Finance

TTGT Move Probability $3.68 +0.02 (+0.5%)

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)
67.1%
Stock touched +5.0% ($3.86) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
22.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.02x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.1%
$3.05 — $4.31

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%.

-51.8% to -45.1%: 4 occurrences (0.8%) -48.5% -45.1% to -38.3%: 8 occurrences (1.6%) -38.3% to -31.6%: 12 occurrences (2.4%) -31.6% to -24.8%: 20 occurrences (3.9%) -28.2% -24.8% to -18.1%: 26 occurrences (5.1%) -18.1% to -11.3%: 62 occurrences (12.2%) -11.3% to -4.6%: 98 occurrences (19.3%) -7.9% -4.6% to +2.2%: 129 occurrences (25.4%) +2.2% to +8.9%: 75 occurrences (14.8%) +8.9% to +15.7%: 26 occurrences (5.1%) 12.3% +15.7% to +22.4%: 21 occurrences (4.1%) +22.4% to +29.2%: 15 occurrences (3.0%) +29.2% to +35.9%: 4 occurrences (0.8%) 32.6% +35.9% to +42.7%: 3 occurrences (0.6%) +42.7% to +49.4%: 3 occurrences (0.6%) +49.4% to +56.2%: 2 occurrences (0.4%) 52.8%
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) 67.1% 22.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 38.6% Adjusts normal bell curve for real-world skewness (-0.91) and kurtosis (5.13).
Standard Normal (Black-Scholes / GBM) 77.6% 38.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 64.8% 16.4% Filters for historical windows that started with volatility similar to current 20-day HV (250 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 72.7%
  • Recent 20-Day HV: 49.2%
  • Parkinson Intraday Volatility: 60.3%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.9%
  • Top 10% Move (90th percentile): +14.3%
  • Bottom 10% Move (10th percentile): -22.5%
  • Max Historical Gain (14d): +56.2%
  • Max Historical Loss (14d): -51.8%