Finance

TTAM Move Probability $13.58 +0.09 (+0.6%)

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)
52.2%
Stock touched +5.0% ($14.26) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
24.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.16x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.2%
$12.33 — $14.83

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 414 historical windows (2025-02-07 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-20.1% to -17.4%: 6 occurrences (1.4%) -18.7% -17.4% to -14.7%: 9 occurrences (2.2%) -14.7% to -12.0%: 13 occurrences (3.1%) -12.0% to -9.2%: 30 occurrences (7.2%) -10.6% -9.2% to -6.5%: 37 occurrences (8.9%) -6.5% to -3.8%: 44 occurrences (10.6%) -3.8% to -1.1%: 56 occurrences (13.5%) -2.5% -1.1% to +1.6%: 49 occurrences (11.8%) +1.6% to +4.3%: 59 occurrences (14.3%) +4.3% to +7.1%: 35 occurrences (8.5%) 5.7% +7.1% to +9.8%: 30 occurrences (7.2%) +9.8% to +12.5%: 18 occurrences (4.3%) +12.5% to +15.2%: 13 occurrences (3.1%) 13.8% +15.2% to +17.9%: 7 occurrences (1.7%) +17.9% to +20.6%: 4 occurrences (1.0%) +20.6% to +23.3%: 4 occurrences (1.0%) 22.0%
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) 52.2% 24.2% Model-free reality across 414 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.9% Adjusts normal bell curve for real-world skewness (-0.13) and kurtosis (1.17).
Standard Normal (Black-Scholes / GBM) 59.5% 29.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.0% 18.0% Filters for historical windows that started with volatility similar to current 20-day HV (100 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 38.9%
  • Recent 20-Day HV: 23.9%
  • Parkinson Intraday Volatility: 29.9%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +10.2%
  • Bottom 10% Move (10th percentile): -10.8%
  • Max Historical Gain (14d): +23.3%
  • Max Historical Loss (14d): -20.1%