Finance

RKLB Move Probability $53.65 +2.76 (+5.4%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
36.9%
Stock touched +5.0% ($56.33) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
18.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.7%
$50.59 — $56.71

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-14.7% to -11.7%: 5 occurrences (1.0%) -13.2% -11.7% to -8.6%: 21 occurrences (4.0%) -8.6% to -5.5%: 37 occurrences (7.1%) -5.5% to -2.5%: 82 occurrences (15.7%) -4.0% -2.5% to +0.6%: 132 occurrences (25.3%) +0.6% to +3.7%: 113 occurrences (21.7%) +3.7% to +6.7%: 68 occurrences (13.1%) 5.2% +6.7% to +9.8%: 33 occurrences (6.3%) +9.8% to +12.8%: 21 occurrences (4.0%) +12.8% to +15.9%: 4 occurrences (0.8%) 14.4% +15.9% to +19.0%: 1 occurrences (0.2%) +19.0% to +22.0%: 1 occurrences (0.2%) +22.0% to +25.1%: 0 occurrences (0.0%) 23.6% +25.1% to +28.2%: 0 occurrences (0.0%) +28.2% to +31.2%: 2 occurrences (0.4%) +31.2% to +34.3%: 1 occurrences (0.2%) 32.8%
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) 36.9% 18.4% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.0% Adjusts normal bell curve for real-world skewness (0.52) and kurtosis (2.26).
Standard Normal (Black-Scholes / GBM) 39.3% 19.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 34.9% 16.9% Filters for historical windows that started with volatility similar to current 20-day HV (249 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 90.6%
  • Recent 20-Day HV: 64.3%
  • Parkinson Intraday Volatility: 77.3%
  • Vol Trend: Compressed (-29% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +7.4%
  • Bottom 10% Move (10th percentile): -6.6%
  • Max Historical Gain (1d): +34.3%
  • Max Historical Loss (1d): -14.7%