Finance

WEST Move Probability $9.67 +0.50 (+5.5%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
71.3%
Stock touched +5.0% ($10.15) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
39.5%
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%)
±14.8%
$8.24 — $11.10

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-26.4% to -21.1%: 15 occurrences (2.9%) -23.8% -21.1% to -15.8%: 37 occurrences (7.3%) -15.8% to -10.5%: 48 occurrences (9.4%) -10.5% to -5.2%: 73 occurrences (14.3%) -7.8% -5.2% to +0.2%: 70 occurrences (13.8%) +0.2% to +5.5%: 74 occurrences (14.5%) +5.5% to +10.8%: 76 occurrences (14.9%) 8.1% +10.8% to +16.1%: 61 occurrences (12.0%) +16.1% to +21.4%: 17 occurrences (3.3%) +21.4% to +26.7%: 9 occurrences (1.8%) 24.1% +26.7% to +32.0%: 11 occurrences (2.2%) +32.0% to +37.4%: 4 occurrences (0.8%) +37.4% to +42.7%: 4 occurrences (0.8%) 40.0% +42.7% to +48.0%: 5 occurrences (1.0%) +48.0% to +53.3%: 2 occurrences (0.4%) +53.3% to +58.6%: 3 occurrences (0.6%) 56.0%
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) 71.3% 39.5% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.9% Adjusts normal bell curve for real-world skewness (1.59) and kurtosis (11.71).
Standard Normal (Black-Scholes / GBM) 74.2% 37.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 66.3% 26.4% Filters for historical windows that started with volatility similar to current 20-day HV (178 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.8%
  • Recent 20-Day HV: 36.8%
  • Parkinson Intraday Volatility: 49.9%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.7%
  • Top 10% Move (90th percentile): +16.3%
  • Bottom 10% Move (10th percentile): -16.0%
  • Max Historical Gain (14d): +58.6%
  • Max Historical Loss (14d): -26.4%