Finance

PRPL Move Probability $2.48 +0.13 (+5.5%)

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)
56.8%
Stock touched +5.0% ($2.60) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
26.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.12x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±84.8%
$0.38 — $4.58

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-69.0% to +334.3%: 493 occurrences (97.2%) 132.7% +334.3% to +737.6%: 13 occurrences (2.6%) +737.6% to +1141.0%: 0 occurrences (0.0%) +1141.0% to +1544.3%: 0 occurrences (0.0%) 1342.6% +1544.3% to +1947.6%: 0 occurrences (0.0%) +1947.6% to +2350.9%: 0 occurrences (0.0%) +2350.9% to +2754.2%: 0 occurrences (0.0%) 2552.5% +2754.2% to +3157.5%: 0 occurrences (0.0%) +3157.5% to +3560.8%: 0 occurrences (0.0%) +3560.8% to +3964.1%: 0 occurrences (0.0%) 3762.5% +3964.1% to +4367.4%: 0 occurrences (0.0%) +4367.4% to +4770.7%: 0 occurrences (0.0%) +4770.7% to +5174.0%: 0 occurrences (0.0%) 4972.4% +5174.0% to +5577.4%: 0 occurrences (0.0%) +5577.4% to +5980.7%: 0 occurrences (0.0%) +5980.7% to +6384.0%: 1 occurrences (0.2%) 6182.3%
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) 56.8% 26.8% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.2% Adjusts normal bell curve for real-world skewness (1.2) and kurtosis (159.38).
Standard Normal (Black-Scholes / GBM) 95.4% 47.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.0% 28.5% Filters for historical windows that started with volatility similar to current 20-day HV (277 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 359.9%
  • Recent 20-Day HV: 82.7%
  • Parkinson Intraday Volatility: 55.1%
  • Vol Trend: Compressed (-77% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.7%
  • Top 10% Move (90th percentile): +30.9%
  • Bottom 10% Move (10th percentile): -22.6%
  • Max Historical Gain (14d): +6384.0%
  • Max Historical Loss (14d): -69.0%