Finance

RAIL Move Probability $4.12 +0.10 (+2.5%)

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)
71.3%
Stock touched +5.0% ($4.33) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
39.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.83x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.7%
$3.35 — $4.89

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%.

-45.1% to -39.1%: 13 occurrences (2.6%) -42.1% -39.1% to -33.2%: 16 occurrences (3.1%) -33.2% to -27.3%: 11 occurrences (2.2%) -27.3% to -21.4%: 15 occurrences (3.0%) -24.3% -21.4% to -15.5%: 34 occurrences (6.7%) -15.5% to -9.5%: 58 occurrences (11.4%) -9.5% to -3.6%: 64 occurrences (12.6%) -6.6% -3.6% to +2.3%: 67 occurrences (13.2%) +2.3% to +8.2%: 59 occurrences (11.6%) +8.2% to +14.1%: 58 occurrences (11.4%) 11.2% +14.1% to +20.1%: 39 occurrences (7.7%) +20.1% to +26.0%: 35 occurrences (6.9%) +26.0% to +31.9%: 22 occurrences (4.3%) 28.9% +31.9% to +37.8%: 13 occurrences (2.6%) +37.8% to +43.7%: 2 occurrences (0.4%) +43.7% to +49.7%: 2 occurrences (0.4%) 46.7%
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) 71.3% 39.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.7% Adjusts normal bell curve for real-world skewness (-1.85) and kurtosis (16.94).
Standard Normal (Black-Scholes / GBM) 79.4% 39.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 86.8% 51.3% Filters for historical windows that started with volatility similar to current 20-day HV (76 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 79.2%
  • Recent 20-Day HV: 135.3%
  • Parkinson Intraday Volatility: 52.2%
  • Vol Trend: Expanded (+71% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +23.3%
  • Bottom 10% Move (10th percentile): -23.4%
  • Max Historical Gain (14d): +49.7%
  • Max Historical Loss (14d): -45.1%