Finance

ULCC Move Probability $7.55 +1.10 (+17.1%)

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

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Touch Probability (First Passage)
76.2%
Stock touched +5.0% ($7.93) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
44.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.70x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.5%
$6.08 — $9.03

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-44.5% to -38.2%: 7 occurrences (1.4%) -41.3% -38.2% to -32.0%: 10 occurrences (2.0%) -32.0% to -25.8%: 23 occurrences (4.5%) -25.8% to -19.5%: 34 occurrences (6.7%) -22.7% -19.5% to -13.3%: 46 occurrences (9.1%) -13.3% to -7.1%: 49 occurrences (9.6%) -7.1% to -0.9%: 59 occurrences (11.6%) -4.0% -0.9% to +5.4%: 59 occurrences (11.6%) +5.4% to +11.6%: 63 occurrences (12.4%) +11.6% to +17.8%: 52 occurrences (10.2%) 14.7% +17.8% to +24.0%: 54 occurrences (10.6%) +24.0% to +30.3%: 28 occurrences (5.5%) +30.3% to +36.5%: 8 occurrences (1.6%) 33.4% +36.5% to +42.7%: 6 occurrences (1.2%) +42.7% to +49.0%: 5 occurrences (1.0%) +49.0% to +55.2%: 5 occurrences (1.0%) 52.1%
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) 76.2% 44.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.7% Adjusts normal bell curve for real-world skewness (0.33) and kurtosis (2.23).
Standard Normal (Black-Scholes / GBM) 80.2% 40.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.4% 47.0% Filters for historical windows that started with volatility similar to current 20-day HV (270 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 82.7%
  • Recent 20-Day HV: 110.7%
  • Parkinson Intraday Volatility: 65.4%
  • Vol Trend: Expanded (+34% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.2%
  • Top 10% Move (90th percentile): +24.1%
  • Bottom 10% Move (10th percentile): -22.7%
  • Max Historical Gain (14d): +55.2%
  • Max Historical Loss (14d): -44.5%