Finance

RC Move Probability $1.01 -0.17 (-14.3%)

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)
51.6%
Stock touched +5.0% ($1.07) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
16.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.20x
You are 3.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.4%
$0.88 — $1.15

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%.

-32.6% to -28.5%: 5 occurrences (1.0%) -30.5% -28.5% to -24.4%: 17 occurrences (3.3%) -24.4% to -20.3%: 19 occurrences (3.7%) -20.3% to -16.2%: 26 occurrences (5.1%) -18.3% -16.2% to -12.1%: 49 occurrences (9.6%) -12.1% to -8.0%: 44 occurrences (8.7%) -8.0% to -3.9%: 80 occurrences (15.7%) -6.0% -3.9% to +0.2%: 100 occurrences (19.7%) +0.2% to +4.3%: 76 occurrences (15.0%) +4.3% to +8.4%: 41 occurrences (8.1%) 6.3% +8.4% to +12.5%: 15 occurrences (3.0%) +12.5% to +16.6%: 12 occurrences (2.4%) +16.6% to +20.6%: 13 occurrences (2.6%) 18.6% +20.6% to +24.7%: 7 occurrences (1.4%) +24.7% to +28.8%: 2 occurrences (0.4%) +28.8% to +32.9%: 2 occurrences (0.4%) 30.9%
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) 51.6% 16.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.5% Adjusts normal bell curve for real-world skewness (-1.4) and kurtosis (12.08).
Standard Normal (Black-Scholes / GBM) 71.5% 35.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.0% 5.7% Filters for historical windows that started with volatility similar to current 20-day HV (105 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 56.7%
  • Recent 20-Day HV: 96.5%
  • Parkinson Intraday Volatility: 44.8%
  • Vol Trend: Expanded (+70% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.5%
  • Top 10% Move (90th percentile): +8.2%
  • Bottom 10% Move (10th percentile): -18.5%
  • Max Historical Gain (14d): +32.9%
  • Max Historical Loss (14d): -32.6%