Finance

PIII Move Probability $4.34 +0.44 (+11.3%)

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)
53.7%
Stock touched +5.0% ($4.56) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
29.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±32.7%
$2.92 — $5.76

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%.

-47.8% to -16.7%: 121 occurrences (23.8%) -32.2% -16.7% to +14.4%: 284 occurrences (55.9%) +14.4% to +45.5%: 71 occurrences (14.0%) +45.5% to +76.6%: 6 occurrences (1.2%) 61.1% +76.6% to +107.7%: 4 occurrences (0.8%) +107.7% to +138.8%: 7 occurrences (1.4%) +138.8% to +170.0%: 1 occurrences (0.2%) 154.4% +170.0% to +201.1%: 2 occurrences (0.4%) +201.1% to +232.2%: 2 occurrences (0.4%) +232.2% to +263.3%: 2 occurrences (0.4%) 247.7% +263.3% to +294.4%: 1 occurrences (0.2%) +294.4% to +325.5%: 2 occurrences (0.4%) +325.5% to +356.6%: 1 occurrences (0.2%) 341.0% +356.6% to +387.7%: 2 occurrences (0.4%) +387.7% to +418.8%: 1 occurrences (0.2%) +418.8% to +449.9%: 1 occurrences (0.2%) 434.4%
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) 53.7% 29.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.9% Adjusts normal bell curve for real-world skewness (5.01) and kurtosis (51.9).
Standard Normal (Black-Scholes / GBM) 88.1% 44.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.8% 26.4% Filters for historical windows that started with volatility similar to current 20-day HV (216 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 138.6%
  • Recent 20-Day HV: 116.7%
  • Parkinson Intraday Volatility: 73.0%
  • Vol Trend: Compressed (-16% vs baseline)

14-Day Return Quantiles

  • Median Return: -5.9%
  • Top 10% Move (90th percentile): +27.3%
  • Bottom 10% Move (10th percentile): -23.5%
  • Max Historical Gain (14d): +449.9%
  • Max Historical Loss (14d): -47.8%