Finance

TSHA Move Probability $4.12 -0.00 (-0.1%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to TSHA Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
72.6%
Stock touched +5.0% ($4.33) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
38.2%
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%)
±21.2%
$3.25 — $4.99

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%.

-43.2% to -32.6%: 9 occurrences (1.8%) -37.9% -32.6% to -22.0%: 27 occurrences (5.3%) -22.0% to -11.4%: 84 occurrences (16.5%) -11.4% to -0.7%: 123 occurrences (24.2%) -6.0% -0.7% to +9.9%: 129 occurrences (25.4%) +9.9% to +20.5%: 53 occurrences (10.4%) +20.5% to +31.1%: 24 occurrences (4.7%) 25.8% +31.1% to +41.8%: 14 occurrences (2.8%) +41.8% to +52.4%: 15 occurrences (3.0%) +52.4% to +63.0%: 13 occurrences (2.6%) 57.7% +63.0% to +73.6%: 6 occurrences (1.2%) +73.6% to +84.3%: 2 occurrences (0.4%) +84.3% to +94.9%: 3 occurrences (0.6%) 89.6% +94.9% to +105.5%: 1 occurrences (0.2%) +105.5% to +116.1%: 2 occurrences (0.4%) +116.1% to +126.8%: 3 occurrences (0.6%) 121.5%
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) 72.6% 38.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.3% Adjusts normal bell curve for real-world skewness (1.11) and kurtosis (12.85).
Standard Normal (Black-Scholes / GBM) 81.8% 40.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.0% 39.6% Filters for historical windows that started with volatility similar to current 20-day HV (278 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 89.9%
  • Recent 20-Day HV: 81.7%
  • Parkinson Intraday Volatility: 73.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +38.3%
  • Bottom 10% Move (10th percentile): -18.1%
  • Max Historical Gain (14d): +126.8%
  • Max Historical Loss (14d): -43.2%