Finance

TPCS Move Probability $5.30 -0.07 (-1.3%)

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)
47.0%
Stock touched +5.0% ($5.57) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
30.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.52x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.3%
$4.54 — $6.06

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%.

-23.6% to -17.0%: 21 occurrences (4.1%) -20.3% -17.0% to -10.4%: 73 occurrences (14.4%) -10.4% to -3.7%: 126 occurrences (24.8%) -3.7% to +2.9%: 114 occurrences (22.4%) -0.4% +2.9% to +9.5%: 41 occurrences (8.1%) +9.5% to +16.1%: 37 occurrences (7.3%) +16.1% to +22.7%: 32 occurrences (6.3%) 19.4% +22.7% to +29.4%: 24 occurrences (4.7%) +29.4% to +36.0%: 14 occurrences (2.8%) +36.0% to +42.6%: 4 occurrences (0.8%) 39.3% +42.6% to +49.2%: 7 occurrences (1.4%) +49.2% to +55.8%: 2 occurrences (0.4%) +55.8% to +62.5%: 8 occurrences (1.6%) 59.2% +62.5% to +69.1%: 1 occurrences (0.2%) +69.1% to +75.7%: 2 occurrences (0.4%) +75.7% to +82.3%: 2 occurrences (0.4%) 79.0%
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) 47.0% 30.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.8% Adjusts normal bell curve for real-world skewness (1.17) and kurtosis (7.97).
Standard Normal (Black-Scholes / GBM) 73.3% 36.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 44.6% 31.8% Filters for historical windows that started with volatility similar to current 20-day HV (195 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 60.7%
  • Recent 20-Day HV: 42.3%
  • Parkinson Intraday Volatility: 23.7%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.1%
  • Top 10% Move (90th percentile): +25.5%
  • Bottom 10% Move (10th percentile): -14.3%
  • Max Historical Gain (14d): +82.3%
  • Max Historical Loss (14d): -23.6%