Finance

RAND Move Probability $9.59 -0.77 (-7.4%)

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)
35.1%
Stock touched +5.0% ($10.07) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
21.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.62x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.1%
$8.43 — $10.75

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-34.5% to -28.8%: 6 occurrences (1.2%) -31.7% -28.8% to -23.2%: 3 occurrences (0.6%) -23.2% to -17.5%: 26 occurrences (5.1%) -17.5% to -11.8%: 17 occurrences (3.4%) -14.6% -11.8% to -6.1%: 46 occurrences (9.1%) -6.1% to -0.5%: 103 occurrences (20.3%) -0.5% to +5.2%: 196 occurrences (38.7%) 2.4% +5.2% to +10.9%: 41 occurrences (8.1%) +10.9% to +16.6%: 33 occurrences (6.5%) +16.6% to +22.3%: 15 occurrences (3.0%) 19.4% +22.3% to +27.9%: 7 occurrences (1.4%) +27.9% to +33.6%: 12 occurrences (2.4%) +33.6% to +39.3%: 0 occurrences (0.0%) 36.5% +39.3% to +45.0%: 0 occurrences (0.0%) +45.0% to +50.7%: 0 occurrences (0.0%) +50.7% to +56.3%: 2 occurrences (0.4%) 53.5%
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) 35.1% 21.7% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.0% Adjusts normal bell curve for real-world skewness (-4.87) and kurtosis (75.05).
Standard Normal (Black-Scholes / GBM) 68.7% 34.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 34.1% 8.7% Filters for historical windows that started with volatility similar to current 20-day HV (126 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.3%
  • Recent 20-Day HV: 27.4%
  • Parkinson Intraday Volatility: 7.9%
  • Vol Trend: Compressed (-47% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +13.2%
  • Bottom 10% Move (10th percentile): -11.8%
  • Max Historical Gain (14d): +56.3%
  • Max Historical Loss (14d): -34.5%