Finance

TRDA Move Probability $4.63 -0.35 (-6.9%)

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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Touch Probability (First Passage)
71.3%
Stock touched +5.0% ($4.87) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
32.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.18x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.2%
$3.70 — $5.57

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%.

-58.6% to -51.9%: 7 occurrences (1.4%) -55.2% -51.9% to -45.1%: 6 occurrences (1.2%) -45.1% to -38.4%: 1 occurrences (0.2%) -38.4% to -31.7%: 0 occurrences (0.0%) -35.0% -31.7% to -25.0%: 16 occurrences (3.1%) -25.0% to -18.2%: 31 occurrences (6.1%) -18.2% to -11.5%: 57 occurrences (11.2%) -14.9% -11.5% to -4.8%: 83 occurrences (16.3%) -4.8% to +2.0%: 100 occurrences (19.7%) +2.0% to +8.7%: 76 occurrences (15.0%) 5.3% +8.7% to +15.4%: 68 occurrences (13.4%) +15.4% to +22.1%: 36 occurrences (7.1%) +22.1% to +28.9%: 19 occurrences (3.7%) 25.5% +28.9% to +35.6%: 2 occurrences (0.4%) +35.6% to +42.3%: 1 occurrences (0.2%) +42.3% to +49.0%: 5 occurrences (1.0%) 45.7%
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) 71.3% 32.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.4% Adjusts normal bell curve for real-world skewness (-7.3) and kurtosis (111.02).
Standard Normal (Black-Scholes / GBM) 80.9% 40.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.2% 37.9% Filters for historical windows that started with volatility similar to current 20-day HV (261 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 85.9%
  • Recent 20-Day HV: 92.5%
  • Parkinson Intraday Volatility: 50.7%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +16.9%
  • Bottom 10% Move (10th percentile): -19.5%
  • Max Historical Gain (14d): +49.0%
  • Max Historical Loss (14d): -58.6%