Finance

TPR Move Probability $115.12 -2.45 (-2.1%)

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)
66.1%
Stock touched +5.0% ($120.88) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
45.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.44x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.1%
$103.44 — $126.80

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%.

-24.1% to -20.9%: 3 occurrences (0.6%) -22.5% -20.9% to -17.7%: 5 occurrences (1.0%) -17.7% to -14.5%: 14 occurrences (2.8%) -14.5% to -11.3%: 21 occurrences (4.1%) -12.9% -11.3% to -8.1%: 37 occurrences (7.3%) -8.1% to -4.9%: 45 occurrences (8.9%) -4.9% to -1.7%: 45 occurrences (8.9%) -3.3% -1.7% to +1.6%: 49 occurrences (9.6%) +1.6% to +4.8%: 50 occurrences (9.8%) +4.8% to +8.0%: 69 occurrences (13.6%) 6.4% +8.0% to +11.2%: 57 occurrences (11.2%) +11.2% to +14.4%: 30 occurrences (5.9%) +14.4% to +17.6%: 38 occurrences (7.5%) 16.0% +17.6% to +20.8%: 24 occurrences (4.7%) +20.8% to +24.0%: 15 occurrences (3.0%) +24.0% to +27.2%: 6 occurrences (1.2%) 25.6%
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) 66.1% 45.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.6% Adjusts normal bell curve for real-world skewness (-0.97) and kurtosis (10.67).
Standard Normal (Black-Scholes / GBM) 63.1% 31.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.2% 41.9% Filters for historical windows that started with volatility similar to current 20-day HV (279 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.1%
  • Recent 20-Day HV: 28.7%
  • Parkinson Intraday Volatility: 30.0%
  • Vol Trend: Compressed (-33% vs baseline)

14-Day Return Quantiles

  • Median Return: +4.1%
  • Top 10% Move (90th percentile): +17.1%
  • Bottom 10% Move (10th percentile): -10.4%
  • Max Historical Gain (14d): +27.2%
  • Max Historical Loss (14d): -24.1%