Finance

REZI Move Probability $17.47 +0.41 (+2.4%)

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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Touch Probability (First Passage)
63.2%
Stock touched +5.0% ($18.34) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
38.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.64x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.7%
$15.25 — $19.69

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%.

-33.0% to -28.5%: 10 occurrences (2.0%) -30.8% -28.5% to -24.0%: 15 occurrences (3.0%) -24.0% to -19.4%: 11 occurrences (2.2%) -19.4% to -14.9%: 20 occurrences (3.9%) -17.1% -14.9% to -10.3%: 34 occurrences (6.7%) -10.3% to -5.8%: 40 occurrences (7.9%) -5.8% to -1.2%: 69 occurrences (13.6%) -3.5% -1.2% to +3.3%: 85 occurrences (16.7%) +3.3% to +7.8%: 79 occurrences (15.6%) +7.8% to +12.4%: 43 occurrences (8.5%) 10.1% +12.4% to +16.9%: 45 occurrences (8.9%) +16.9% to +21.5%: 19 occurrences (3.7%) +21.5% to +26.0%: 15 occurrences (3.0%) 23.8% +26.0% to +30.6%: 13 occurrences (2.6%) +30.6% to +35.1%: 7 occurrences (1.4%) +35.1% to +39.7%: 3 occurrences (0.6%) 37.4%
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) 63.2% 38.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.1% Adjusts normal bell curve for real-world skewness (-1.6) and kurtosis (14.77).
Standard Normal (Black-Scholes / GBM) 70.1% 35.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.1% 34.2% Filters for historical windows that started with volatility similar to current 20-day HV (272 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 53.8%
  • Recent 20-Day HV: 36.4%
  • Parkinson Intraday Volatility: 35.0%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +17.9%
  • Bottom 10% Move (10th percentile): -15.6%
  • Max Historical Gain (14d): +39.7%
  • Max Historical Loss (14d): -33.0%