Finance

QTI Move Probability $2.33 -0.04 (-1.7%)

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)
81.3%
Stock touched +5.0% ($2.45) at least once during 14 trading days.
Median first touch: Day 1 of 14
Expiration Close Probability
31.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.55x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±36.7%
$1.48 — $3.18

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%.

-81.5% to -65.4%: 14 occurrences (2.9%) -73.5% -65.4% to -49.4%: 0 occurrences (0.0%) -49.4% to -33.4%: 11 occurrences (2.3%) -33.4% to -17.4%: 59 occurrences (12.1%) -25.4% -17.4% to -1.3%: 158 occurrences (32.4%) -1.3% to +14.7%: 150 occurrences (30.8%) +14.7% to +30.7%: 44 occurrences (9.0%) 22.7% +30.7% to +46.8%: 26 occurrences (5.3%) +46.8% to +62.8%: 10 occurrences (2.1%) +62.8% to +78.8%: 4 occurrences (0.8%) 70.8% +78.8% to +94.9%: 3 occurrences (0.6%) +94.9% to +110.9%: 1 occurrences (0.2%) +110.9% to +126.9%: 2 occurrences (0.4%) 118.9% +126.9% to +142.9%: 2 occurrences (0.4%) +142.9% to +159.0%: 0 occurrences (0.0%) +159.0% to +175.0%: 3 occurrences (0.6%) 167.0%
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) 81.3% 31.8% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 61.6% Adjusts normal bell curve for real-world skewness (-8.83) and kurtosis (147.87).
Standard Normal (Black-Scholes / GBM) 89.4% 44.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.4% 15.3% Filters for historical windows that started with volatility similar to current 20-day HV (157 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 155.5%
  • Recent 20-Day HV: 47.3%
  • Parkinson Intraday Volatility: 131.3%
  • Vol Trend: Compressed (-70% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +31.7%
  • Bottom 10% Move (10th percentile): -27.2%
  • Max Historical Gain (14d): +175.0%
  • Max Historical Loss (14d): -81.5%