Finance

RDW Move Probability $8.57 +0.27 (+3.2%)

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)
37.6%
Stock touched +5.0% ($9.00) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
19.0%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.0%
$7.97 — $9.17

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-30.7% to -25.6%: 1 occurrences (0.2%) -28.2% -25.6% to -20.4%: 0 occurrences (0.0%) -20.4% to -15.3%: 4 occurrences (0.8%) -15.3% to -10.2%: 18 occurrences (3.5%) -12.7% -10.2% to -5.0%: 78 occurrences (15.0%) -5.0% to +0.1%: 163 occurrences (31.3%) +0.1% to +5.2%: 158 occurrences (30.3%) 2.7% +5.2% to +10.4%: 60 occurrences (11.5%) +10.4% to +15.5%: 29 occurrences (5.6%) +15.5% to +20.7%: 4 occurrences (0.8%) 18.1% +20.7% to +25.8%: 2 occurrences (0.4%) +25.8% to +30.9%: 3 occurrences (0.6%) +30.9% to +36.1%: 0 occurrences (0.0%) 33.5% +36.1% to +41.2%: 0 occurrences (0.0%) +41.2% to +46.4%: 0 occurrences (0.0%) +46.4% to +51.5%: 1 occurrences (0.2%) 48.9%
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) 37.6% 19.0% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.7% Adjusts normal bell curve for real-world skewness (0.44) and kurtosis (3.99).
Standard Normal (Black-Scholes / GBM) 48.7% 24.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 32.7% 11.5% Filters for historical windows that started with volatility similar to current 20-day HV (52 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 111.5%
  • Recent 20-Day HV: 50.5%
  • Parkinson Intraday Volatility: 88.7%
  • Vol Trend: Compressed (-55% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +8.7%
  • Bottom 10% Move (10th percentile): -7.1%
  • Max Historical Gain (1d): +51.5%
  • Max Historical Loss (1d): -30.7%