Finance

PRT Move Probability $1.56 -0.02 (-1.3%)

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)
30.3%
Stock touched +5.0% ($1.64) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
17.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.77x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.9%
$1.43 — $1.70

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%.

-31.7% to -27.7%: 9 occurrences (1.8%) -29.7% -27.7% to -23.7%: 7 occurrences (1.4%) -23.7% to -19.7%: 7 occurrences (1.4%) -19.7% to -15.7%: 7 occurrences (1.4%) -17.7% -15.7% to -11.7%: 20 occurrences (3.9%) -11.7% to -7.7%: 36 occurrences (7.1%) -7.7% to -3.8%: 75 occurrences (14.8%) -5.8% -3.8% to +0.2%: 135 occurrences (26.6%) +0.2% to +4.2%: 112 occurrences (22.0%) +4.2% to +8.2%: 45 occurrences (8.9%) 6.2% +8.2% to +12.2%: 25 occurrences (4.9%) +12.2% to +16.2%: 12 occurrences (2.4%) +16.2% to +20.1%: 7 occurrences (1.4%) 18.2% +20.1% to +24.1%: 6 occurrences (1.2%) +24.1% to +28.1%: 2 occurrences (0.4%) +28.1% to +32.1%: 3 occurrences (0.6%) 30.1%
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) 30.3% 17.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.5% Adjusts normal bell curve for real-world skewness (-0.74) and kurtosis (5.3).
Standard Normal (Black-Scholes / GBM) 58.2% 29.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 41.3% 23.1% Filters for historical windows that started with volatility similar to current 20-day HV (286 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.6%
  • Recent 20-Day HV: 45.0%
  • Parkinson Intraday Volatility: 14.6%
  • Vol Trend: Expanded (+20% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +8.9%
  • Bottom 10% Move (10th percentile): -11.4%
  • Max Historical Gain (14d): +32.1%
  • Max Historical Loss (14d): -31.7%