Finance

TTD Move Probability $13.17 +0.58 (+4.6%)

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)
59.7%
Stock touched +5.0% ($13.83) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
26.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.29x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.3%
$11.16 — $15.18

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-41.7% to -35.2%: 11 occurrences (2.2%) -38.4% -35.2% to -28.6%: 7 occurrences (1.4%) -28.6% to -22.0%: 27 occurrences (5.3%) -22.0% to -15.4%: 55 occurrences (10.8%) -18.7% -15.4% to -8.9%: 74 occurrences (14.5%) -8.9% to -2.3%: 106 occurrences (20.8%) -2.3% to +4.3%: 86 occurrences (16.9%) 1.0% +4.3% to +10.8%: 80 occurrences (15.7%) +10.8% to +17.4%: 38 occurrences (7.5%) +17.4% to +24.0%: 11 occurrences (2.2%) 20.7% +24.0% to +30.5%: 1 occurrences (0.2%) +30.5% to +37.1%: 3 occurrences (0.6%) +37.1% to +43.7%: 5 occurrences (1.0%) 40.4% +43.7% to +50.2%: 3 occurrences (0.6%) +50.2% to +56.8%: 1 occurrences (0.2%) +56.8% to +63.4%: 1 occurrences (0.2%) 60.1%
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) 59.7% 26.1% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.1% Adjusts normal bell curve for real-world skewness (-3.3) and kurtosis (41.05).
Standard Normal (Black-Scholes / GBM) 74.9% 37.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.3% 22.2% Filters for historical windows that started with volatility similar to current 20-day HV (338 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 64.7%
  • Recent 20-Day HV: 45.9%
  • Parkinson Intraday Volatility: 44.0%
  • Vol Trend: Compressed (-29% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.9%
  • Top 10% Move (90th percentile): +11.9%
  • Bottom 10% Move (10th percentile): -20.7%
  • Max Historical Gain (14d): +63.4%
  • Max Historical Loss (14d): -41.7%