Finance

WK Move Probability $80.25 +0.98 (+1.2%)

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)
57.1%
Stock touched +5.0% ($84.26) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
28.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.1%
$71.32 — $89.18

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%.

-30.8% to -26.3%: 3 occurrences (0.6%) -28.5% -26.3% to -21.8%: 8 occurrences (1.6%) -21.8% to -17.4%: 12 occurrences (2.4%) -17.4% to -12.9%: 21 occurrences (4.1%) -15.1% -12.9% to -8.4%: 49 occurrences (9.6%) -8.4% to -3.9%: 64 occurrences (12.6%) -3.9% to +0.5%: 113 occurrences (22.2%) -1.7% +0.5% to +5.0%: 93 occurrences (18.3%) +5.0% to +9.5%: 52 occurrences (10.2%) +9.5% to +14.0%: 43 occurrences (8.5%) 11.7% +14.0% to +18.4%: 26 occurrences (5.1%) +18.4% to +22.9%: 16 occurrences (3.1%) +22.9% to +27.4%: 4 occurrences (0.8%) 25.1% +27.4% to +31.8%: 1 occurrences (0.2%) +31.8% to +36.3%: 2 occurrences (0.4%) +36.3% to +40.8%: 1 occurrences (0.2%) 38.6%
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) 57.1% 28.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.7% Adjusts normal bell curve for real-world skewness (1.28) and kurtosis (15.27).
Standard Normal (Black-Scholes / GBM) 66.1% 33.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.8% 34.5% Filters for historical windows that started with volatility similar to current 20-day HV (328 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.2%
  • Recent 20-Day HV: 42.3%
  • Parkinson Intraday Volatility: 34.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +13.9%
  • Bottom 10% Move (10th percentile): -11.9%
  • Max Historical Gain (14d): +40.8%
  • Max Historical Loss (14d): -30.8%