Finance

REFI Move Probability $9.15 +0.04 (+0.4%)

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)
18.5%
Stock touched +5.0% ($9.61) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
9.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.96x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$8.69 — $9.61

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%.

-14.2% to -12.7%: 1 occurrences (0.2%) -13.5% -12.7% to -11.1%: 0 occurrences (0.0%) -11.1% to -9.6%: 7 occurrences (1.4%) -9.6% to -8.0%: 11 occurrences (2.2%) -8.8% -8.0% to -6.5%: 19 occurrences (3.7%) -6.5% to -4.9%: 36 occurrences (7.1%) -4.9% to -3.4%: 57 occurrences (11.2%) -4.2% -3.4% to -1.8%: 58 occurrences (11.4%) -1.8% to -0.3%: 66 occurrences (13.0%) -0.3% to +1.3%: 74 occurrences (14.6%) 0.5% +1.3% to +2.8%: 62 occurrences (12.2%) +2.8% to +4.4%: 56 occurrences (11.0%) +4.4% to +5.9%: 25 occurrences (4.9%) 5.1% +5.9% to +7.5%: 15 occurrences (3.0%) +7.5% to +9.0%: 15 occurrences (3.0%) +9.0% to +10.6%: 6 occurrences (1.2%) 9.8%
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) 18.5% 9.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.5% Adjusts normal bell curve for real-world skewness (-0.55) and kurtosis (3.04).
Standard Normal (Black-Scholes / GBM) 32.9% 16.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.6% 10.3% Filters for historical windows that started with volatility similar to current 20-day HV (175 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.2%
  • Recent 20-Day HV: 32.8%
  • Parkinson Intraday Volatility: 14.3%
  • Vol Trend: Expanded (+55% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +4.9%
  • Bottom 10% Move (10th percentile): -5.8%
  • Max Historical Gain (14d): +10.6%
  • Max Historical Loss (14d): -14.2%