Finance

THMG Move Probability $0.79 +0.02 (+2.7%)

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)
86.4%
Stock touched +5.0% ($0.83) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
47.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±30.3%
$0.55 — $1.03

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-38.8% to -22.8%: 6 occurrences (1.2%) -30.8% -22.8% to -6.8%: 68 occurrences (14.0%) -6.8% to +9.1%: 239 occurrences (49.1%) +9.1% to +25.1%: 92 occurrences (18.9%) 17.1% +25.1% to +41.1%: 37 occurrences (7.6%) +41.1% to +57.0%: 14 occurrences (2.9%) +57.0% to +73.0%: 13 occurrences (2.7%) 65.0% +73.0% to +88.9%: 8 occurrences (1.6%) +88.9% to +104.9%: 5 occurrences (1.0%) +104.9% to +120.9%: 3 occurrences (0.6%) 112.9% +120.9% to +136.8%: 0 occurrences (0.0%) +136.8% to +152.8%: 0 occurrences (0.0%) +152.8% to +168.8%: 0 occurrences (0.0%) 160.8% +168.8% to +184.7%: 1 occurrences (0.2%) +184.7% to +200.7%: 0 occurrences (0.0%) +200.7% to +216.7%: 1 occurrences (0.2%) 208.7%
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) 86.4% 47.6% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 38.2% Adjusts normal bell curve for real-world skewness (0.18) and kurtosis (5.61).
Standard Normal (Black-Scholes / GBM) 87.2% 43.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 81.4% 33.5% Filters for historical windows that started with volatility similar to current 20-day HV (161 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 128.4%
  • Recent 20-Day HV: 61.9%
  • Parkinson Intraday Volatility: 106.0%
  • Vol Trend: Compressed (-52% vs baseline)

14-Day Return Quantiles

  • Median Return: +4.2%
  • Top 10% Move (90th percentile): +36.9%
  • Bottom 10% Move (10th percentile): -9.1%
  • Max Historical Gain (14d): +216.7%
  • Max Historical Loss (14d): -38.8%