Finance

PGEN Move Probability $6.60 -0.24 (-3.4%)

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)
84.4%
Stock touched +5.0% ($6.93) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
43.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.9%
$5.22 — $7.98

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%.

-35.4% to -22.8%: 18 occurrences (3.5%) -29.1% -22.8% to -10.2%: 77 occurrences (15.2%) -10.2% to +2.4%: 162 occurrences (31.9%) +2.4% to +15.0%: 114 occurrences (22.4%) 8.7% +15.0% to +27.6%: 64 occurrences (12.6%) +27.6% to +40.2%: 27 occurrences (5.3%) +40.2% to +52.8%: 20 occurrences (3.9%) 46.5% +52.8% to +65.5%: 7 occurrences (1.4%) +65.5% to +78.1%: 3 occurrences (0.6%) +78.1% to +90.7%: 5 occurrences (1.0%) 84.4% +90.7% to +103.3%: 1 occurrences (0.2%) +103.3% to +115.9%: 1 occurrences (0.2%) +115.9% to +128.5%: 1 occurrences (0.2%) 122.2% +128.5% to +141.1%: 2 occurrences (0.4%) +141.1% to +153.7%: 3 occurrences (0.6%) +153.7% to +166.3%: 3 occurrences (0.6%) 160.0%
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) 84.4% 43.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.6% Adjusts normal bell curve for real-world skewness (1.58) and kurtosis (9.91).
Standard Normal (Black-Scholes / GBM) 81.5% 40.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 85.2% 43.5% Filters for historical windows that started with volatility similar to current 20-day HV (345 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 88.7%
  • Recent 20-Day HV: 72.4%
  • Parkinson Intraday Volatility: 74.7%
  • Vol Trend: Compressed (-18% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.3%
  • Top 10% Move (90th percentile): +34.8%
  • Bottom 10% Move (10th percentile): -15.7%
  • Max Historical Gain (14d): +166.3%
  • Max Historical Loss (14d): -35.4%