Finance

RPAY Move Probability $4.16 +0.09 (+2.2%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
55.1%
Stock touched +5.0% ($4.37) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
24.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.30x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.4%
$3.56 — $4.76

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%.

-35.3% to -28.8%: 6 occurrences (1.2%) -32.1% -28.8% to -22.4%: 12 occurrences (2.4%) -22.4% to -15.9%: 30 occurrences (5.9%) -15.9% to -9.5%: 73 occurrences (14.4%) -12.7% -9.5% to -3.0%: 115 occurrences (22.6%) -3.0% to +3.4%: 132 occurrences (26.0%) +3.4% to +9.9%: 58 occurrences (11.4%) 6.7% +9.9% to +16.3%: 40 occurrences (7.9%) +16.3% to +22.8%: 17 occurrences (3.3%) +22.8% to +29.3%: 13 occurrences (2.6%) 26.0% +29.3% to +35.7%: 6 occurrences (1.2%) +35.7% to +42.2%: 0 occurrences (0.0%) +42.2% to +48.6%: 1 occurrences (0.2%) 45.4% +48.6% to +55.1%: 4 occurrences (0.8%) +55.1% to +61.5%: 0 occurrences (0.0%) +61.5% to +68.0%: 1 occurrences (0.2%) 64.8%
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) 55.1% 24.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.2% Adjusts normal bell curve for real-world skewness (0.3) and kurtosis (6.4).
Standard Normal (Black-Scholes / GBM) 73.5% 36.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.4% 17.2% Filters for historical windows that started with volatility similar to current 20-day HV (215 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 61.2%
  • Recent 20-Day HV: 37.8%
  • Parkinson Intraday Volatility: 46.7%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.4%
  • Top 10% Move (90th percentile): +14.2%
  • Bottom 10% Move (10th percentile): -15.5%
  • Max Historical Gain (14d): +68.0%
  • Max Historical Loss (14d): -35.3%