Finance

PRE Move Probability $16.62 -2.01 (-10.8%)

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)
66.7%
Stock touched +5.0% ($17.45) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
40.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.4%
$13.23 — $20.01

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%.

-32.4% to -22.9%: 16 occurrences (3.1%) -27.6% -22.9% to -13.4%: 43 occurrences (8.5%) -13.4% to -3.9%: 128 occurrences (25.2%) -3.9% to +5.6%: 116 occurrences (22.8%) 0.9% +5.6% to +15.1%: 55 occurrences (10.8%) +15.1% to +24.6%: 68 occurrences (13.4%) +24.6% to +34.1%: 32 occurrences (6.3%) 29.4% +34.1% to +43.6%: 22 occurrences (4.3%) +43.6% to +53.1%: 13 occurrences (2.6%) +53.1% to +62.6%: 5 occurrences (1.0%) 57.9% +62.6% to +72.1%: 2 occurrences (0.4%) +72.1% to +81.6%: 2 occurrences (0.4%) +81.6% to +91.2%: 0 occurrences (0.0%) 86.4% +91.2% to +100.7%: 5 occurrences (1.0%) +100.7% to +110.2%: 0 occurrences (0.0%) +110.2% to +119.7%: 1 occurrences (0.2%) 114.9%
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) 66.7% 40.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.5% Adjusts normal bell curve for real-world skewness (0.55) and kurtosis (5.67).
Standard Normal (Black-Scholes / GBM) 81.1% 40.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.5% 42.5% Filters for historical windows that started with volatility similar to current 20-day HV (327 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 86.6%
  • Recent 20-Day HV: 80.8%
  • Parkinson Intraday Volatility: 50.8%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +33.0%
  • Bottom 10% Move (10th percentile): -15.0%
  • Max Historical Gain (14d): +119.7%
  • Max Historical Loss (14d): -32.4%