Finance

PGNT Move Probability $4.40 -0.06 (-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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
34.9%
Stock touched +5.0% ($4.62) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
19.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.8%
$3.88 — $4.92

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%.

-42.2% to -36.4%: 10 occurrences (2.1%) -39.3% -36.4% to -30.6%: 2 occurrences (0.4%) -30.6% to -24.7%: 4 occurrences (0.8%) -24.7% to -18.9%: 3 occurrences (0.6%) -21.8% -18.9% to -13.1%: 11 occurrences (2.3%) -13.1% to -7.3%: 29 occurrences (6.0%) -7.3% to -1.5%: 138 occurrences (28.3%) -4.4% -1.5% to +4.4%: 185 occurrences (38.0%) +4.4% to +10.2%: 44 occurrences (9.0%) +10.2% to +16.0%: 36 occurrences (7.4%) 13.1% +16.0% to +21.8%: 13 occurrences (2.7%) +21.8% to +27.6%: 5 occurrences (1.0%) +27.6% to +33.5%: 0 occurrences (0.0%) 30.5% +33.5% to +39.3%: 4 occurrences (0.8%) +39.3% to +45.1%: 1 occurrences (0.2%) +45.1% to +50.9%: 2 occurrences (0.4%) 48.0%
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) 34.9% 19.9% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.7% Adjusts normal bell curve for real-world skewness (-1.2) and kurtosis (11.17).
Standard Normal (Black-Scholes / GBM) 67.9% 34.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 36.1% 16.7% Filters for historical windows that started with volatility similar to current 20-day HV (36 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.1%
  • Recent 20-Day HV: 12.6%
  • Parkinson Intraday Volatility: 46.1%
  • Vol Trend: Compressed (-75% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +10.6%
  • Bottom 10% Move (10th percentile): -8.2%
  • Max Historical Gain (14d): +50.9%
  • Max Historical Loss (14d): -42.2%