Finance

UP Move Probability $3.28 +0.09 (+2.8%)

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)
68.7%
Stock touched +5.0% ($3.44) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
21.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.17x
You are 3.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±26.4%
$2.41 — $4.15

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%.

-50.2% to -38.7%: 17 occurrences (3.3%) -44.5% -38.7% to -27.1%: 36 occurrences (7.1%) -27.1% to -15.5%: 113 occurrences (22.2%) -15.5% to -4.0%: 168 occurrences (33.1%) -9.7% -4.0% to +7.6%: 80 occurrences (15.7%) +7.6% to +19.2%: 25 occurrences (4.9%) +19.2% to +30.7%: 16 occurrences (3.1%) 25.0% +30.7% to +42.3%: 15 occurrences (3.0%) +42.3% to +53.9%: 12 occurrences (2.4%) +53.9% to +65.5%: 8 occurrences (1.6%) 59.7% +65.5% to +77.0%: 4 occurrences (0.8%) +77.0% to +88.6%: 4 occurrences (0.8%) +88.6% to +100.2%: 4 occurrences (0.8%) 94.4% +100.2% to +111.7%: 2 occurrences (0.4%) +111.7% to +123.3%: 3 occurrences (0.6%) +123.3% to +134.9%: 1 occurrences (0.2%) 129.1%
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) 68.7% 21.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 37.9% Adjusts normal bell curve for real-world skewness (0.33) and kurtosis (3.24).
Standard Normal (Black-Scholes / GBM) 85.3% 42.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.5% 16.0% Filters for historical windows that started with volatility similar to current 20-day HV (257 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 112.1%
  • Recent 20-Day HV: 80.9%
  • Parkinson Intraday Volatility: 90.1%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: -9.6%
  • Top 10% Move (90th percentile): +31.2%
  • Bottom 10% Move (10th percentile): -27.7%
  • Max Historical Gain (14d): +134.9%
  • Max Historical Loss (14d): -50.2%