Finance

PTEN Move Probability $11.94 +0.60 (+5.3%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to PTEN Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
72.0%
Stock touched +5.0% ($12.53) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
38.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.0%
$10.38 — $13.49

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-35.0% to -30.7%: 6 occurrences (1.2%) -32.8% -30.7% to -26.4%: 6 occurrences (1.2%) -26.4% to -22.2%: 3 occurrences (0.6%) -22.2% to -17.9%: 8 occurrences (1.6%) -20.0% -17.9% to -13.6%: 15 occurrences (2.9%) -13.6% to -9.4%: 36 occurrences (7.1%) -9.4% to -5.1%: 60 occurrences (11.8%) -7.2% -5.1% to -0.8%: 75 occurrences (14.7%) -0.8% to +3.5%: 72 occurrences (14.1%) +3.5% to +7.7%: 86 occurrences (16.9%) 5.6% +7.7% to +12.0%: 41 occurrences (8.0%) +12.0% to +16.3%: 42 occurrences (8.2%) +16.3% to +20.5%: 26 occurrences (5.1%) 18.4% +20.5% to +24.8%: 26 occurrences (5.1%) +24.8% to +29.1%: 4 occurrences (0.8%) +29.1% to +33.3%: 4 occurrences (0.8%) 31.2%
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) 72.0% 38.2% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.2% Adjusts normal bell curve for real-world skewness (-0.71) and kurtosis (6.07).
Standard Normal (Black-Scholes / GBM) 70.7% 35.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.2% 37.9% Filters for historical windows that started with volatility similar to current 20-day HV (372 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 55.1%
  • Recent 20-Day HV: 41.6%
  • Parkinson Intraday Volatility: 45.6%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.3%
  • Top 10% Move (90th percentile): +17.4%
  • Bottom 10% Move (10th percentile): -11.6%
  • Max Historical Gain (14d): +33.3%
  • Max Historical Loss (14d): -35.0%