Finance

PRGO Move Probability $15.91 -0.26 (-1.6%)

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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Touch Probability (First Passage)
53.7%
Stock touched +5.0% ($16.71) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
27.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.99x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.1%
$14.15 — $17.68

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%.

-40.9% to -36.1%: 7 occurrences (1.4%) -38.5% -36.1% to -31.3%: 9 occurrences (1.8%) -31.3% to -26.5%: 6 occurrences (1.2%) -26.5% to -21.8%: 3 occurrences (0.6%) -24.2% -21.8% to -17.0%: 9 occurrences (1.8%) -17.0% to -12.2%: 13 occurrences (2.6%) -12.2% to -7.4%: 52 occurrences (10.2%) -9.8% -7.4% to -2.6%: 78 occurrences (15.4%) -2.6% to +2.2%: 128 occurrences (25.2%) +2.2% to +7.0%: 100 occurrences (19.7%) 4.6% +7.0% to +11.8%: 53 occurrences (10.4%) +11.8% to +16.6%: 22 occurrences (4.3%) +16.6% to +21.3%: 15 occurrences (3.0%) 19.0% +21.3% to +26.1%: 7 occurrences (1.4%) +26.1% to +30.9%: 2 occurrences (0.4%) +30.9% to +35.7%: 4 occurrences (0.8%) 33.3%
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) 53.7% 27.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.0% Adjusts normal bell curve for real-world skewness (-0.59) and kurtosis (23.75).
Standard Normal (Black-Scholes / GBM) 66.1% 33.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.4% 36.5% Filters for historical windows that started with volatility similar to current 20-day HV (244 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.2%
  • Recent 20-Day HV: 47.9%
  • Parkinson Intraday Volatility: 34.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +11.4%
  • Bottom 10% Move (10th percentile): -11.3%
  • Max Historical Gain (14d): +35.7%
  • Max Historical Loss (14d): -40.9%