Finance

RLAY Move Probability $18.42 -0.03 (-0.2%)

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)
78.5%
Stock touched +5.0% ($19.34) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
42.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.84x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.2%
$15.44 — $21.40

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%.

-42.9% to -35.5%: 4 occurrences (0.8%) -39.2% -35.5% to -28.1%: 2 occurrences (0.4%) -28.1% to -20.6%: 20 occurrences (3.9%) -20.6% to -13.2%: 37 occurrences (7.3%) -16.9% -13.2% to -5.8%: 87 occurrences (17.1%) -5.8% to +1.6%: 104 occurrences (20.5%) +1.6% to +9.0%: 80 occurrences (15.7%) 5.3% +9.0% to +16.4%: 68 occurrences (13.4%) +16.4% to +23.8%: 49 occurrences (9.6%) +23.8% to +31.2%: 21 occurrences (4.1%) 27.5% +31.2% to +38.6%: 13 occurrences (2.6%) +38.6% to +46.0%: 7 occurrences (1.4%) +46.0% to +53.4%: 5 occurrences (1.0%) 49.7% +53.4% to +60.8%: 7 occurrences (1.4%) +60.8% to +68.2%: 1 occurrences (0.2%) +68.2% to +75.6%: 3 occurrences (0.6%) 71.9%
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) 78.5% 42.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.7% Adjusts normal bell curve for real-world skewness (0.27) and kurtosis (1.52).
Standard Normal (Black-Scholes / GBM) 76.3% 38.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 81.9% 45.6% Filters for historical windows that started with volatility similar to current 20-day HV (320 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 68.6%
  • Recent 20-Day HV: 54.3%
  • Parkinson Intraday Volatility: 67.6%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +25.9%
  • Bottom 10% Move (10th percentile): -14.3%
  • Max Historical Gain (14d): +75.6%
  • Max Historical Loss (14d): -42.9%