Finance

UWMC Move Probability $1.12 +0.03 (+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)
54.1%
Stock touched +5.0% ($1.18) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
21.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.57x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.9%
$0.95 — $1.29

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%.

-41.3% to -36.3%: 1 occurrences (0.2%) -38.8% -36.3% to -31.3%: 1 occurrences (0.2%) -31.3% to -26.3%: 7 occurrences (1.4%) -26.3% to -21.3%: 11 occurrences (2.2%) -23.8% -21.3% to -16.3%: 52 occurrences (10.2%) -16.3% to -11.3%: 87 occurrences (17.1%) -11.3% to -6.3%: 86 occurrences (16.9%) -8.8% -6.3% to -1.3%: 79 occurrences (15.6%) -1.3% to +3.7%: 66 occurrences (13.0%) +3.7% to +8.7%: 47 occurrences (9.3%) 6.2% +8.7% to +13.7%: 28 occurrences (5.5%) +13.7% to +18.7%: 14 occurrences (2.8%) +18.7% to +23.7%: 7 occurrences (1.4%) 21.2% +23.7% to +28.7%: 8 occurrences (1.6%) +28.7% to +33.7%: 10 occurrences (2.0%) +33.7% to +38.7%: 4 occurrences (0.8%) 36.2%
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) 54.1% 21.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.4% Adjusts normal bell curve for real-world skewness (-2.36) and kurtosis (26.78).
Standard Normal (Black-Scholes / GBM) 74.3% 37.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.4% 15.6% Filters for historical windows that started with volatility similar to current 20-day HV (147 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 63.1%
  • Recent 20-Day HV: 88.8%
  • Parkinson Intraday Volatility: 51.2%
  • Vol Trend: Expanded (+41% vs baseline)

14-Day Return Quantiles

  • Median Return: -5.7%
  • Top 10% Move (90th percentile): +11.1%
  • Bottom 10% Move (10th percentile): -18.5%
  • Max Historical Gain (14d): +38.7%
  • Max Historical Loss (14d): -41.3%