Finance

TEAD Move Probability $0.38 -0.02 (-4.5%)

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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Touch Probability (First Passage)
65.0%
Stock touched +5.0% ($0.40) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
31.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.05x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.5%
$0.29 — $0.47

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%.

-57.6% to -50.4%: 9 occurrences (1.8%) -54.0% -50.4% to -43.3%: 3 occurrences (0.6%) -43.3% to -36.1%: 12 occurrences (2.4%) -36.1% to -29.0%: 31 occurrences (6.1%) -32.5% -29.0% to -21.8%: 38 occurrences (7.5%) -21.8% to -14.6%: 35 occurrences (6.9%) -14.6% to -7.5%: 77 occurrences (15.2%) -11.1% -7.5% to -0.3%: 94 occurrences (18.5%) -0.3% to +6.8%: 60 occurrences (11.8%) +6.8% to +14.0%: 61 occurrences (12.0%) 10.4% +14.0% to +21.2%: 41 occurrences (8.1%) +21.2% to +28.3%: 18 occurrences (3.5%) +28.3% to +35.5%: 15 occurrences (3.0%) 31.9% +35.5% to +42.6%: 10 occurrences (2.0%) +42.6% to +49.8%: 3 occurrences (0.6%) +49.8% to +57.0%: 1 occurrences (0.2%) 53.4%
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) 65.0% 31.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.0% Adjusts normal bell curve for real-world skewness (-1.59) and kurtosis (18.58).
Standard Normal (Black-Scholes / GBM) 83.5% 41.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.0% 26.3% Filters for historical windows that started with volatility similar to current 20-day HV (262 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 99.6%
  • Recent 20-Day HV: 93.3%
  • Parkinson Intraday Volatility: 73.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -4.6%
  • Top 10% Move (90th percentile): +20.3%
  • Bottom 10% Move (10th percentile): -29.4%
  • Max Historical Gain (14d): +57.0%
  • Max Historical Loss (14d): -57.6%