Finance

TACT Move Probability $5.17 +0.58 (+12.5%)

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)
44.1%
Stock touched +5.0% ($5.43) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
23.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.85x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.9%
$4.61 — $5.74

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%.

-16.5% to -12.9%: 20 occurrences (3.9%) -14.7% -12.9% to -9.3%: 45 occurrences (8.9%) -9.3% to -5.7%: 71 occurrences (14.0%) -5.7% to -2.2%: 80 occurrences (15.7%) -4.0% -2.2% to +1.4%: 93 occurrences (18.3%) +1.4% to +5.0%: 77 occurrences (15.2%) +5.0% to +8.5%: 40 occurrences (7.9%) 6.8% +8.5% to +12.1%: 31 occurrences (6.1%) +12.1% to +15.7%: 20 occurrences (3.9%) +15.7% to +19.2%: 8 occurrences (1.6%) 17.5% +19.2% to +22.8%: 9 occurrences (1.8%) +22.8% to +26.4%: 2 occurrences (0.4%) +26.4% to +30.0%: 3 occurrences (0.6%) 28.2% +30.0% to +33.5%: 5 occurrences (1.0%) +33.5% to +37.1%: 2 occurrences (0.4%) +37.1% to +40.7%: 2 occurrences (0.4%) 38.9%
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) 44.1% 23.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.4% Adjusts normal bell curve for real-world skewness (0.46) and kurtosis (5.59).
Standard Normal (Black-Scholes / GBM) 65.3% 32.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 43.0% 15.8% Filters for historical windows that started with volatility similar to current 20-day HV (221 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 46.1%
  • Recent 20-Day HV: 61.0%
  • Parkinson Intraday Volatility: 18.5%
  • Vol Trend: Expanded (+32% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +11.7%
  • Bottom 10% Move (10th percentile): -9.8%
  • Max Historical Gain (14d): +40.7%
  • Max Historical Loss (14d): -16.5%