Finance

TCBS Move Probability $17.00 +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)
16.8%
Stock touched +5.0% ($17.85) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
5.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.27x
You are 3.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.8%
$16.35 — $17.65

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-8.1% to -6.6%: 8 occurrences (1.6%) -7.4% -6.6% to -5.1%: 10 occurrences (2.0%) -5.1% to -3.6%: 13 occurrences (2.6%) -3.6% to -2.1%: 55 occurrences (10.8%) -2.9% -2.1% to -0.7%: 48 occurrences (9.5%) -0.7% to +0.8%: 185 occurrences (36.5%) +0.8% to +2.3%: 75 occurrences (14.8%) 1.6% +2.3% to +3.8%: 62 occurrences (12.2%) +3.8% to +5.3%: 25 occurrences (4.9%) +5.3% to +6.8%: 4 occurrences (0.8%) 6.1% +6.8% to +8.3%: 10 occurrences (2.0%) +8.3% to +9.8%: 6 occurrences (1.2%) +9.8% to +11.3%: 2 occurrences (0.4%) 10.6% +11.3% to +12.8%: 0 occurrences (0.0%) +12.8% to +14.3%: 0 occurrences (0.0%) +14.3% to +15.8%: 4 occurrences (0.8%) 15.1%
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) 16.8% 5.1% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (-0.6) and kurtosis (34.01).
Standard Normal (Black-Scholes / GBM) 20.3% 10.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 36.0% 13.5% Filters for historical windows that started with volatility similar to current 20-day HV (111 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 16.2%
  • Recent 20-Day HV: 7.7%
  • Parkinson Intraday Volatility: 4.7%
  • Vol Trend: Compressed (-53% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +3.8%
  • Bottom 10% Move (10th percentile): -3.4%
  • Max Historical Gain (14d): +15.8%
  • Max Historical Loss (14d): -8.1%