Finance

TEAM Move Probability $225.46 +4.39 (+2.0%)

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)
63.2%
Stock touched +5.0% ($236.73) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
38.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.65x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.1%
$191.33 — $259.59

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%.

-39.5% to -31.2%: 10 occurrences (2.0%) -35.4% -31.2% to -22.9%: 17 occurrences (3.3%) -22.9% to -14.6%: 50 occurrences (9.8%) -14.6% to -6.2%: 86 occurrences (16.9%) -10.4% -6.2% to +2.1%: 118 occurrences (23.2%) +2.1% to +10.4%: 95 occurrences (18.7%) +10.4% to +18.7%: 57 occurrences (11.2%) 14.6% +18.7% to +27.0%: 43 occurrences (8.5%) +27.0% to +35.4%: 14 occurrences (2.8%) +35.4% to +43.7%: 2 occurrences (0.4%) 39.5% +43.7% to +52.0%: 2 occurrences (0.4%) +52.0% to +60.3%: 6 occurrences (1.2%) +60.3% to +68.7%: 2 occurrences (0.4%) 64.5% +68.7% to +77.0%: 2 occurrences (0.4%) +77.0% to +85.3%: 2 occurrences (0.4%) +85.3% to +93.6%: 2 occurrences (0.4%) 89.5%
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) 63.2% 38.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.7% Adjusts normal bell curve for real-world skewness (1.41) and kurtosis (9.53).
Standard Normal (Black-Scholes / GBM) 74.7% 37.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.6% 32.1% Filters for historical windows that started with volatility similar to current 20-day HV (280 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 64.2%
  • Recent 20-Day HV: 49.2%
  • Parkinson Intraday Volatility: 45.3%
  • Vol Trend: Compressed (-23% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +22.6%
  • Bottom 10% Move (10th percentile): -19.0%
  • Max Historical Gain (14d): +93.6%
  • Max Historical Loss (14d): -39.5%