Finance

TAVI Move Probability $10.78 +0.03 (+0.3%)

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)
0.0%
Stock touched +5.0% ($11.32) at least once during 14 trading days.
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±0.6%
$10.72 — $10.84

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 425 historical windows (2025-01-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-1.7% to -1.4%: 6 occurrences (1.4%) -1.6% -1.4% to -1.2%: 0 occurrences (0.0%) -1.2% to -0.9%: 0 occurrences (0.0%) -0.9% to -0.7%: 0 occurrences (0.0%) -0.8% -0.7% to -0.4%: 0 occurrences (0.0%) -0.4% to -0.2%: 9 occurrences (2.1%) -0.2% to +0.1%: 175 occurrences (41.2%) -0.0% +0.1% to +0.3%: 111 occurrences (26.1%) +0.3% to +0.6%: 60 occurrences (14.1%) +0.6% to +0.9%: 34 occurrences (8.0%) 0.7% +0.9% to +1.1%: 10 occurrences (2.4%) +1.1% to +1.4%: 14 occurrences (3.3%) +1.4% to +1.6%: 0 occurrences (0.0%) 1.5% +1.6% to +1.9%: 0 occurrences (0.0%) +1.9% to +2.1%: 2 occurrences (0.5%) +2.1% to +2.4%: 4 occurrences (0.9%) 2.3%
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) 0.0% 0.0% Model-free reality across 425 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (4.46) and kurtosis (85.21).
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 (125 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 2.4%
  • Recent 20-Day HV: 1.0%
  • Parkinson Intraday Volatility: 0.4%
  • Vol Trend: Compressed (-59% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +0.8%
  • Bottom 10% Move (10th percentile): +0.0%
  • Max Historical Gain (14d): +2.4%
  • Max Historical Loss (14d): -1.7%