Finance

TOMZ Move Probability $1.50 -0.10 (-6.3%)

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)
51.4%
Stock touched +5.0% ($1.58) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
30.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.9%
$1.25 — $1.75

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%.

-38.4% to -32.9%: 7 occurrences (1.4%) -35.6% -32.9% to -27.4%: 6 occurrences (1.2%) -27.4% to -22.0%: 8 occurrences (1.6%) -22.0% to -16.5%: 27 occurrences (5.3%) -19.2% -16.5% to -11.0%: 55 occurrences (10.8%) -11.0% to -5.6%: 104 occurrences (20.5%) -5.6% to -0.1%: 96 occurrences (18.9%) -2.8% -0.1% to +5.4%: 51 occurrences (10.0%) +5.4% to +10.8%: 57 occurrences (11.2%) +10.8% to +16.3%: 26 occurrences (5.1%) 13.6% +16.3% to +21.8%: 18 occurrences (3.5%) +21.8% to +27.2%: 9 occurrences (1.8%) +27.2% to +32.7%: 21 occurrences (4.1%) 30.0% +32.7% to +38.2%: 8 occurrences (1.6%) +38.2% to +43.7%: 8 occurrences (1.6%) +43.7% to +49.1%: 7 occurrences (1.4%) 46.4%
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) 51.4% 30.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.9% Adjusts normal bell curve for real-world skewness (0.65) and kurtosis (5.22).
Standard Normal (Black-Scholes / GBM) 77.3% 38.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.2% 33.7% Filters for historical windows that started with volatility similar to current 20-day HV (267 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 71.7%
  • Recent 20-Day HV: 67.3%
  • Parkinson Intraday Volatility: 37.8%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -3.3%
  • Top 10% Move (90th percentile): +22.0%
  • Bottom 10% Move (10th percentile): -16.4%
  • Max Historical Gain (14d): +49.1%
  • Max Historical Loss (14d): -38.4%