Finance

RAFI Move Probability $4.40 -0.23 (-5.0%)

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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Touch Probability (First Passage)
43.1%
Stock touched +5.0% ($4.62) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
23.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.84x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.1%
$3.82 — $4.98

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%.

-23.4% to -19.6%: 3 occurrences (0.6%) -21.5% -19.6% to -15.8%: 7 occurrences (1.4%) -15.8% to -12.0%: 19 occurrences (3.9%) -12.0% to -8.1%: 41 occurrences (8.4%) -10.0% -8.1% to -4.3%: 75 occurrences (15.4%) -4.3% to -0.5%: 70 occurrences (14.4%) -0.5% to +3.3%: 121 occurrences (24.8%) 1.4% +3.3% to +7.2%: 65 occurrences (13.3%) +7.2% to +11.0%: 31 occurrences (6.4%) +11.0% to +14.8%: 24 occurrences (4.9%) 12.9% +14.8% to +18.6%: 12 occurrences (2.5%) +18.6% to +22.5%: 16 occurrences (3.3%) +22.5% to +26.3%: 0 occurrences (0.0%) 24.4% +26.3% to +30.1%: 1 occurrences (0.2%) +30.1% to +33.9%: 0 occurrences (0.0%) +33.9% to +37.8%: 2 occurrences (0.4%) 35.9%
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) 43.1% 23.4% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.7% Adjusts normal bell curve for real-world skewness (-0.0) and kurtosis (47.01).
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) 60.4% 35.4% Filters for historical windows that started with volatility similar to current 20-day HV (96 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 55.7%
  • Recent 20-Day HV: 18.5%
  • Parkinson Intraday Volatility: 33.2%
  • Vol Trend: Compressed (-67% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +12.3%
  • Bottom 10% Move (10th percentile): -9.8%
  • Max Historical Gain (14d): +37.8%
  • Max Historical Loss (14d): -23.4%