Finance

PHIO Move Probability $0.92 +0.05 (+5.7%)

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)
65.7%
Stock touched +5.0% ($0.96) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
26.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.47x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±26.3%
$0.68 — $1.16

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%.

-74.1% to -61.7%: 13 occurrences (2.6%) -67.9% -61.7% to -49.3%: 0 occurrences (0.0%) -49.3% to -36.9%: 13 occurrences (2.6%) -36.9% to -24.5%: 41 occurrences (8.1%) -30.7% -24.5% to -12.1%: 83 occurrences (16.3%) -12.1% to +0.3%: 166 occurrences (32.7%) +0.3% to +12.7%: 129 occurrences (25.4%) 6.5% +12.7% to +25.2%: 37 occurrences (7.3%) +25.2% to +37.6%: 8 occurrences (1.6%) +37.6% to +50.0%: 4 occurrences (0.8%) 43.8% +50.0% to +62.4%: 3 occurrences (0.6%) +62.4% to +74.8%: 2 occurrences (0.4%) +74.8% to +87.2%: 2 occurrences (0.4%) 81.0% +87.2% to +99.6%: 3 occurrences (0.6%) +99.6% to +112.0%: 2 occurrences (0.4%) +112.0% to +124.4%: 2 occurrences (0.4%) 118.2%
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) 65.7% 26.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.7% Adjusts normal bell curve for real-world skewness (-1.0) and kurtosis (18.35).
Standard Normal (Black-Scholes / GBM) 85.3% 42.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.4% 14.4% Filters for historical windows that started with volatility similar to current 20-day HV (111 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 111.4%
  • Recent 20-Day HV: 40.0%
  • Parkinson Intraday Volatility: 94.4%
  • Vol Trend: Compressed (-64% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.6%
  • Top 10% Move (90th percentile): +15.0%
  • Bottom 10% Move (10th percentile): -27.3%
  • Max Historical Gain (14d): +124.4%
  • Max Historical Loss (14d): -74.1%