Finance

TLF Move Probability $2.33 +0.04 (+1.7%)

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)
27.8%
Stock touched +5.0% ($2.45) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
18.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.47x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.4%
$2.16 — $2.50

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%.

-25.2% to -22.2%: 4 occurrences (0.8%) -23.7% -22.2% to -19.2%: 1 occurrences (0.2%) -19.2% to -16.2%: 3 occurrences (0.6%) -16.2% to -13.2%: 1 occurrences (0.2%) -14.7% -13.2% to -10.2%: 4 occurrences (0.8%) -10.2% to -7.1%: 34 occurrences (6.7%) -7.1% to -4.1%: 44 occurrences (8.7%) -5.6% -4.1% to -1.1%: 133 occurrences (26.2%) -1.1% to +1.9%: 106 occurrences (20.9%) +1.9% to +4.9%: 76 occurrences (15.0%) 3.4% +4.9% to +7.9%: 33 occurrences (6.5%) +7.9% to +10.9%: 23 occurrences (4.5%) +10.9% to +13.9%: 15 occurrences (3.0%) 12.4% +13.9% to +16.9%: 22 occurrences (4.3%) +16.9% to +19.9%: 6 occurrences (1.2%) +19.9% to +22.9%: 2 occurrences (0.4%) 21.4%
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) 27.8% 18.9% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.1% Adjusts normal bell curve for real-world skewness (2.11) and kurtosis (25.02).
Standard Normal (Black-Scholes / GBM) 51.0% 25.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 40.2% 29.9% Filters for historical windows that started with volatility similar to current 20-day HV (244 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.4%
  • Recent 20-Day HV: 22.7%
  • Parkinson Intraday Volatility: 9.9%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +10.0%
  • Bottom 10% Move (10th percentile): -5.8%
  • Max Historical Gain (14d): +22.9%
  • Max Historical Loss (14d): -25.2%