Finance

TOFB Move Probability $0.40 +0.01 (+2.6%)

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)
68.0%
Stock touched +5.0% ($0.42) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
22.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.98x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.2%
$0.32 — $0.48

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-35.0% to -30.9%: 6 occurrences (1.2%) -32.9% -30.9% to -26.8%: 6 occurrences (1.2%) -26.8% to -22.6%: 9 occurrences (1.8%) -22.6% to -18.5%: 16 occurrences (3.3%) -20.6% -18.5% to -14.4%: 18 occurrences (3.7%) -14.4% to -10.3%: 39 occurrences (8.0%) -10.3% to -6.2%: 72 occurrences (14.8%) -8.2% -6.2% to -2.0%: 35 occurrences (7.2%) -2.0% to +2.1%: 103 occurrences (21.1%) +2.1% to +6.2%: 89 occurrences (18.3%) 4.1% +6.2% to +10.3%: 27 occurrences (5.5%) +10.3% to +14.4%: 28 occurrences (5.7%) +14.4% to +18.6%: 26 occurrences (5.3%) 16.5% +18.6% to +22.7%: 6 occurrences (1.2%) +22.7% to +26.8%: 3 occurrences (0.6%) +26.8% to +30.9%: 4 occurrences (0.8%) 28.8%
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) 68.0% 22.8% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 38.4% Adjusts normal bell curve for real-world skewness (-1.09) and kurtosis (9.72).
Standard Normal (Black-Scholes / GBM) 81.8% 40.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 77.3% 25.9% Filters for historical windows that started with volatility similar to current 20-day HV (255 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 90.0%
  • Recent 20-Day HV: 73.8%
  • Parkinson Intraday Volatility: 50.3%
  • Vol Trend: Compressed (-18% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +12.7%
  • Bottom 10% Move (10th percentile): -15.6%
  • Max Historical Gain (14d): +30.9%
  • Max Historical Loss (14d): -35.0%