Finance

PLUS Move Probability $94.14 +0.18 (+0.2%)

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)
47.2%
Stock touched +5.0% ($98.84) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
24.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.97x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.4%
$86.20 — $102.07

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%.

-19.2% to -16.4%: 10 occurrences (2.0%) -17.8% -16.4% to -13.6%: 9 occurrences (1.8%) -13.6% to -10.8%: 15 occurrences (3.0%) -10.8% to -7.9%: 31 occurrences (6.1%) -9.3% -7.9% to -5.1%: 54 occurrences (10.6%) -5.1% to -2.3%: 57 occurrences (11.2%) -2.3% to +0.5%: 95 occurrences (18.7%) -0.9% +0.5% to +3.4%: 89 occurrences (17.5%) +3.4% to +6.2%: 52 occurrences (10.2%) +6.2% to +9.0%: 41 occurrences (8.1%) 7.6% +9.0% to +11.9%: 25 occurrences (4.9%) +11.9% to +14.7%: 12 occurrences (2.4%) +14.7% to +17.5%: 5 occurrences (1.0%) 16.1% +17.5% to +20.3%: 3 occurrences (0.6%) +20.3% to +23.2%: 6 occurrences (1.2%) +23.2% to +26.0%: 4 occurrences (0.8%) 24.6%
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) 47.2% 24.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.5% Adjusts normal bell curve for real-world skewness (-0.73) and kurtosis (13.2).
Standard Normal (Black-Scholes / GBM) 56.3% 28.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 48.4% 25.5% Filters for historical windows that started with volatility similar to current 20-day HV (337 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.8%
  • Recent 20-Day HV: 25.1%
  • Parkinson Intraday Volatility: 23.8%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +9.4%
  • Bottom 10% Move (10th percentile): -8.7%
  • Max Historical Gain (14d): +26.0%
  • Max Historical Loss (14d): -19.2%