Finance

PHAT Move Probability $5.72 -1.29 (-18.3%)

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)
76.4%
Stock touched +5.0% ($6.01) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
31.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.46x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.0%
$4.41 — $7.03

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-24 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-51.6% to -38.0%: 20 occurrences (3.9%) -44.8% -38.0% to -24.4%: 16 occurrences (3.1%) -24.4% to -10.8%: 135 occurrences (26.5%) -10.8% to +2.8%: 160 occurrences (31.4%) -4.0% +2.8% to +16.3%: 109 occurrences (21.4%) +16.3% to +29.9%: 35 occurrences (6.9%) +29.9% to +43.5%: 10 occurrences (2.0%) 36.7% +43.5% to +57.1%: 7 occurrences (1.4%) +57.1% to +70.7%: 1 occurrences (0.2%) +70.7% to +84.3%: 1 occurrences (0.2%) 77.5% +84.3% to +97.9%: 2 occurrences (0.4%) +97.9% to +111.5%: 5 occurrences (1.0%) +111.5% to +125.1%: 1 occurrences (0.2%) 118.3% +125.1% to +138.7%: 2 occurrences (0.4%) +138.7% to +152.2%: 1 occurrences (0.2%) +152.2% to +165.8%: 4 occurrences (0.8%) 159.0%
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) 76.4% 31.0% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.4% Adjusts normal bell curve for real-world skewness (1.56) and kurtosis (25.74).
Standard Normal (Black-Scholes / GBM) 83.2% 41.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.4% 30.1% Filters for historical windows that started with volatility similar to current 20-day HV (289 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 97.4%
  • Recent 20-Day HV: 86.9%
  • Parkinson Intraday Volatility: 85.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -3.4%
  • Top 10% Move (90th percentile): +19.9%
  • Bottom 10% Move (10th percentile): -20.9%
  • Max Historical Gain (14d): +165.8%
  • Max Historical Loss (14d): -51.6%