Finance

TMDX Move Probability $88.22 +19.31 (+28.0%)

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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Touch Probability (First Passage)
69.2%
Stock touched +5.0% ($92.63) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
36.5%
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%)
±15.8%
$74.31 — $102.12

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-10-10 to 2026-11-06). The colored bar indicates the win zone for +5.0%.

-44.3% to -39.1%: 8 occurrences (1.6%) -41.7% -39.1% to -34.0%: 5 occurrences (1.0%) -34.0% to -28.8%: 12 occurrences (2.4%) -28.8% to -23.6%: 10 occurrences (2.0%) -26.2% -23.6% to -18.5%: 11 occurrences (2.2%) -18.5% to -13.3%: 42 occurrences (8.3%) -13.3% to -8.2%: 61 occurrences (12.0%) -10.8% -8.2% to -3.0%: 72 occurrences (14.2%) -3.0% to +2.1%: 71 occurrences (14.0%) +2.1% to +7.3%: 60 occurrences (11.8%) 4.7% +7.3% to +12.4%: 56 occurrences (11.0%) +12.4% to +17.6%: 39 occurrences (7.7%) +17.6% to +22.7%: 27 occurrences (5.3%) 20.2% +22.7% to +27.9%: 13 occurrences (2.6%) +27.9% to +33.1%: 9 occurrences (1.8%) +33.1% to +38.2%: 11 occurrences (2.2%) 35.6%
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) 69.2% 36.5% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.2% Adjusts normal bell curve for real-world skewness (-1.12) and kurtosis (14.63).
Standard Normal (Black-Scholes / GBM) 75.7% 37.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 77.4% 41.4% Filters for historical windows that started with volatility similar to current 20-day HV (133 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 66.9%
  • Recent 20-Day HV: 105.0%
  • Parkinson Intraday Volatility: 48.8%
  • Vol Trend: Expanded (+57% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +19.2%
  • Bottom 10% Move (10th percentile): -17.3%
  • Max Historical Gain (14d): +38.2%
  • Max Historical Loss (14d): -44.3%