Finance

T Move Probability $21.91 -1.55 (-6.6%)

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)
33.5%
Stock touched +5.0% ($23.01) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
18.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.83x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.0%
$20.60 — $23.23

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%.

-12.6% to -10.3%: 10 occurrences (2.0%) -11.4% -10.3% to -7.9%: 24 occurrences (4.7%) -7.9% to -5.6%: 33 occurrences (6.5%) -5.6% to -3.2%: 57 occurrences (11.2%) -4.4% -3.2% to -0.8%: 88 occurrences (17.3%) -0.8% to +1.5%: 85 occurrences (16.7%) +1.5% to +3.9%: 93 occurrences (18.3%) 2.7% +3.9% to +6.2%: 45 occurrences (8.9%) +6.2% to +8.6%: 22 occurrences (4.3%) +8.6% to +10.9%: 22 occurrences (4.3%) 9.7% +10.9% to +13.3%: 13 occurrences (2.6%) +13.3% to +15.6%: 7 occurrences (1.4%) +15.6% to +18.0%: 3 occurrences (0.6%) 16.8% +18.0% to +20.3%: 2 occurrences (0.4%) +20.3% to +22.7%: 3 occurrences (0.6%) +22.7% to +25.0%: 1 occurrences (0.2%) 23.9%
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) 33.5% 18.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.0% Adjusts normal bell curve for real-world skewness (-0.88) and kurtosis (5.33).
Standard Normal (Black-Scholes / GBM) 41.5% 20.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.1% 48.1% Filters for historical windows that started with volatility similar to current 20-day HV (77 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.4%
  • Recent 20-Day HV: 47.4%
  • Parkinson Intraday Volatility: 21.7%
  • Vol Trend: Expanded (+87% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +8.5%
  • Bottom 10% Move (10th percentile): -6.5%
  • Max Historical Gain (14d): +25.0%
  • Max Historical Loss (14d): -12.6%