Finance

RUN Move Probability $8.27 +0.78 (+10.3%)

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)
59.8%
Stock touched +5.0% ($8.68) at least once during 4 trading days.
Median first touch: Day 1 of 4
Expiration Close Probability
27.2%
Stock closed at or beyond +5.0% at the end of the 4-day window.
The Touch Multiple
2.20x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.9%
$7.19 — $9.34

Historical 4-Day Return Distribution

Frequency of rolling 4-day percentage returns over 518 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-45.2% to -38.5%: 5 occurrences (1.0%) -41.9% -38.5% to -31.9%: 8 occurrences (1.5%) -31.9% to -25.2%: 2 occurrences (0.4%) -25.2% to -18.6%: 3 occurrences (0.6%) -21.9% -18.6% to -11.9%: 20 occurrences (3.9%) -11.9% to -5.3%: 92 occurrences (17.8%) -5.3% to +1.4%: 187 occurrences (36.1%) -1.9% +1.4% to +8.0%: 104 occurrences (20.1%) +8.0% to +14.7%: 57 occurrences (11.0%) +14.7% to +21.4%: 21 occurrences (4.1%) 18.0% +21.4% to +28.0%: 9 occurrences (1.7%) +28.0% to +34.7%: 0 occurrences (0.0%) +34.7% to +41.3%: 5 occurrences (1.0%) 38.0% +41.3% to +48.0%: 2 occurrences (0.4%) +48.0% to +54.6%: 1 occurrences (0.2%) +54.6% to +61.3%: 2 occurrences (0.4%) 57.9%
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) 59.8% 27.2% Model-free reality across 518 historical 4-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.0% Adjusts normal bell curve for real-world skewness (-2.02) and kurtosis (17.59).
Standard Normal (Black-Scholes / GBM) 70.6% 35.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.2% 23.3% Filters for historical windows that started with volatility similar to current 20-day HV (331 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)

4-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +12.5%
  • Bottom 10% Move (10th percentile): -10.5%
  • Max Historical Gain (4d): +61.3%
  • Max Historical Loss (4d): -45.2%