Finance

RSCF Move Probability $0.06 +0.01 (+10.4%)

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)
49.5%
Stock touched +5.0% ($0.07) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
26.9%
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%)
±32.0%
$0.04 — $0.08

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-37.5% to -31.4%: 7 occurrences (1.4%) -34.5% -31.4% to -25.3%: 1 occurrences (0.2%) -25.3% to -19.2%: 73 occurrences (15.0%) -19.2% to -13.1%: 41 occurrences (8.4%) -16.2% -13.1% to -7.0%: 7 occurrences (1.4%) -7.0% to -0.9%: 0 occurrences (0.0%) -0.9% to +5.2%: 227 occurrences (46.6%) 2.1% +5.2% to +11.2%: 0 occurrences (0.0%) +11.2% to +17.3%: 14 occurrences (2.9%) +17.3% to +23.4%: 37 occurrences (7.6%) 20.4% +23.4% to +29.5%: 64 occurrences (13.1%) +29.5% to +35.6%: 3 occurrences (0.6%) +35.6% to +41.7%: 0 occurrences (0.0%) 38.7% +41.7% to +47.8%: 0 occurrences (0.0%) +47.8% to +53.9%: 9 occurrences (1.8%) +53.9% to +60.0%: 4 occurrences (0.8%) 57.0%
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) 49.5% 26.9% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 40.4% Adjusts normal bell curve for real-world skewness (0.17) and kurtosis (3.42).
Standard Normal (Black-Scholes / GBM) 87.9% 43.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.0% 15.5% Filters for historical windows that started with volatility similar to current 20-day HV (187 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 135.6%
  • Recent 20-Day HV: 93.9%
  • Parkinson Intraday Volatility: 118.1%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +25.0%
  • Bottom 10% Move (10th percentile): -20.0%
  • Max Historical Gain (14d): +60.0%
  • Max Historical Loss (14d): -37.5%