Finance

PSNY Move Probability $3.67 -0.10 (-2.5%)

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)
65.0%
Stock touched +5.0% ($3.85) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
21.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.03x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.0%
$2.93 — $4.41

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%.

-48.9% to -41.1%: 9 occurrences (1.8%) -45.0% -41.1% to -33.2%: 21 occurrences (4.1%) -33.2% to -25.4%: 27 occurrences (5.3%) -25.4% to -17.5%: 40 occurrences (7.9%) -21.4% -17.5% to -9.7%: 79 occurrences (15.6%) -9.7% to -1.8%: 135 occurrences (26.6%) -1.8% to +6.1%: 97 occurrences (19.1%) 2.1% +6.1% to +13.9%: 45 occurrences (8.9%) +13.9% to +21.8%: 26 occurrences (5.1%) +21.8% to +29.6%: 13 occurrences (2.6%) 25.7% +29.6% to +37.5%: 4 occurrences (0.8%) +37.5% to +45.3%: 2 occurrences (0.4%) +45.3% to +53.2%: 5 occurrences (1.0%) 49.3% +53.2% to +61.1%: 1 occurrences (0.2%) +61.1% to +68.9%: 2 occurrences (0.4%) +68.9% to +76.8%: 2 occurrences (0.4%) 72.8%
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) 65.0% 21.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.6% Adjusts normal bell curve for real-world skewness (-0.4) and kurtosis (5.57).
Standard Normal (Black-Scholes / GBM) 80.8% 40.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.7% 28.8% Filters for historical windows that started with volatility similar to current 20-day HV (267 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 85.0%
  • Recent 20-Day HV: 86.2%
  • Parkinson Intraday Volatility: 64.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -5.3%
  • Top 10% Move (90th percentile): +16.2%
  • Bottom 10% Move (10th percentile): -26.1%
  • Max Historical Gain (14d): +76.8%
  • Max Historical Loss (14d): -48.9%