Finance

PYPD Move Probability $5.10 +0.01 (+0.2%)

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)
60.4%
Stock touched +5.0% ($5.35) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
31.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.90x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.0%
$4.39 — $5.81

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%.

-30.2% to -25.7%: 5 occurrences (1.0%) -28.0% -25.7% to -21.2%: 4 occurrences (0.8%) -21.2% to -16.6%: 7 occurrences (1.4%) -16.6% to -12.1%: 16 occurrences (3.1%) -14.4% -12.1% to -7.6%: 40 occurrences (7.9%) -7.6% to -3.1%: 81 occurrences (15.9%) -3.1% to +1.5%: 112 occurrences (22.0%) -0.8% +1.5% to +6.0%: 98 occurrences (19.3%) +6.0% to +10.5%: 67 occurrences (13.2%) +10.5% to +15.0%: 41 occurrences (8.1%) 12.8% +15.0% to +19.6%: 21 occurrences (4.1%) +19.6% to +24.1%: 10 occurrences (2.0%) +24.1% to +28.6%: 4 occurrences (0.8%) 26.3% +28.6% to +33.1%: 0 occurrences (0.0%) +33.1% to +37.7%: 0 occurrences (0.0%) +37.7% to +42.2%: 2 occurrences (0.4%) 39.9%
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) 60.4% 31.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.7% Adjusts normal bell curve for real-world skewness (0.31) and kurtosis (21.74).
Standard Normal (Black-Scholes / GBM) 72.8% 36.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.0% 27.8% Filters for historical windows that started with volatility similar to current 20-day HV (302 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 59.4%
  • Recent 20-Day HV: 37.4%
  • Parkinson Intraday Volatility: 34.2%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +12.8%
  • Bottom 10% Move (10th percentile): -9.6%
  • Max Historical Gain (14d): +42.2%
  • Max Historical Loss (14d): -30.2%