Finance

USFD Move Probability $102.13 -0.95 (-0.9%)

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)
37.4%
Stock touched +5.0% ($107.24) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
30.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.24x
You are 1.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.3%
$95.73 — $108.53

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%.

-15.5% to -12.9%: 6 occurrences (1.2%) -14.2% -12.9% to -10.4%: 9 occurrences (1.8%) -10.4% to -7.8%: 26 occurrences (5.1%) -7.8% to -5.3%: 33 occurrences (6.5%) -6.5% -5.3% to -2.7%: 64 occurrences (12.6%) -2.7% to -0.2%: 89 occurrences (17.5%) -0.2% to +2.4%: 83 occurrences (16.3%) 1.1% +2.4% to +5.0%: 45 occurrences (8.9%) +5.0% to +7.5%: 51 occurrences (10.0%) +7.5% to +10.1%: 41 occurrences (8.1%) 8.8% +10.1% to +12.6%: 25 occurrences (4.9%) +12.6% to +15.2%: 15 occurrences (3.0%) +15.2% to +17.8%: 15 occurrences (3.0%) 16.5% +17.8% to +20.3%: 4 occurrences (0.8%) +20.3% to +22.9%: 0 occurrences (0.0%) +22.9% to +25.4%: 2 occurrences (0.4%) 24.2%
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) 37.4% 30.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.9% Adjusts normal bell curve for real-world skewness (0.87) and kurtosis (7.4).
Standard Normal (Black-Scholes / GBM) 43.6% 21.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.4% 26.7% Filters for historical windows that started with volatility similar to current 20-day HV (356 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 26.6%
  • Recent 20-Day HV: 24.0%
  • Parkinson Intraday Volatility: 22.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +10.9%
  • Bottom 10% Move (10th percentile): -6.9%
  • Max Historical Gain (14d): +25.4%
  • Max Historical Loss (14d): -15.5%