Finance

TIL Move Probability $6.10 +0.25 (+4.3%)

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)
57.0%
Stock touched +5.0% ($6.41) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
23.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.47x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±45.7%
$3.31 — $8.89

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-47.9% to +89.5%: 481 occurrences (94.9%) 20.8% +89.5% to +226.8%: 12 occurrences (2.4%) +226.8% to +364.1%: 0 occurrences (0.0%) +364.1% to +501.4%: 0 occurrences (0.0%) 432.7% +501.4% to +638.7%: 0 occurrences (0.0%) +638.7% to +776.0%: 0 occurrences (0.0%) +776.0% to +913.3%: 1 occurrences (0.2%) 844.7% +913.3% to +1050.6%: 0 occurrences (0.0%) +1050.6% to +1188.0%: 0 occurrences (0.0%) +1188.0% to +1325.3%: 3 occurrences (0.6%) 1256.6% +1325.3% to +1462.6%: 1 occurrences (0.2%) +1462.6% to +1599.9%: 0 occurrences (0.0%) +1599.9% to +1737.2%: 1 occurrences (0.2%) 1668.6% +1737.2% to +1874.5%: 3 occurrences (0.6%) +1874.5% to +2011.8%: 4 occurrences (0.8%) +2011.8% to +2149.2%: 1 occurrences (0.2%) 2080.5%
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) 57.0% 23.1% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.3% Adjusts normal bell curve for real-world skewness (11.82) and kurtosis (211.04).
Standard Normal (Black-Scholes / GBM) 91.5% 45.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 43.2% 8.1% Filters for historical windows that started with volatility similar to current 20-day HV (74 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 193.9%
  • Recent 20-Day HV: 48.9%
  • Parkinson Intraday Volatility: 67.6%
  • Vol Trend: Compressed (-75% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.5%
  • Top 10% Move (90th percentile): +26.2%
  • Bottom 10% Move (10th percentile): -27.8%
  • Max Historical Gain (14d): +2149.2%
  • Max Historical Loss (14d): -47.9%