Finance

TDW Move Probability $81.33 +0.67 (+0.8%)

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)
63.4%
Stock touched +5.0% ($85.40) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
34.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.82x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.6%
$71.08 — $91.58

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%.

-27.3% to -23.3%: 6 occurrences (1.2%) -25.3% -23.3% to -19.3%: 15 occurrences (3.0%) -19.3% to -15.4%: 5 occurrences (1.0%) -15.4% to -11.4%: 49 occurrences (9.6%) -13.4% -11.4% to -7.4%: 58 occurrences (11.4%) -7.4% to -3.4%: 64 occurrences (12.6%) -3.4% to +0.6%: 58 occurrences (11.4%) -1.4% +0.6% to +4.6%: 72 occurrences (14.2%) +4.6% to +8.5%: 37 occurrences (7.3%) +8.5% to +12.5%: 46 occurrences (9.1%) 10.5% +12.5% to +16.5%: 46 occurrences (9.1%) +16.5% to +20.5%: 28 occurrences (5.5%) +20.5% to +24.5%: 11 occurrences (2.2%) 22.5% +24.5% to +28.5%: 9 occurrences (1.8%) +28.5% to +32.4%: 2 occurrences (0.4%) +32.4% to +36.4%: 2 occurrences (0.4%) 34.4%
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) 63.4% 34.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.9% Adjusts normal bell curve for real-world skewness (0.79) and kurtosis (8.24).
Standard Normal (Black-Scholes / GBM) 69.9% 34.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.9% 32.1% Filters for historical windows that started with volatility similar to current 20-day HV (209 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 53.5%
  • Recent 20-Day HV: 32.8%
  • Parkinson Intraday Volatility: 40.4%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +16.6%
  • Bottom 10% Move (10th percentile): -13.0%
  • Max Historical Gain (14d): +36.4%
  • Max Historical Loss (14d): -27.3%