Finance

SPOT Move Probability $575.47 +50.48 (+9.6%)

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)
59.5%
Stock touched +5.0% ($604.24) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
32.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.6%
$514.48 — $636.46

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-22.5% to -18.9%: 7 occurrences (1.4%) -20.7% -18.9% to -15.4%: 12 occurrences (2.4%) -15.4% to -11.8%: 18 occurrences (3.5%) -11.8% to -8.3%: 41 occurrences (8.1%) -10.1% -8.3% to -4.7%: 69 occurrences (13.6%) -4.7% to -1.2%: 63 occurrences (12.4%) -1.2% to +2.3%: 78 occurrences (15.3%) 0.6% +2.3% to +5.9%: 72 occurrences (14.1%) +5.9% to +9.4%: 50 occurrences (9.8%) +9.4% to +13.0%: 35 occurrences (6.9%) 11.2% +13.0% to +16.5%: 21 occurrences (4.1%) +16.5% to +20.0%: 16 occurrences (3.1%) +20.0% to +23.6%: 11 occurrences (2.2%) 21.8% +23.6% to +27.1%: 10 occurrences (2.0%) +27.1% to +30.7%: 4 occurrences (0.8%) +30.7% to +34.2%: 2 occurrences (0.4%) 32.4%
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) 59.5% 32.0% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.3% Adjusts normal bell curve for real-world skewness (0.1) and kurtosis (4.19).
Standard Normal (Black-Scholes / GBM) 64.5% 32.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.3% 34.0% Filters for historical windows that started with volatility similar to current 20-day HV (335 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.0%
  • Recent 20-Day HV: 44.7%
  • Parkinson Intraday Volatility: 36.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +15.3%
  • Bottom 10% Move (10th percentile): -10.4%
  • Max Historical Gain (14d): +34.2%
  • Max Historical Loss (14d): -22.5%