Finance

TRVI Move Probability $12.77 -0.04 (-0.3%)

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)
74.8%
Stock touched +5.0% ($13.41) at least once during 14 trading days.
Median first touch: Day 3 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
1.90x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.5%
$10.66 — $14.88

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%.

-22.2% to -16.1%: 18 occurrences (3.5%) -19.2% -16.1% to -10.1%: 52 occurrences (10.2%) -10.1% to -4.0%: 90 occurrences (17.7%) -4.0% to +2.0%: 105 occurrences (20.7%) -1.0% +2.0% to +8.1%: 78 occurrences (15.4%) +8.1% to +14.2%: 49 occurrences (9.6%) +14.2% to +20.2%: 36 occurrences (7.1%) 17.2% +20.2% to +26.3%: 26 occurrences (5.1%) +26.3% to +32.3%: 19 occurrences (3.7%) +32.3% to +38.4%: 11 occurrences (2.2%) 35.4% +38.4% to +44.5%: 5 occurrences (1.0%) +44.5% to +50.5%: 8 occurrences (1.6%) +50.5% to +56.6%: 9 occurrences (1.8%) 53.5% +56.6% to +62.6%: 1 occurrences (0.2%) +62.6% to +68.7%: 0 occurrences (0.0%) +68.7% to +74.7%: 1 occurrences (0.2%) 71.7%
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) 74.8% 39.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.0% Adjusts normal bell curve for real-world skewness (2.09) and kurtosis (16.58).
Standard Normal (Black-Scholes / GBM) 76.8% 38.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.0% 36.3% Filters for historical windows that started with volatility similar to current 20-day HV (215 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 70.1%
  • Recent 20-Day HV: 41.1%
  • Parkinson Intraday Volatility: 60.9%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.6%
  • Top 10% Move (90th percentile): +27.0%
  • Bottom 10% Move (10th percentile): -11.4%
  • Max Historical Gain (14d): +74.7%
  • Max Historical Loss (14d): -22.2%