Finance

WD Move Probability $32.87 -0.51 (-1.5%)

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)
42.7%
Stock touched +5.0% ($34.51) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
15.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.75x
You are 2.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.4%
$29.77 — $35.97

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%.

-27.4% to -24.7%: 7 occurrences (1.4%) -26.0% -24.7% to -21.9%: 12 occurrences (2.4%) -21.9% to -19.1%: 9 occurrences (1.8%) -19.1% to -16.4%: 6 occurrences (1.2%) -17.7% -16.4% to -13.6%: 14 occurrences (2.8%) -13.6% to -10.8%: 35 occurrences (6.9%) -10.8% to -8.0%: 40 occurrences (7.9%) -9.4% -8.0% to -5.3%: 30 occurrences (5.9%) -5.3% to -2.5%: 81 occurrences (15.9%) -2.5% to +0.3%: 81 occurrences (15.9%) -1.1% +0.3% to +3.0%: 77 occurrences (15.2%) +3.0% to +5.8%: 47 occurrences (9.3%) +5.8% to +8.6%: 31 occurrences (6.1%) 7.2% +8.6% to +11.3%: 20 occurrences (3.9%) +11.3% to +14.1%: 14 occurrences (2.8%) +14.1% to +16.9%: 4 occurrences (0.8%) 15.5%
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) 42.7% 15.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.8% Adjusts normal bell curve for real-world skewness (-1.54) and kurtosis (12.05).
Standard Normal (Black-Scholes / GBM) 60.5% 30.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 40.0% 15.2% Filters for historical windows that started with volatility similar to current 20-day HV (290 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 40.0%
  • Recent 20-Day HV: 46.9%
  • Parkinson Intraday Volatility: 26.6%
  • Vol Trend: Expanded (+17% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.0%
  • Top 10% Move (90th percentile): +7.3%
  • Bottom 10% Move (10th percentile): -13.1%
  • Max Historical Gain (14d): +16.9%
  • Max Historical Loss (14d): -27.4%