Finance

RL Move Probability $381.92 +1.41 (+0.4%)

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)
59.5%
Stock touched +5.0% ($401.01) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
38.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.56x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.8%
$348.42 — $415.41

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-24.0% to -20.8%: 4 occurrences (0.8%) -22.4% -20.8% to -17.6%: 5 occurrences (1.0%) -17.6% to -14.4%: 5 occurrences (1.0%) -14.4% to -11.3%: 11 occurrences (2.2%) -12.8% -11.3% to -8.1%: 30 occurrences (5.9%) -8.1% to -4.9%: 33 occurrences (6.5%) -4.9% to -1.7%: 64 occurrences (12.6%) -3.3% -1.7% to +1.5%: 74 occurrences (14.5%) +1.5% to +4.6%: 80 occurrences (15.7%) +4.6% to +7.8%: 89 occurrences (17.5%) 6.2% +7.8% to +11.0%: 56 occurrences (11.0%) +11.0% to +14.2%: 26 occurrences (5.1%) +14.2% to +17.3%: 11 occurrences (2.2%) 15.7% +17.3% to +20.5%: 8 occurrences (1.6%) +20.5% to +23.7%: 8 occurrences (1.6%) +23.7% to +26.9%: 5 occurrences (1.0%) 25.3%
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) 59.5% 38.1% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.4% Adjusts normal bell curve for real-world skewness (-0.16) and kurtosis (9.91).
Standard Normal (Black-Scholes / GBM) 57.8% 28.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.8% 42.6% Filters for historical windows that started with volatility similar to current 20-day HV (188 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.2%
  • Recent 20-Day HV: 21.2%
  • Parkinson Intraday Volatility: 27.9%
  • Vol Trend: Compressed (-43% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.4%
  • Top 10% Move (90th percentile): +11.3%
  • Bottom 10% Move (10th percentile): -8.2%
  • Max Historical Gain (14d): +26.9%
  • Max Historical Loss (14d): -24.0%