Finance

PVCT Move Probability $0.05 +0.00 (+2.0%)

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)
61.6%
Stock touched +5.0% ($0.05) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
24.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.48x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.4%
$0.04 — $0.06

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-30.9% to -26.8%: 2 occurrences (0.4%) -28.9% -26.8% to -22.8%: 2 occurrences (0.4%) -22.8% to -18.7%: 12 occurrences (2.5%) -18.7% to -14.7%: 32 occurrences (6.6%) -16.7% -14.7% to -10.6%: 42 occurrences (8.6%) -10.6% to -6.6%: 86 occurrences (17.7%) -6.6% to -2.5%: 86 occurrences (17.7%) -4.5% -2.5% to +1.6%: 63 occurrences (12.9%) +1.6% to +5.6%: 48 occurrences (9.9%) +5.6% to +9.7%: 32 occurrences (6.6%) 7.7% +9.7% to +13.7%: 30 occurrences (6.2%) +13.7% to +17.8%: 17 occurrences (3.5%) +17.8% to +21.9%: 10 occurrences (2.1%) 19.8% +21.9% to +25.9%: 10 occurrences (2.1%) +25.9% to +30.0%: 10 occurrences (2.1%) +30.0% to +34.0%: 5 occurrences (1.0%) 32.0%
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) 61.6% 24.8% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.0% Adjusts normal bell curve for real-world skewness (0.24) and kurtosis (3.47).
Standard Normal (Black-Scholes / GBM) 79.1% 39.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.0% 23.0% Filters for historical windows that started with volatility similar to current 20-day HV (230 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 78.1%
  • Recent 20-Day HV: 55.4%
  • Parkinson Intraday Volatility: 91.9%
  • Vol Trend: Compressed (-29% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.6%
  • Top 10% Move (90th percentile): +14.0%
  • Bottom 10% Move (10th percentile): -14.7%
  • Max Historical Gain (14d): +34.0%
  • Max Historical Loss (14d): -30.9%