Finance

PLBY Move Probability $1.12 -0.00 (-0.4%)

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)
73.0%
Stock touched +5.0% ($1.18) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
36.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.8%
$0.90 — $1.35

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%.

-36.8% to -29.3%: 11 occurrences (2.2%) -33.0% -29.3% to -21.8%: 22 occurrences (4.3%) -21.8% to -14.3%: 49 occurrences (9.6%) -14.3% to -6.8%: 97 occurrences (19.1%) -10.6% -6.8% to +0.6%: 104 occurrences (20.5%) +0.6% to +8.1%: 73 occurrences (14.4%) +8.1% to +15.6%: 35 occurrences (6.9%) 11.9% +15.6% to +23.1%: 35 occurrences (6.9%) +23.1% to +30.6%: 23 occurrences (4.5%) +30.6% to +38.1%: 26 occurrences (5.1%) 34.3% +38.1% to +45.5%: 15 occurrences (3.0%) +45.5% to +53.0%: 8 occurrences (1.6%) +53.0% to +60.5%: 6 occurrences (1.2%) 56.8% +60.5% to +68.0%: 1 occurrences (0.2%) +68.0% to +75.5%: 2 occurrences (0.4%) +75.5% to +83.0%: 1 occurrences (0.2%) 79.2%
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) 73.0% 36.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.4% Adjusts normal bell curve for real-world skewness (1.47) and kurtosis (8.52).
Standard Normal (Black-Scholes / GBM) 80.6% 40.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.6% 29.6% Filters for historical windows that started with volatility similar to current 20-day HV (125 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 84.1%
  • Recent 20-Day HV: 40.8%
  • Parkinson Intraday Volatility: 70.2%
  • Vol Trend: Compressed (-52% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.5%
  • Top 10% Move (90th percentile): +33.3%
  • Bottom 10% Move (10th percentile): -19.0%
  • Max Historical Gain (14d): +83.0%
  • Max Historical Loss (14d): -36.8%