Finance

PMN Move Probability $8.28 +0.07 (+0.9%)

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)
60.2%
Stock touched +5.0% ($8.69) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
26.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.31x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±26.4%
$6.09 — $10.47

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-51.8% to -39.7%: 5 occurrences (1.0%) -45.7% -39.7% to -27.7%: 30 occurrences (5.9%) -27.7% to -15.7%: 94 occurrences (18.5%) -15.7% to -3.7%: 143 occurrences (28.2%) -9.7% -3.7% to +8.3%: 127 occurrences (25.0%) +8.3% to +20.3%: 40 occurrences (7.9%) +20.3% to +32.3%: 21 occurrences (4.1%) 26.3% +32.3% to +44.3%: 12 occurrences (2.4%) +44.3% to +56.4%: 10 occurrences (2.0%) +56.4% to +68.4%: 9 occurrences (1.8%) 62.4% +68.4% to +80.4%: 5 occurrences (1.0%) +80.4% to +92.4%: 4 occurrences (0.8%) +92.4% to +104.4%: 1 occurrences (0.2%) 98.4% +104.4% to +116.4%: 3 occurrences (0.6%) +116.4% to +128.4%: 0 occurrences (0.0%) +128.4% to +140.4%: 3 occurrences (0.6%) 134.4%
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) 60.2% 26.0% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.7% Adjusts normal bell curve for real-world skewness (4.12) and kurtosis (55.19).
Standard Normal (Black-Scholes / GBM) 85.4% 42.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.1% 21.8% Filters for historical windows that started with volatility similar to current 20-day HV (238 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 112.2%
  • Recent 20-Day HV: 62.4%
  • Parkinson Intraday Volatility: 70.5%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: -5.0%
  • Top 10% Move (90th percentile): +28.9%
  • Bottom 10% Move (10th percentile): -24.7%
  • Max Historical Gain (14d): +140.4%
  • Max Historical Loss (14d): -51.8%