Finance

PRQR Move Probability $1.36 -0.00 (-0.4%)

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)
69.9%
Stock touched +5.0% ($1.43) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
37.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.87x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.9%
$1.06 — $1.66

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%.

-32.9% to -22.0%: 52 occurrences (10.2%) -27.5% -22.0% to -11.0%: 104 occurrences (20.5%) -11.0% to -0.1%: 111 occurrences (21.9%) -0.1% to +10.9%: 109 occurrences (21.5%) 5.4% +10.9% to +21.9%: 74 occurrences (14.6%) +21.9% to +32.8%: 29 occurrences (5.7%) +32.8% to +43.8%: 10 occurrences (2.0%) 38.3% +43.8% to +54.7%: 4 occurrences (0.8%) +54.7% to +65.7%: 0 occurrences (0.0%) +65.7% to +76.7%: 2 occurrences (0.4%) 71.2% +76.7% to +87.6%: 3 occurrences (0.6%) +87.6% to +98.6%: 4 occurrences (0.8%) +98.6% to +109.6%: 2 occurrences (0.4%) 104.1% +109.6% to +120.5%: 0 occurrences (0.0%) +120.5% to +131.5%: 2 occurrences (0.4%) +131.5% to +142.4%: 2 occurrences (0.4%) 137.0%
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) 69.9% 37.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.1% Adjusts normal bell curve for real-world skewness (4.78) and kurtosis (63.77).
Standard Normal (Black-Scholes / GBM) 82.4% 41.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.8% 42.5% Filters for historical windows that started with volatility similar to current 20-day HV (261 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 93.0%
  • Recent 20-Day HV: 53.7%
  • Parkinson Intraday Volatility: 71.2%
  • Vol Trend: Compressed (-42% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.4%
  • Top 10% Move (90th percentile): +23.6%
  • Bottom 10% Move (10th percentile): -22.1%
  • Max Historical Gain (14d): +142.4%
  • Max Historical Loss (14d): -32.9%