Finance

PMVP Move Probability $1.36 -0.04 (-2.9%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to PMVP Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
68.5%
Stock touched +5.0% ($1.43) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
31.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.15x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.2%
$1.15 — $1.57

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%.

-30.9% to -25.0%: 3 occurrences (0.6%) -28.0% -25.0% to -19.1%: 16 occurrences (3.1%) -19.1% to -13.2%: 34 occurrences (6.7%) -13.2% to -7.3%: 94 occurrences (18.5%) -10.3% -7.3% to -1.4%: 104 occurrences (20.5%) -1.4% to +4.5%: 87 occurrences (17.1%) +4.5% to +10.4%: 67 occurrences (13.2%) 7.4% +10.4% to +16.3%: 48 occurrences (9.4%) +16.3% to +22.2%: 21 occurrences (4.1%) +22.2% to +28.1%: 16 occurrences (3.1%) 25.1% +28.1% to +34.0%: 4 occurrences (0.8%) +34.0% to +39.9%: 3 occurrences (0.6%) +39.9% to +45.8%: 2 occurrences (0.4%) 42.8% +45.8% to +51.7%: 5 occurrences (1.0%) +51.7% to +57.6%: 2 occurrences (0.4%) +57.6% to +63.5%: 2 occurrences (0.4%) 60.5%
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) 68.5% 31.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.2% Adjusts normal bell curve for real-world skewness (0.39) and kurtosis (4.46).
Standard Normal (Black-Scholes / GBM) 74.8% 37.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.2% 38.8% Filters for historical windows that started with volatility similar to current 20-day HV (147 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 64.4%
  • Recent 20-Day HV: 99.2%
  • Parkinson Intraday Volatility: 51.9%
  • Vol Trend: Expanded (+54% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.3%
  • Top 10% Move (90th percentile): +16.8%
  • Bottom 10% Move (10th percentile): -13.5%
  • Max Historical Gain (14d): +63.5%
  • Max Historical Loss (14d): -30.9%