Finance

PPTA Move Probability $19.54 +2.79 (+16.6%)

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)
76.5%
Stock touched +5.0% ($20.51) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
40.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.8%
$15.86 — $23.21

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-10-10 to 2026-11-06). The colored bar indicates the win zone for +5.0%.

-34.4% to -28.4%: 11 occurrences (2.2%) -31.4% -28.4% to -22.5%: 15 occurrences (3.0%) -22.5% to -16.6%: 36 occurrences (7.1%) -16.6% to -10.6%: 57 occurrences (11.2%) -13.6% -10.6% to -4.7%: 85 occurrences (16.8%) -4.7% to +1.2%: 66 occurrences (13.0%) +1.2% to +7.1%: 45 occurrences (8.9%) 4.2% +7.1% to +13.1%: 55 occurrences (10.8%) +13.1% to +19.0%: 34 occurrences (6.7%) +19.0% to +24.9%: 35 occurrences (6.9%) 22.0% +24.9% to +30.9%: 15 occurrences (3.0%) +30.9% to +36.8%: 25 occurrences (4.9%) +36.8% to +42.7%: 16 occurrences (3.2%) 39.8% +42.7% to +48.7%: 9 occurrences (1.8%) +48.7% to +54.6%: 2 occurrences (0.4%) +54.6% to +60.5%: 1 occurrences (0.2%) 57.6%
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) 76.5% 40.4% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 39.1% Adjusts normal bell curve for real-world skewness (-0.6) and kurtosis (3.87).
Standard Normal (Black-Scholes / GBM) 79.5% 39.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 79.4% 44.2% Filters for historical windows that started with volatility similar to current 20-day HV (344 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 79.8%
  • Recent 20-Day HV: 98.0%
  • Parkinson Intraday Volatility: 58.6%
  • Vol Trend: Expanded (+23% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +30.9%
  • Bottom 10% Move (10th percentile): -18.2%
  • Max Historical Gain (14d): +60.5%
  • Max Historical Loss (14d): -34.4%