Finance

TCPC Move Probability $4.10 +0.04 (+1.0%)

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)
40.3%
Stock touched +5.0% ($4.30) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
21.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.90x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.2%
$3.76 — $4.44

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-21.5% to -18.1%: 10 occurrences (2.0%) -19.8% -18.1% to -14.7%: 23 occurrences (4.5%) -14.7% to -11.3%: 25 occurrences (4.9%) -11.3% to -7.9%: 45 occurrences (8.8%) -9.6% -7.9% to -4.5%: 49 occurrences (9.6%) -4.5% to -1.1%: 70 occurrences (13.8%) -1.1% to +2.3%: 108 occurrences (21.2%) 0.6% +2.3% to +5.7%: 84 occurrences (16.5%) +5.7% to +9.1%: 47 occurrences (9.2%) +9.1% to +12.5%: 19 occurrences (3.7%) 10.8% +12.5% to +15.9%: 5 occurrences (1.0%) +15.9% to +19.3%: 10 occurrences (2.0%) +19.3% to +22.7%: 4 occurrences (0.8%) 21.0% +22.7% to +26.1%: 5 occurrences (1.0%) +26.1% to +29.5%: 4 occurrences (0.8%) +29.5% to +32.9%: 1 occurrences (0.2%) 31.2%
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) 40.3% 21.2% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.1% Adjusts normal bell curve for real-world skewness (-0.48) and kurtosis (7.05).
Standard Normal (Black-Scholes / GBM) 55.1% 27.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.6% 16.4% Filters for historical windows that started with volatility similar to current 20-day HV (250 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.7%
  • Recent 20-Day HV: 23.8%
  • Parkinson Intraday Volatility: 25.3%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +8.7%
  • Bottom 10% Move (10th percentile): -11.8%
  • Max Historical Gain (14d): +32.9%
  • Max Historical Loss (14d): -21.5%