Finance

REI Move Probability $1.34 -0.03 (-2.5%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to REI Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
69.9%
Stock touched +5.0% ($1.41) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.11x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.5%
$1.15 — $1.54

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%.

-35.0% to -29.6%: 6 occurrences (1.2%) -32.3% -29.6% to -24.3%: 8 occurrences (1.6%) -24.3% to -18.9%: 17 occurrences (3.3%) -18.9% to -13.5%: 39 occurrences (7.7%) -16.2% -13.5% to -8.1%: 68 occurrences (13.4%) -8.1% to -2.8%: 80 occurrences (15.7%) -2.8% to +2.6%: 86 occurrences (16.9%) -0.1% +2.6% to +8.0%: 76 occurrences (15.0%) +8.0% to +13.3%: 48 occurrences (9.4%) +13.3% to +18.7%: 34 occurrences (6.7%) 16.0% +18.7% to +24.1%: 21 occurrences (4.1%) +24.1% to +29.5%: 9 occurrences (1.8%) +29.5% to +34.8%: 5 occurrences (1.0%) 32.2% +34.8% to +40.2%: 6 occurrences (1.2%) +40.2% to +45.6%: 2 occurrences (0.4%) +45.6% to +51.0%: 3 occurrences (0.6%) 48.3%
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) 69.9% 33.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.8% Adjusts normal bell curve for real-world skewness (-1.5) and kurtosis (11.29).
Standard Normal (Black-Scholes / GBM) 73.6% 36.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.8% 33.5% Filters for historical windows that started with volatility similar to current 20-day HV (161 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 61.3%
  • Recent 20-Day HV: 34.6%
  • Parkinson Intraday Volatility: 47.5%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +17.4%
  • Bottom 10% Move (10th percentile): -14.9%
  • Max Historical Gain (14d): +51.0%
  • Max Historical Loss (14d): -35.0%