Finance

PSEC Move Probability $1.47 -0.01 (-0.7%)

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)
37.0%
Stock touched +5.0% ($1.54) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
15.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.47x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.9%
$1.35 — $1.59

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%.

-29.4% to -26.1%: 3 occurrences (0.6%) -27.7% -26.1% to -22.8%: 3 occurrences (0.6%) -22.8% to -19.6%: 4 occurrences (0.8%) -19.6% to -16.3%: 17 occurrences (3.3%) -18.0% -16.3% to -13.1%: 21 occurrences (4.1%) -13.1% to -9.8%: 24 occurrences (4.7%) -9.8% to -6.6%: 38 occurrences (7.5%) -8.2% -6.6% to -3.3%: 64 occurrences (12.6%) -3.3% to -0.0%: 111 occurrences (21.9%) -0.0% to +3.2%: 98 occurrences (19.3%) 1.6% +3.2% to +6.5%: 81 occurrences (15.9%) +6.5% to +9.7%: 24 occurrences (4.7%) +9.7% to +13.0%: 15 occurrences (3.0%) 11.4% +13.0% to +16.2%: 3 occurrences (0.6%) +16.2% to +19.5%: 0 occurrences (0.0%) +19.5% to +22.8%: 2 occurrences (0.4%) 21.1%
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) 37.0% 15.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.8% Adjusts normal bell curve for real-world skewness (-0.88) and kurtosis (8.49).
Standard Normal (Black-Scholes / GBM) 53.6% 26.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 41.9% 16.1% Filters for historical windows that started with volatility similar to current 20-day HV (298 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.4%
  • Recent 20-Day HV: 35.4%
  • Parkinson Intraday Volatility: 25.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +6.1%
  • Bottom 10% Move (10th percentile): -11.8%
  • Max Historical Gain (14d): +22.8%
  • Max Historical Loss (14d): -29.4%