Finance

TELA Move Probability $1.11 +0.11 (+10.4%)

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)
68.7%
Stock touched +5.0% ($1.17) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
25.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.68x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.2%
$0.87 — $1.35

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%.

-61.6% to -51.6%: 4 occurrences (0.8%) -56.6% -51.6% to -41.6%: 8 occurrences (1.6%) -41.6% to -31.5%: 6 occurrences (1.2%) -31.5% to -21.5%: 29 occurrences (5.7%) -26.5% -21.5% to -11.4%: 90 occurrences (17.7%) -11.4% to -1.4%: 154 occurrences (30.3%) -1.4% to +8.6%: 112 occurrences (22.0%) 3.6% +8.6% to +18.7%: 38 occurrences (7.5%) +18.7% to +28.7%: 19 occurrences (3.7%) +28.7% to +38.7%: 11 occurrences (2.2%) 33.7% +38.7% to +48.8%: 9 occurrences (1.8%) +48.8% to +58.8%: 8 occurrences (1.6%) +58.8% to +68.9%: 7 occurrences (1.4%) 63.8% +68.9% to +78.9%: 7 occurrences (1.4%) +78.9% to +88.9%: 4 occurrences (0.8%) +88.9% to +99.0%: 2 occurrences (0.4%) 94.0%
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) 68.7% 25.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.5% Adjusts normal bell curve for real-world skewness (-0.58) and kurtosis (9.64).
Standard Normal (Black-Scholes / GBM) 81.8% 40.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.6% 25.2% 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: 89.9%
  • Recent 20-Day HV: 76.2%
  • Parkinson Intraday Volatility: 61.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -3.5%
  • Top 10% Move (90th percentile): +24.5%
  • Bottom 10% Move (10th percentile): -20.8%
  • Max Historical Gain (14d): +99.0%
  • Max Historical Loss (14d): -61.6%