Finance

RUN Move Probability $8.20 +0.71 (+9.4%)

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)
76.2%
Stock touched +5.0% ($8.60) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
29.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.60x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.2%
$6.21 — $10.18

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-44.2% to -36.1%: 11 occurrences (2.2%) -40.2% -36.1% to -28.1%: 16 occurrences (3.1%) -28.1% to -20.1%: 22 occurrences (4.3%) -20.1% to -12.1%: 70 occurrences (13.8%) -16.1% -12.1% to -4.0%: 113 occurrences (22.2%) -4.0% to +4.0%: 115 occurrences (22.6%) +4.0% to +12.0%: 80 occurrences (15.7%) 8.0% +12.0% to +20.0%: 32 occurrences (6.3%) +20.0% to +28.1%: 13 occurrences (2.6%) +28.1% to +36.1%: 7 occurrences (1.4%) 32.1% +36.1% to +44.1%: 7 occurrences (1.4%) +44.1% to +52.2%: 7 occurrences (1.4%) +52.2% to +60.2%: 3 occurrences (0.6%) 56.2% +60.2% to +68.2%: 5 occurrences (1.0%) +68.2% to +76.2%: 2 occurrences (0.4%) +76.2% to +84.3%: 5 occurrences (1.0%) 80.2%
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) 76.2% 29.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 42.0% Adjusts normal bell curve for real-world skewness (-2.02) and kurtosis (17.59).
Standard Normal (Black-Scholes / GBM) 84.0% 42.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.1% 23.1% Filters for historical windows that started with volatility similar to current 20-day HV (321 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 102.8%
  • Recent 20-Day HV: 67.3%
  • Parkinson Intraday Volatility: 74.5%
  • Vol Trend: Compressed (-35% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.5%
  • Top 10% Move (90th percentile): +19.1%
  • Bottom 10% Move (10th percentile): -19.6%
  • Max Historical Gain (14d): +84.3%
  • Max Historical Loss (14d): -44.2%