Finance

RITM Move Probability $9.24 +0.58 (+6.6%)

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)
28.0%
Stock touched +5.0% ($9.70) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
16.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.66x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.7%
$8.71 — $9.77

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-15.7% to -13.6%: 3 occurrences (0.6%) -14.7% -13.6% to -11.6%: 8 occurrences (1.6%) -11.6% to -9.6%: 11 occurrences (2.2%) -9.6% to -7.5%: 33 occurrences (6.5%) -8.6% -7.5% to -5.5%: 32 occurrences (6.3%) -5.5% to -3.5%: 43 occurrences (8.4%) -3.5% to -1.4%: 66 occurrences (12.9%) -2.4% -1.4% to +0.6%: 74 occurrences (14.5%) +0.6% to +2.6%: 81 occurrences (15.9%) +2.6% to +4.7%: 63 occurrences (12.4%) 3.7% +4.7% to +6.7%: 41 occurrences (8.0%) +6.7% to +8.7%: 20 occurrences (3.9%) +8.7% to +10.8%: 13 occurrences (2.5%) 9.8% +10.8% to +12.8%: 9 occurrences (1.8%) +12.8% to +14.9%: 10 occurrences (2.0%) +14.9% to +16.9%: 3 occurrences (0.6%) 15.9%
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) 28.0% 16.9% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.7% Adjusts normal bell curve for real-world skewness (-0.54) and kurtosis (4.84).
Standard Normal (Black-Scholes / GBM) 39.6% 19.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 22.1% 15.4% Filters for historical windows that started with volatility similar to current 20-day HV (136 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.4%
  • Recent 20-Day HV: 35.4%
  • Parkinson Intraday Volatility: 21.0%
  • Vol Trend: Expanded (+45% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +6.9%
  • Bottom 10% Move (10th percentile): -7.6%
  • Max Historical Gain (14d): +16.9%
  • Max Historical Loss (14d): -15.7%