Finance

UPB Move Probability $2.79 -0.01 (-0.4%)

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)
70.4%
Stock touched +5.0% ($2.93) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
38.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.6%
$2.16 — $3.43

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 494 historical windows (2024-10-11 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-74.4% to -66.1%: 12 occurrences (2.4%) -70.2% -66.1% to -57.8%: 0 occurrences (0.0%) -57.8% to -49.5%: 2 occurrences (0.4%) -49.5% to -41.2%: 10 occurrences (2.0%) -45.4% -41.2% to -33.0%: 11 occurrences (2.2%) -33.0% to -24.7%: 30 occurrences (6.1%) -24.7% to -16.4%: 42 occurrences (8.5%) -20.6% -16.4% to -8.1%: 67 occurrences (13.6%) -8.1% to +0.1%: 73 occurrences (14.8%) +0.1% to +8.4%: 94 occurrences (19.0%) 4.3% +8.4% to +16.7%: 67 occurrences (13.6%) +16.7% to +25.0%: 41 occurrences (8.3%) +25.0% to +33.2%: 25 occurrences (5.1%) 29.1% +33.2% to +41.5%: 9 occurrences (1.8%) +41.5% to +49.8%: 5 occurrences (1.0%) +49.8% to +58.1%: 6 occurrences (1.2%) 53.9%
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) 70.4% 38.9% Model-free reality across 494 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 41.5% Adjusts normal bell curve for real-world skewness (-2.94) and kurtosis (27.17).
Standard Normal (Black-Scholes / GBM) 82.9% 41.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.1% 40.2% Filters for historical windows that started with volatility similar to current 20-day HV (316 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 95.9%
  • Recent 20-Day HV: 98.6%
  • Parkinson Intraday Volatility: 71.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +23.5%
  • Bottom 10% Move (10th percentile): -27.9%
  • Max Historical Gain (14d): +58.1%
  • Max Historical Loss (14d): -74.4%