Finance

TGT Move Probability $152.36 -1.65 (-1.1%)

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)
55.1%
Stock touched +5.0% ($159.98) at least once during 14 trading days.
Median first touch: Day 6 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
2.15x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.5%
$139.42 — $165.30

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%.

-18.7% to -16.5%: 4 occurrences (0.8%) -17.6% -16.5% to -14.3%: 12 occurrences (2.4%) -14.3% to -12.1%: 15 occurrences (3.0%) -12.1% to -9.9%: 12 occurrences (2.4%) -11.0% -9.9% to -7.7%: 18 occurrences (3.5%) -7.7% to -5.5%: 32 occurrences (6.3%) -5.5% to -3.3%: 34 occurrences (6.7%) -4.4% -3.3% to -1.1%: 55 occurrences (10.8%) -1.1% to +1.1%: 75 occurrences (14.8%) +1.1% to +3.3%: 76 occurrences (15.0%) 2.2% +3.3% to +5.5%: 64 occurrences (12.6%) +5.5% to +7.7%: 45 occurrences (8.9%) +7.7% to +9.9%: 31 occurrences (6.1%) 8.8% +9.9% to +12.1%: 18 occurrences (3.5%) +12.1% to +14.3%: 8 occurrences (1.6%) +14.3% to +16.5%: 9 occurrences (1.8%) 15.4%
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) 55.1% 25.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.6% Adjusts normal bell curve for real-world skewness (-2.45) and kurtosis (25.31).
Standard Normal (Black-Scholes / GBM) 56.6% 28.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.3% 29.0% Filters for historical windows that started with volatility similar to current 20-day HV (131 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 36.0%
  • Recent 20-Day HV: 19.7%
  • Parkinson Intraday Volatility: 27.0%
  • Vol Trend: Compressed (-45% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +8.6%
  • Bottom 10% Move (10th percentile): -9.2%
  • Max Historical Gain (14d): +16.5%
  • Max Historical Loss (14d): -18.7%