Finance

RWM Move Probability $14.51 -0.04 (-0.3%)

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)
21.5%
Stock touched +5.0% ($15.23) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
11.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.91x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$13.79 — $15.22

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%.

-13.6% to -11.7%: 2 occurrences (0.4%) -12.6% -11.7% to -9.7%: 2 occurrences (0.4%) -9.7% to -7.8%: 15 occurrences (3.0%) -7.8% to -5.8%: 34 occurrences (6.7%) -6.8% -5.8% to -3.9%: 47 occurrences (9.3%) -3.9% to -2.0%: 98 occurrences (19.3%) -2.0% to -0.0%: 103 occurrences (20.3%) -1.0% -0.0% to +1.9%: 84 occurrences (16.5%) +1.9% to +3.9%: 39 occurrences (7.7%) +3.9% to +5.8%: 45 occurrences (8.9%) 4.8% +5.8% to +7.8%: 15 occurrences (3.0%) +7.8% to +9.7%: 11 occurrences (2.2%) +9.7% to +11.6%: 6 occurrences (1.2%) 10.7% +11.6% to +13.6%: 6 occurrences (1.2%) +13.6% to +15.5%: 0 occurrences (0.0%) +15.5% to +17.5%: 1 occurrences (0.2%) 16.5%
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) 21.5% 11.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.0% Adjusts normal bell curve for real-world skewness (-0.45) and kurtosis (5.28).
Standard Normal (Black-Scholes / GBM) 32.5% 16.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 21.6% 9.7% Filters for historical windows that started with volatility similar to current 20-day HV (259 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.0%
  • Recent 20-Day HV: 14.6%
  • Parkinson Intraday Volatility: 16.2%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +5.2%
  • Bottom 10% Move (10th percentile): -5.9%
  • Max Historical Gain (14d): +17.5%
  • Max Historical Loss (14d): -13.6%