Finance

REG Move Probability $72.23 -0.94 (-1.3%)

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)
16.7%
Stock touched +5.0% ($75.84) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
6.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.50x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.2%
$69.23 — $75.23

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%.

-9.1% to -8.0%: 1 occurrences (0.2%) -8.5% -8.0% to -6.8%: 7 occurrences (1.4%) -6.8% to -5.6%: 6 occurrences (1.2%) -5.6% to -4.4%: 21 occurrences (4.1%) -5.0% -4.4% to -3.2%: 37 occurrences (7.3%) -3.2% to -2.0%: 50 occurrences (9.8%) -2.0% to -0.9%: 56 occurrences (11.0%) -1.4% -0.9% to +0.3%: 71 occurrences (14.0%) +0.3% to +1.5%: 84 occurrences (16.5%) +1.5% to +2.7%: 66 occurrences (13.0%) 2.1% +2.7% to +3.9%: 49 occurrences (9.6%) +3.9% to +5.1%: 27 occurrences (5.3%) +5.1% to +6.2%: 14 occurrences (2.8%) 5.7% +6.2% to +7.4%: 9 occurrences (1.8%) +7.4% to +8.6%: 8 occurrences (1.6%) +8.6% to +9.8%: 2 occurrences (0.4%) 9.2%
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) 16.7% 6.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.4% Adjusts normal bell curve for real-world skewness (-0.03) and kurtosis (2.52).
Standard Normal (Black-Scholes / GBM) 24.0% 12.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 17.7% 9.2% Filters for historical windows that started with volatility similar to current 20-day HV (293 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 17.6%
  • Recent 20-Day HV: 12.9%
  • Parkinson Intraday Volatility: 15.8%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +4.3%
  • Bottom 10% Move (10th percentile): -3.8%
  • Max Historical Gain (14d): +9.8%
  • Max Historical Loss (14d): -9.1%