences (4.7%) +8.3% to +9.8%: 5 occurrences (1.0%) +9.8% to +11.4%: 3 occurrences (0.6%) 10.6%
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) 24.4% 12.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.1% Adjusts normal bell curve for real-world skewness (-0.27) and kurtosis (1.03).
Standard Normal (Black-Scholes / GBM) 27.9% 13.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 26.5% 13.1% Filters for historical windows that started with volatility similar to current 20-day HV (449 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 19.1%
  • Recent 20-Day HV: 19.9%
  • Parkinson Intraday Volatility: 15.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +5.3%
  • Bottom 10% Move (10th percentile): -4.6%
  • Max Historical Gain (14d): +11.4%
  • Max Historical Loss (14d): -13.4%