Finance

TH Move Probability $15.67 +0.21 (+1.3%)

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)
67.1%
Stock touched +5.0% ($16.45) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
41.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.61x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.6%
$13.07 — $18.27

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%.

-46.4% to -39.1%: 9 occurrences (1.8%) -42.7% -39.1% to -31.7%: 5 occurrences (1.0%) -31.7% to -24.3%: 0 occurrences (0.0%) -24.3% to -17.0%: 23 occurrences (4.5%) -20.7% -17.0% to -9.6%: 47 occurrences (9.3%) -9.6% to -2.3%: 98 occurrences (19.3%) -2.3% to +5.1%: 116 occurrences (22.8%) 1.4% +5.1% to +12.5%: 86 occurrences (16.9%) +12.5% to +19.8%: 64 occurrences (12.6%) +19.8% to +27.2%: 32 occurrences (6.3%) 23.5% +27.2% to +34.5%: 12 occurrences (2.4%) +34.5% to +41.9%: 1 occurrences (0.2%) +41.9% to +49.3%: 4 occurrences (0.8%) 45.6% +49.3% to +56.6%: 7 occurrences (1.4%) +56.6% to +64.0%: 2 occurrences (0.4%) +64.0% to +71.3%: 2 occurrences (0.4%) 67.7%
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) 67.1% 41.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.0% Adjusts normal bell curve for real-world skewness (-4.46) and kurtosis (73.92).
Standard Normal (Black-Scholes / GBM) 76.8% 38.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.6% 45.8% Filters for historical windows that started with volatility similar to current 20-day HV (299 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 70.3%
  • Recent 20-Day HV: 58.9%
  • Parkinson Intraday Volatility: 45.0%
  • Vol Trend: Compressed (-16% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.5%
  • Top 10% Move (90th percentile): +21.5%
  • Bottom 10% Move (10th percentile): -13.8%
  • Max Historical Gain (14d): +71.3%
  • Max Historical Loss (14d): -46.4%