Finance

RXT Move Probability $2.90 +0.19 (+6.8%)

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)
30.3%
Stock touched +5.0% ($3.04) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
15.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.6%
$2.50 — $3.29

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-20.3% to +29.9%: 512 occurrences (98.3%) 4.8% +29.9% to +80.1%: 6 occurrences (1.2%) +80.1% to +130.3%: 1 occurrences (0.2%) +130.3% to +180.5%: 0 occurrences (0.0%) 155.4% +180.5% to +230.7%: 0 occurrences (0.0%) +230.7% to +280.9%: 1 occurrences (0.2%) +280.9% to +331.1%: 0 occurrences (0.0%) 306.0% +331.1% to +381.3%: 0 occurrences (0.0%) +381.3% to +431.6%: 0 occurrences (0.0%) +431.6% to +481.8%: 0 occurrences (0.0%) 456.7% +481.8% to +532.0%: 0 occurrences (0.0%) +532.0% to +582.2%: 0 occurrences (0.0%) +582.2% to +632.4%: 0 occurrences (0.0%) 607.3% +632.4% to +682.6%: 0 occurrences (0.0%) +682.6% to +732.8%: 0 occurrences (0.0%) +732.8% to +783.0%: 1 occurrences (0.2%) 757.9%
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) 30.3% 15.4% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (9.74) and kurtosis (135.45).
Standard Normal (Black-Scholes / GBM) 72.1% 36.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.4% 11.3% Filters for historical windows that started with volatility similar to current 20-day HV (291 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 216.5%
  • Recent 20-Day HV: 98.2%
  • Parkinson Intraday Volatility: 103.2%
  • Vol Trend: Compressed (-55% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -6.9%
  • Max Historical Gain (1d): +783.0%
  • Max Historical Loss (1d): -20.3%