Finance

RCAT Move Probability $7.09 -0.88 (-11.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to RCAT Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
43.1%
Stock touched +5.0% ($7.45) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
23.1%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.87x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.5%
$6.56 — $7.63

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 520 historical windows (2024-08-19 to 2026-09-16). The colored bar indicates the win zone for +5.0%.

-21.9% to -18.4%: 2 occurrences (0.4%) -20.1% -18.4% to -14.9%: 5 occurrences (1.0%) -14.9% to -11.4%: 9 occurrences (1.7%) -11.4% to -8.0%: 48 occurrences (9.2%) -9.7% -8.0% to -4.5%: 69 occurrences (13.3%) -4.5% to -1.0%: 92 occurrences (17.7%) -1.0% to +2.5%: 115 occurrences (22.1%) 0.8% +2.5% to +6.0%: 75 occurrences (14.4%) +6.0% to +9.5%: 45 occurrences (8.7%) +9.5% to +12.9%: 28 occurrences (5.4%) 11.2% +12.9% to +16.4%: 16 occurrences (3.1%) +16.4% to +19.9%: 8 occurrences (1.5%) +19.9% to +23.4%: 2 occurrences (0.4%) 21.6% +23.4% to +26.9%: 1 occurrences (0.2%) +26.9% to +30.3%: 3 occurrences (0.6%) +30.3% to +33.8%: 2 occurrences (0.4%) 32.1%
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% 23.1% Model-free reality across 520 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.8% Adjusts normal bell curve for real-world skewness (0.39) and kurtosis (0.99).
Standard Normal (Black-Scholes / GBM) 51.6% 25.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.3% 21.5% Filters for historical windows that started with volatility similar to current 20-day HV (107 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 119.3%
  • Recent 20-Day HV: 68.8%
  • Parkinson Intraday Volatility: 101.2%
  • Vol Trend: Compressed (-42% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +10.2%
  • Bottom 10% Move (10th percentile): -8.6%
  • Max Historical Gain (1d): +33.8%
  • Max Historical Loss (1d): -21.9%