Finance

PRAA Move Probability $19.97 -0.59 (-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.

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Touch Probability (First Passage)
63.1%
Stock touched +5.0% ($20.97) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
34.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.82x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.6%
$17.25 — $22.69

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-34.6% to -27.6%: 22 occurrences (4.3%) -31.1% -27.6% to -20.7%: 8 occurrences (1.6%) -20.7% to -13.8%: 40 occurrences (7.9%) -13.8% to -6.8%: 57 occurrences (11.2%) -10.3% -6.8% to +0.1%: 99 occurrences (19.4%) +0.1% to +7.0%: 143 occurrences (28.1%) +7.0% to +14.0%: 79 occurrences (15.5%) 10.5% +14.0% to +20.9%: 32 occurrences (6.3%) +20.9% to +27.8%: 14 occurrences (2.8%) +27.8% to +34.7%: 1 occurrences (0.2%) 31.3% +34.7% to +41.7%: 2 occurrences (0.4%) +41.7% to +48.6%: 0 occurrences (0.0%) +48.6% to +55.5%: 4 occurrences (0.8%) 52.1% +55.5% to +62.5%: 5 occurrences (1.0%) +62.5% to +69.4%: 2 occurrences (0.4%) +69.4% to +76.3%: 1 occurrences (0.2%) 72.9%
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) 63.1% 34.6% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.2% Adjusts normal bell curve for real-world skewness (-1.48) and kurtosis (19.36).
Standard Normal (Black-Scholes / GBM) 72.0% 36.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.3% 31.0% Filters for historical windows that started with volatility similar to current 20-day HV (287 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 57.7%
  • Recent 20-Day HV: 37.0%
  • Parkinson Intraday Volatility: 38.8%
  • Vol Trend: Compressed (-36% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.6%
  • Top 10% Move (90th percentile): +16.0%
  • Bottom 10% Move (10th percentile): -17.3%
  • Max Historical Gain (14d): +76.3%
  • Max Historical Loss (14d): -34.6%