Finance

TEM Move Probability $79.72 +7.50 (+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)
58.9%
Stock touched +5.0% ($83.71) at least once during 4 trading days.
Median first touch: Day 1 of 4
Expiration Close Probability
30.1%
Stock closed at or beyond +5.0% at the end of the 4-day window.
The Touch Multiple
1.96x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.5%
$70.55 — $88.89

Historical 4-Day Return Distribution

Frequency of rolling 4-day percentage returns over 518 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-32.5% to -25.8%: 2 occurrences (0.4%) -29.1% -25.8% to -19.1%: 12 occurrences (2.3%) -19.1% to -12.4%: 32 occurrences (6.2%) -12.4% to -5.8%: 101 occurrences (19.5%) -9.1% -5.8% to +0.9%: 136 occurrences (26.3%) +0.9% to +7.6%: 117 occurrences (22.6%) +7.6% to +14.3%: 55 occurrences (10.6%) 10.9% +14.3% to +21.0%: 37 occurrences (7.1%) +21.0% to +27.6%: 10 occurrences (1.9%) +27.6% to +34.3%: 8 occurrences (1.5%) 31.0% +34.3% to +41.0%: 2 occurrences (0.4%) +41.0% to +47.7%: 2 occurrences (0.4%) +47.7% to +54.4%: 2 occurrences (0.4%) 51.0% +54.4% to +61.0%: 1 occurrences (0.2%) +61.0% to +67.7%: 0 occurrences (0.0%) +67.7% to +74.4%: 1 occurrences (0.2%) 71.1%
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) 58.9% 30.1% Model-free reality across 518 historical 4-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.2% Adjusts normal bell curve for real-world skewness (0.56) and kurtosis (3.07).
Standard Normal (Black-Scholes / GBM) 67.2% 33.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.5% 31.4% Filters for historical windows that started with volatility similar to current 20-day HV (338 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 91.3%
  • Recent 20-Day HV: 95.9%
  • Parkinson Intraday Volatility: 76.4%
  • Vol Trend: Normal / Consistent

4-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +16.0%
  • Bottom 10% Move (10th percentile): -12.3%
  • Max Historical Gain (4d): +74.4%
  • Max Historical Loss (4d): -32.5%