Finance

U Move Probability $41.21 +1.05 (+2.6%)

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)
79.3%
Stock touched +5.0% ($43.27) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
43.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.84x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.3%
$34.10 — $48.32

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%.

-56.7% to -49.4%: 5 occurrences (1.0%) -53.0% -49.4% to -42.1%: 3 occurrences (0.6%) -42.1% to -34.8%: 6 occurrences (1.2%) -34.8% to -27.5%: 6 occurrences (1.2%) -31.2% -27.5% to -20.2%: 8 occurrences (1.6%) -20.2% to -12.9%: 29 occurrences (5.7%) -12.9% to -5.6%: 81 occurrences (15.9%) -9.3% -5.6% to +1.7%: 109 occurrences (21.5%) +1.7% to +8.9%: 95 occurrences (18.7%) +8.9% to +16.2%: 64 occurrences (12.6%) 12.6% +16.2% to +23.5%: 50 occurrences (9.8%) +23.5% to +30.8%: 20 occurrences (3.9%) +30.8% to +38.1%: 10 occurrences (2.0%) 34.5% +38.1% to +45.4%: 9 occurrences (1.8%) +45.4% to +52.7%: 9 occurrences (1.8%) +52.7% to +60.0%: 4 occurrences (0.8%) 56.3%
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) 79.3% 43.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.0% Adjusts normal bell curve for real-world skewness (-0.39) and kurtosis (8.15).
Standard Normal (Black-Scholes / GBM) 77.7% 38.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 80.5% 47.4% Filters for historical windows that started with volatility similar to current 20-day HV (369 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 73.2%
  • Recent 20-Day HV: 68.8%
  • Parkinson Intraday Volatility: 59.8%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +2.0%
  • Top 10% Move (90th percentile): +23.5%
  • Bottom 10% Move (10th percentile): -14.8%
  • Max Historical Gain (14d): +60.0%
  • Max Historical Loss (14d): -56.7%