Finance

TPC Move Probability $80.05 +2.14 (+2.7%)

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)
73.6%
Stock touched +5.0% ($84.05) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
46.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.2%
$69.47 — $90.63

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%.

-23.7% to -17.6%: 14 occurrences (2.8%) -20.6% -17.6% to -11.4%: 34 occurrences (6.7%) -11.4% to -5.2%: 71 occurrences (14.0%) -5.2% to +1.0%: 105 occurrences (20.7%) -2.1% +1.0% to +7.2%: 85 occurrences (16.7%) +7.2% to +13.4%: 119 occurrences (23.4%) +13.4% to +19.5%: 51 occurrences (10.0%) 16.4% +19.5% to +25.7%: 14 occurrences (2.8%) +25.7% to +31.9%: 1 occurrences (0.2%) +31.9% to +38.1%: 0 occurrences (0.0%) 35.0% +38.1% to +44.3%: 1 occurrences (0.2%) +44.3% to +50.4%: 0 occurrences (0.0%) +50.4% to +56.6%: 1 occurrences (0.2%) 53.5% +56.6% to +62.8%: 4 occurrences (0.8%) +62.8% to +69.0%: 3 occurrences (0.6%) +69.0% to +75.2%: 5 occurrences (1.0%) 72.1%
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) 73.6% 46.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.6% Adjusts normal bell curve for real-world skewness (1.53) and kurtosis (14.18).
Standard Normal (Black-Scholes / GBM) 71.2% 35.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.5% 41.7% Filters for historical windows that started with volatility similar to current 20-day HV (242 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 56.1%
  • Recent 20-Day HV: 33.6%
  • Parkinson Intraday Volatility: 39.2%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.8%
  • Top 10% Move (90th percentile): +15.6%
  • Bottom 10% Move (10th percentile): -11.1%
  • Max Historical Gain (14d): +75.2%
  • Max Historical Loss (14d): -23.7%