Finance

TNDM Move Probability $16.33 -0.20 (-1.2%)

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)
67.9%
Stock touched +5.0% ($17.15) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
34.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.5%
$13.47 — $19.19

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%.

-46.3% to -40.0%: 13 occurrences (2.6%) -43.1% -40.0% to -33.6%: 6 occurrences (1.2%) -33.6% to -27.2%: 9 occurrences (1.8%) -27.2% to -20.8%: 31 occurrences (6.1%) -24.0% -20.8% to -14.5%: 49 occurrences (9.6%) -14.5% to -8.1%: 64 occurrences (12.6%) -8.1% to -1.7%: 83 occurrences (16.3%) -4.9% -1.7% to +4.6%: 74 occurrences (14.6%) +4.6% to +11.0%: 66 occurrences (13.0%) +11.0% to +17.4%: 39 occurrences (7.7%) 14.2% +17.4% to +23.7%: 26 occurrences (5.1%) +23.7% to +30.1%: 22 occurrences (4.3%) +30.1% to +36.5%: 9 occurrences (1.8%) 33.3% +36.5% to +42.8%: 12 occurrences (2.4%) +42.8% to +49.2%: 3 occurrences (0.6%) +49.2% to +55.6%: 2 occurrences (0.4%) 52.4%
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) 67.9% 34.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.6% Adjusts normal bell curve for real-world skewness (-0.88) and kurtosis (17.77).
Standard Normal (Black-Scholes / GBM) 78.0% 39.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.3% 33.0% Filters for historical windows that started with volatility similar to current 20-day HV (215 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 74.2%
  • Recent 20-Day HV: 43.4%
  • Parkinson Intraday Volatility: 55.6%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.8%
  • Top 10% Move (90th percentile): +23.5%
  • Bottom 10% Move (10th percentile): -21.9%
  • Max Historical Gain (14d): +55.6%
  • Max Historical Loss (14d): -46.3%