Finance

TASK Move Probability $8.55 +0.15 (+1.8%)

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)
50.8%
Stock touched +5.0% ($8.98) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.6%
Stock closed at or beyond +5.0% at the end of the 14-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%)
±12.9%
$7.45 — $9.65

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%.

-27.4% to -22.1%: 12 occurrences (2.4%) -24.8% -22.1% to -16.9%: 14 occurrences (2.8%) -16.9% to -11.6%: 31 occurrences (6.1%) -11.6% to -6.4%: 54 occurrences (10.6%) -9.0% -6.4% to -1.1%: 101 occurrences (19.9%) -1.1% to +4.1%: 158 occurrences (31.1%) +4.1% to +9.4%: 49 occurrences (9.6%) 6.7% +9.4% to +14.6%: 33 occurrences (6.5%) +14.6% to +19.9%: 19 occurrences (3.7%) +19.9% to +25.1%: 21 occurrences (4.1%) 22.5% +25.1% to +30.4%: 10 occurrences (2.0%) +30.4% to +35.6%: 4 occurrences (0.8%) +35.6% to +40.9%: 1 occurrences (0.2%) 38.2% +40.9% to +46.1%: 0 occurrences (0.0%) +46.1% to +51.4%: 0 occurrences (0.0%) +51.4% to +56.6%: 1 occurrences (0.2%) 54.0%
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) 50.8% 25.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.6% Adjusts normal bell curve for real-world skewness (0.25) and kurtosis (9.04).
Standard Normal (Black-Scholes / GBM) 70.5% 35.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.9% 26.6% Filters for historical windows that started with volatility similar to current 20-day HV (229 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 54.6%
  • Recent 20-Day HV: 44.0%
  • Parkinson Intraday Volatility: 40.8%
  • Vol Trend: Compressed (-19% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +16.3%
  • Bottom 10% Move (10th percentile): -12.7%
  • Max Historical Gain (14d): +56.6%
  • Max Historical Loss (14d): -27.4%