Finance

PMTS Move Probability $27.61 +0.62 (+2.3%)

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)
58.5%
Stock touched +5.0% ($28.99) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
34.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.0%
$23.19 — $32.02

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 -31.0%: 2 occurrences (0.4%) -33.9% -31.0% to -25.3%: 3 occurrences (0.6%) -25.3% to -19.5%: 24 occurrences (4.7%) -19.5% to -13.7%: 49 occurrences (9.6%) -16.6% -13.7% to -8.0%: 69 occurrences (13.6%) -8.0% to -2.2%: 92 occurrences (18.1%) -2.2% to +3.6%: 73 occurrences (14.4%) 0.7% +3.6% to +9.3%: 67 occurrences (13.2%) +9.3% to +15.1%: 46 occurrences (9.1%) +15.1% to +20.9%: 34 occurrences (6.7%) 18.0% +20.9% to +26.7%: 18 occurrences (3.5%) +26.7% to +32.4%: 10 occurrences (2.0%) +32.4% to +38.2%: 10 occurrences (2.0%) 35.3% +38.2% to +44.0%: 3 occurrences (0.6%) +44.0% to +49.7%: 3 occurrences (0.6%) +49.7% to +55.5%: 5 occurrences (1.0%) 52.6%
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) 58.5% 34.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.9% Adjusts normal bell curve for real-world skewness (-0.39) and kurtosis (16.45).
Standard Normal (Black-Scholes / GBM) 76.0% 38.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.1% 13.5% Filters for historical windows that started with volatility similar to current 20-day HV (74 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 67.9%
  • Recent 20-Day HV: 29.2%
  • Parkinson Intraday Volatility: 28.8%
  • Vol Trend: Compressed (-57% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +19.8%
  • Bottom 10% Move (10th percentile): -16.2%
  • Max Historical Gain (14d): +55.5%
  • Max Historical Loss (14d): -36.8%