Finance

REAX Move Probability $12.66 -2.11 (-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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
64.7%
Stock touched +5.0% ($13.29) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
24.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.67x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.7%
$10.67 — $14.65

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-10-10 to 2026-11-06). The colored bar indicates the win zone for +5.0%.

-36.4% to -29.7%: 5 occurrences (1.0%) -33.0% -29.7% to -22.9%: 19 occurrences (3.7%) -22.9% to -16.1%: 51 occurrences (10.1%) -16.1% to -9.4%: 76 occurrences (15.0%) -12.8% -9.4% to -2.6%: 121 occurrences (23.9%) -2.6% to +4.2%: 103 occurrences (20.3%) +4.2% to +10.9%: 62 occurrences (12.2%) 7.5% +10.9% to +17.7%: 33 occurrences (6.5%) +17.7% to +24.4%: 16 occurrences (3.2%) +24.4% to +31.2%: 5 occurrences (1.0%) 27.8% +31.2% to +38.0%: 6 occurrences (1.2%) +38.0% to +44.7%: 5 occurrences (1.0%) +44.7% to +51.5%: 0 occurrences (0.0%) 48.1% +51.5% to +58.3%: 0 occurrences (0.0%) +58.3% to +65.0%: 3 occurrences (0.6%) +65.0% to +71.8%: 2 occurrences (0.4%) 68.4%
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) 64.7% 24.3% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.8% Adjusts normal bell curve for real-world skewness (-0.47) and kurtosis (5.02).
Standard Normal (Black-Scholes / GBM) 75.6% 37.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 64.4% 13.7% Filters for historical windows that started with volatility similar to current 20-day HV (73 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 66.8%
  • Recent 20-Day HV: 127.6%
  • Parkinson Intraday Volatility: 54.2%
  • Vol Trend: Expanded (+91% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.1%
  • Top 10% Move (90th percentile): +13.0%
  • Bottom 10% Move (10th percentile): -19.2%
  • Max Historical Gain (14d): +71.8%
  • Max Historical Loss (14d): -36.4%