Finance

TMCI Move Probability $4.13 +0.06 (+1.6%)

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)
64.0%
Stock touched +5.0% ($4.34) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
33.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.90x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.8%
$3.40 — $4.87

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%.

-59.2% to -50.1%: 12 occurrences (2.4%) -54.7% -50.1% to -41.0%: 1 occurrences (0.2%) -41.0% to -31.9%: 3 occurrences (0.6%) -31.9% to -22.8%: 23 occurrences (4.5%) -27.4% -22.8% to -13.7%: 64 occurrences (12.6%) -13.7% to -4.6%: 107 occurrences (21.1%) -4.6% to +4.5%: 120 occurrences (23.6%) -0.0% +4.5% to +13.6%: 73 occurrences (14.4%) +13.6% to +22.8%: 31 occurrences (6.1%) +22.8% to +31.9%: 16 occurrences (3.1%) 27.3% +31.9% to +41.0%: 22 occurrences (4.3%) +41.0% to +50.1%: 12 occurrences (2.4%) +50.1% to +59.2%: 13 occurrences (2.6%) 54.6% +59.2% to +68.3%: 6 occurrences (1.2%) +68.3% to +77.4%: 4 occurrences (0.8%) +77.4% to +86.5%: 1 occurrences (0.2%) 82.0%
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) 64.0% 33.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.6% Adjusts normal bell curve for real-world skewness (-0.08) and kurtosis (9.06).
Standard Normal (Black-Scholes / GBM) 78.4% 39.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.0% 28.1% Filters for historical windows that started with volatility similar to current 20-day HV (324 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 75.4%
  • Recent 20-Day HV: 56.6%
  • Parkinson Intraday Volatility: 62.8%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.9%
  • Top 10% Move (90th percentile): +33.7%
  • Bottom 10% Move (10th percentile): -20.1%
  • Max Historical Gain (14d): +86.5%
  • Max Historical Loss (14d): -59.2%