Finance

PTLO Move Probability $4.31 -0.26 (-5.6%)

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)
58.9%
Stock touched +5.0% ($4.53) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
24.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.39x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.1%
$3.74 — $4.88

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%.

-37.9% to -32.3%: 10 occurrences (2.0%) -35.1% -32.3% to -26.7%: 10 occurrences (2.0%) -26.7% to -21.1%: 12 occurrences (2.4%) -21.1% to -15.6%: 33 occurrences (6.5%) -18.4% -15.6% to -10.0%: 80 occurrences (15.7%) -10.0% to -4.4%: 87 occurrences (17.1%) -4.4% to +1.1%: 89 occurrences (17.5%) -1.6% +1.1% to +6.7%: 81 occurrences (15.9%) +6.7% to +12.3%: 37 occurrences (7.3%) +12.3% to +17.9%: 19 occurrences (3.7%) 15.1% +17.9% to +23.4%: 13 occurrences (2.6%) +23.4% to +29.0%: 18 occurrences (3.5%) +29.0% to +34.6%: 10 occurrences (2.0%) 31.8% +34.6% to +40.2%: 4 occurrences (0.8%) +40.2% to +45.7%: 4 occurrences (0.8%) +45.7% to +51.3%: 1 occurrences (0.2%) 48.5%
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) 58.9% 24.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.9% Adjusts normal bell curve for real-world skewness (-0.78) and kurtosis (7.39).
Standard Normal (Black-Scholes / GBM) 71.0% 35.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.4% 23.9% Filters for historical windows that started with volatility similar to current 20-day HV (394 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 55.7%
  • Recent 20-Day HV: 50.2%
  • Parkinson Intraday Volatility: 44.7%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -3.5%
  • Top 10% Move (90th percentile): +17.2%
  • Bottom 10% Move (10th percentile): -17.8%
  • Max Historical Gain (14d): +51.3%
  • Max Historical Loss (14d): -37.9%