Finance

REEMF Move Probability $0.83 -0.01 (-1.4%)

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)
76.2%
Stock touched +5.0% ($0.87) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
38.4%
Stock closed at or beyond +5.0% at the end of the 14-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%)
±26.3%
$0.61 — $1.04

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-43.3% to -25.5%: 45 occurrences (9.2%) -34.4% -25.5% to -7.7%: 137 occurrences (28.1%) -7.7% to +10.1%: 164 occurrences (33.7%) +10.1% to +27.9%: 66 occurrences (13.6%) 19.0% +27.9% to +45.7%: 31 occurrences (6.4%) +45.7% to +63.5%: 16 occurrences (3.3%) +63.5% to +81.3%: 4 occurrences (0.8%) 72.4% +81.3% to +99.1%: 8 occurrences (1.6%) +99.1% to +116.9%: 4 occurrences (0.8%) +116.9% to +134.7%: 1 occurrences (0.2%) 125.8% +134.7% to +152.5%: 3 occurrences (0.6%) +152.5% to +170.3%: 1 occurrences (0.2%) +170.3% to +188.1%: 1 occurrences (0.2%) 179.2% +188.1% to +205.9%: 1 occurrences (0.2%) +205.9% to +223.7%: 2 occurrences (0.4%) +223.7% to +241.5%: 3 occurrences (0.6%) 232.6%
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) 76.2% 38.4% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.0% Adjusts normal bell curve for real-world skewness (1.25) and kurtosis (10.27).
Standard Normal (Black-Scholes / GBM) 85.3% 42.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.0% 45.4% Filters for historical windows that started with volatility similar to current 20-day HV (273 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 111.6%
  • Recent 20-Day HV: 104.1%
  • Parkinson Intraday Volatility: 112.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +41.4%
  • Bottom 10% Move (10th percentile): -24.5%
  • Max Historical Gain (14d): +241.5%
  • Max Historical Loss (14d): -43.3%