Finance

TACO Move Probability $10.47 +0.00 (+0.0%)

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)
2.1%
Stock touched +5.0% ($10.99) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.10x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.3%
$10.33 — $10.61

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 333 historical windows (2025-06-05 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-4.0% to -3.5%: 7 occurrences (2.1%) -3.7% -3.5% to -3.1%: 6 occurrences (1.8%) -3.1% to -2.7%: 2 occurrences (0.6%) -2.7% to -2.2%: 4 occurrences (1.2%) -2.4% -2.2% to -1.8%: 3 occurrences (0.9%) -1.8% to -1.4%: 6 occurrences (1.8%) -1.4% to -0.9%: 8 occurrences (2.4%) -1.1% -0.9% to -0.5%: 27 occurrences (8.1%) -0.5% to -0.0%: 75 occurrences (22.5%) -0.0% to +0.4%: 88 occurrences (26.4%) 0.2% +0.4% to +0.8%: 36 occurrences (10.8%) +0.8% to +1.3%: 37 occurrences (11.1%) +1.3% to +1.7%: 22 occurrences (6.6%) 1.5% +1.7% to +2.1%: 8 occurrences (2.4%) +2.1% to +2.6%: 1 occurrences (0.3%) +2.6% to +3.0%: 3 occurrences (0.9%) 2.8%
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) 2.1% 0.0% Model-free reality across 333 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (-4.3) and kurtosis (49.45).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (44 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 5.5%
  • Recent 20-Day HV: 0.7%
  • Parkinson Intraday Volatility: 2.4%
  • Vol Trend: Compressed (-87% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.3%
  • Bottom 10% Move (10th percentile): -1.0%
  • Max Historical Gain (14d): +3.0%
  • Max Historical Loss (14d): -4.0%