Finance

PRMB Move Probability $20.02 +0.02 (+0.1%)

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)
47.6%
Stock touched +5.0% ($21.02) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
26.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.9%
$18.05 — $21.99

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%.

-35.0% to -31.3%: 4 occurrences (0.8%) -33.2% -31.3% to -27.6%: 7 occurrences (1.4%) -27.6% to -24.0%: 2 occurrences (0.4%) -24.0% to -20.3%: 0 occurrences (0.0%) -22.1% -20.3% to -16.6%: 8 occurrences (1.6%) -16.6% to -13.0%: 9 occurrences (1.8%) -13.0% to -9.3%: 38 occurrences (7.5%) -11.1% -9.3% to -5.6%: 49 occurrences (9.6%) -5.6% to -1.9%: 79 occurrences (15.6%) -1.9% to +1.7%: 101 occurrences (19.9%) -0.1% +1.7% to +5.4%: 85 occurrences (16.7%) +5.4% to +9.1%: 55 occurrences (10.8%) +9.1% to +12.7%: 32 occurrences (6.3%) 10.9% +12.7% to +16.4%: 18 occurrences (3.5%) +16.4% to +20.1%: 18 occurrences (3.5%) +20.1% to +23.8%: 3 occurrences (0.6%) 21.9%
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) 47.6% 26.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.2% Adjusts normal bell curve for real-world skewness (-2.04) and kurtosis (22.68).
Standard Normal (Black-Scholes / GBM) 62.1% 31.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 42.8% 23.9% Filters for historical windows that started with volatility similar to current 20-day HV (306 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.8%
  • Recent 20-Day HV: 26.7%
  • Parkinson Intraday Volatility: 33.2%
  • Vol Trend: Compressed (-36% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +11.3%
  • Bottom 10% Move (10th percentile): -10.3%
  • Max Historical Gain (14d): +23.8%
  • Max Historical Loss (14d): -35.0%