Finance

THRM Move Probability $28.73 +2.59 (+9.9%)

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)
49.6%
Stock touched +5.0% ($30.17) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
25.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.6%
$25.97 — $31.49

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-25.5% to -21.7%: 5 occurrences (1.0%) -23.6% -21.7% to -17.9%: 3 occurrences (0.6%) -17.9% to -14.2%: 23 occurrences (4.5%) -14.2% to -10.4%: 37 occurrences (7.3%) -12.3% -10.4% to -6.6%: 59 occurrences (11.6%) -6.6% to -2.8%: 84 occurrences (16.5%) -2.8% to +0.9%: 70 occurrences (13.7%) -1.0% +0.9% to +4.7%: 95 occurrences (18.6%) +4.7% to +8.5%: 56 occurrences (11.0%) +8.5% to +12.2%: 43 occurrences (8.4%) 10.4% +12.2% to +16.0%: 21 occurrences (4.1%) +16.0% to +19.8%: 3 occurrences (0.6%) +19.8% to +23.6%: 10 occurrences (2.0%) 21.7% +23.6% to +27.3%: 0 occurrences (0.0%) +27.3% to +31.1%: 0 occurrences (0.0%) +31.1% to +34.9%: 1 occurrences (0.2%) 33.0%
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) 49.6% 25.5% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.2% Adjusts normal bell curve for real-world skewness (1.36) and kurtosis (14.36).
Standard Normal (Black-Scholes / GBM) 61.2% 30.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.3% 22.9% Filters for historical windows that started with volatility similar to current 20-day HV (144 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 40.8%
  • Recent 20-Day HV: 58.0%
  • Parkinson Intraday Volatility: 31.3%
  • Vol Trend: Expanded (+42% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +10.3%
  • Bottom 10% Move (10th percentile): -12.2%
  • Max Historical Gain (14d): +34.9%
  • Max Historical Loss (14d): -25.5%