Finance

QTTB Move Probability $8.70 +0.06 (+0.8%)

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 QTTB Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
75.2%
Stock touched +5.0% ($9.13) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
38.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±39.9%
$5.23 — $12.17

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%.

-88.5% to -74.2%: 14 occurrences (2.8%) -81.3% -74.2% to -60.0%: 0 occurrences (0.0%) -60.0% to -45.7%: 3 occurrences (0.6%) -45.7% to -31.4%: 23 occurrences (4.5%) -38.6% -31.4% to -17.2%: 92 occurrences (18.1%) -17.2% to -2.9%: 112 occurrences (22.0%) -2.9% to +11.3%: 129 occurrences (25.4%) 4.2% +11.3% to +25.6%: 55 occurrences (10.8%) +25.6% to +39.8%: 19 occurrences (3.7%) +39.8% to +54.1%: 21 occurrences (4.1%) 47.0% +54.1% to +68.4%: 13 occurrences (2.6%) +68.4% to +82.6%: 8 occurrences (1.6%) +82.6% to +96.9%: 4 occurrences (0.8%) 89.7% +96.9% to +111.1%: 8 occurrences (1.6%) +111.1% to +125.4%: 3 occurrences (0.6%) +125.4% to +139.6%: 4 occurrences (0.8%) 132.5%
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) 75.2% 38.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.3% Adjusts normal bell curve for real-world skewness (-2.82) and kurtosis (70.93).
Standard Normal (Black-Scholes / GBM) 90.3% 45.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 79.3% 46.7% Filters for historical windows that started with volatility similar to current 20-day HV (285 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 169.2%
  • Recent 20-Day HV: 84.8%
  • Parkinson Intraday Volatility: 90.8%
  • Vol Trend: Compressed (-50% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.0%
  • Top 10% Move (90th percentile): +46.1%
  • Bottom 10% Move (10th percentile): -28.9%
  • Max Historical Gain (14d): +139.6%
  • Max Historical Loss (14d): -88.5%