Finance

RDVT Move Probability $78.66 +2.30 (+3.0%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
65.0%
Stock touched +5.0% ($82.59) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
40.2%
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%)
±10.8%
$70.15 — $87.16

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%.

-23.7% to -20.2%: 6 occurrences (1.2%) -21.9% -20.2% to -16.7%: 6 occurrences (1.2%) -16.7% to -13.1%: 10 occurrences (2.0%) -13.1% to -9.6%: 23 occurrences (4.5%) -11.4% -9.6% to -6.1%: 51 occurrences (10.0%) -6.1% to -2.6%: 51 occurrences (10.0%) -2.6% to +0.9%: 63 occurrences (12.4%) -0.8% +0.9% to +4.5%: 85 occurrences (16.7%) +4.5% to +8.0%: 61 occurrences (12.0%) +8.0% to +11.5%: 44 occurrences (8.7%) 9.7% +11.5% to +15.0%: 33 occurrences (6.5%) +15.0% to +18.5%: 27 occurrences (5.3%) +18.5% to +22.1%: 17 occurrences (3.3%) 20.3% +22.1% to +25.6%: 14 occurrences (2.8%) +25.6% to +29.1%: 11 occurrences (2.2%) +29.1% to +32.6%: 6 occurrences (1.2%) 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) 65.0% 40.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.1% Adjusts normal bell curve for real-world skewness (0.24) and kurtosis (2.47).
Standard Normal (Black-Scholes / GBM) 65.2% 32.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.3% 30.4% Filters for historical windows that started with volatility similar to current 20-day HV (204 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.9%
  • Recent 20-Day HV: 32.8%
  • Parkinson Intraday Volatility: 29.0%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.8%
  • Top 10% Move (90th percentile): +17.9%
  • Bottom 10% Move (10th percentile): -9.0%
  • Max Historical Gain (14d): +32.6%
  • Max Historical Loss (14d): -23.7%