Finance

TMS Move Probability $4.92 -0.62 (-11.1%)

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)
21.4%
Stock touched +5.0% ($5.17) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
8.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.48x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.5%
$4.26 — $5.59

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 359 historical windows (2025-04-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-47.6% to -40.4%: 1 occurrences (0.3%) -44.0% -40.4% to -33.2%: 5 occurrences (1.4%) -33.2% to -26.1%: 17 occurrences (4.7%) -26.1% to -18.9%: 13 occurrences (3.6%) -22.5% -18.9% to -11.7%: 10 occurrences (2.8%) -11.7% to -4.5%: 7 occurrences (1.9%) -4.5% to +2.6%: 257 occurrences (71.6%) -0.9% +2.6% to +9.8%: 25 occurrences (7.0%) +9.8% to +17.0%: 4 occurrences (1.1%) +17.0% to +24.2%: 7 occurrences (1.9%) 20.6% +24.2% to +31.3%: 3 occurrences (0.8%) +31.3% to +38.5%: 2 occurrences (0.6%) +38.5% to +45.7%: 3 occurrences (0.8%) 42.1% +45.7% to +52.8%: 1 occurrences (0.3%) +52.8% to +60.0%: 2 occurrences (0.6%) +60.0% to +67.2%: 2 occurrences (0.6%) 63.6%
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) 21.4% 8.6% Model-free reality across 359 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.0% Adjusts normal bell curve for real-world skewness (-1.05) and kurtosis (14.23).
Standard Normal (Black-Scholes / GBM) 71.7% 35.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.0% 30.0% Filters for historical windows that started with volatility similar to current 20-day HV (50 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 57.2%
  • Recent 20-Day HV: 97.2%
  • Parkinson Intraday Volatility: 27.8%
  • Vol Trend: Expanded (+70% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +4.3%
  • Bottom 10% Move (10th percentile): -18.4%
  • Max Historical Gain (14d): +67.2%
  • Max Historical Loss (14d): -47.6%