Finance

RGA Move Probability $269.33 +1.96 (+0.7%)

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)
35.6%
Stock touched +5.0% ($282.80) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
21.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.65x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.2%
$252.61 — $286.05

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%.

-16.6% to -14.5%: 2 occurrences (0.4%) -15.5% -14.5% to -12.5%: 3 occurrences (0.6%) -12.5% to -10.5%: 11 occurrences (2.2%) -10.5% to -8.5%: 13 occurrences (2.6%) -9.5% -8.5% to -6.5%: 21 occurrences (4.1%) -6.5% to -4.4%: 26 occurrences (5.1%) -4.4% to -2.4%: 66 occurrences (13.0%) -3.4% -2.4% to -0.4%: 81 occurrences (15.9%) -0.4% to +1.6%: 67 occurrences (13.2%) +1.6% to +3.6%: 71 occurrences (14.0%) 2.6% +3.6% to +5.7%: 51 occurrences (10.0%) +5.7% to +7.7%: 40 occurrences (7.9%) +7.7% to +9.7%: 25 occurrences (4.9%) 8.7% +9.7% to +11.7%: 13 occurrences (2.6%) +11.7% to +13.7%: 13 occurrences (2.6%) +13.7% to +15.8%: 5 occurrences (1.0%) 14.7%
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) 35.6% 21.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.0% Adjusts normal bell curve for real-world skewness (-0.36) and kurtosis (6.79).
Standard Normal (Black-Scholes / GBM) 43.2% 21.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.1% 20.6% Filters for historical windows that started with volatility similar to current 20-day HV (296 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 26.3%
  • Recent 20-Day HV: 17.6%
  • Parkinson Intraday Volatility: 19.1%
  • Vol Trend: Compressed (-33% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +8.4%
  • Bottom 10% Move (10th percentile): -6.1%
  • Max Historical Gain (14d): +15.8%
  • Max Historical Loss (14d): -16.6%