Finance

TPB Move Probability $64.51 +0.13 (+0.2%)

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)
57.7%
Stock touched +5.0% ($67.74) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
39.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.46x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.8%
$56.92 — $72.10

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%.

-37.6% to -32.6%: 6 occurrences (1.2%) -35.1% -32.6% to -27.6%: 5 occurrences (1.0%) -27.6% to -22.7%: 3 occurrences (0.6%) -22.7% to -17.7%: 18 occurrences (3.5%) -20.2% -17.7% to -12.8%: 30 occurrences (5.9%) -12.8% to -7.8%: 33 occurrences (6.5%) -7.8% to -2.9%: 83 occurrences (16.3%) -5.4% -2.9% to +2.1%: 82 occurrences (16.1%) +2.1% to +7.0%: 78 occurrences (15.4%) +7.0% to +12.0%: 69 occurrences (13.6%) 9.5% +12.0% to +16.9%: 46 occurrences (9.1%) +16.9% to +21.9%: 28 occurrences (5.5%) +21.9% to +26.9%: 15 occurrences (3.0%) 24.4% +26.9% to +31.8%: 10 occurrences (2.0%) +31.8% to +36.8%: 1 occurrences (0.2%) +36.8% to +41.7%: 1 occurrences (0.2%) 39.2%
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) 57.7% 39.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.4% Adjusts normal bell curve for real-world skewness (-0.75) and kurtosis (14.31).
Standard Normal (Black-Scholes / GBM) 67.8% 33.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.4% 40.7% Filters for historical windows that started with volatility similar to current 20-day HV (324 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.9%
  • Recent 20-Day HV: 45.0%
  • Parkinson Intraday Volatility: 34.1%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.7%
  • Top 10% Move (90th percentile): +17.5%
  • Bottom 10% Move (10th percentile): -14.9%
  • Max Historical Gain (14d): +41.7%
  • Max Historical Loss (14d): -37.6%