Finance

WMS Move Probability $129.84 -0.38 (-0.3%)

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)
50.2%
Stock touched +5.0% ($136.34) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
22.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.24x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.1%
$117.97 — $141.72

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%.

-21.6% to -18.4%: 6 occurrences (1.2%) -20.0% -18.4% to -15.1%: 7 occurrences (1.4%) -15.1% to -11.9%: 23 occurrences (4.5%) -11.9% to -8.6%: 34 occurrences (6.7%) -10.2% -8.6% to -5.4%: 49 occurrences (9.6%) -5.4% to -2.1%: 86 occurrences (16.9%) -2.1% to +1.1%: 98 occurrences (19.3%) -0.5% +1.1% to +4.4%: 86 occurrences (16.9%) +4.4% to +7.7%: 43 occurrences (8.5%) +7.7% to +10.9%: 32 occurrences (6.3%) 9.3% +10.9% to +14.2%: 20 occurrences (3.9%) +14.2% to +17.4%: 9 occurrences (1.8%) +17.4% to +20.7%: 8 occurrences (1.6%) 19.0% +20.7% to +23.9%: 4 occurrences (0.8%) +23.9% to +27.2%: 1 occurrences (0.2%) +27.2% to +30.4%: 2 occurrences (0.4%) 28.8%
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) 50.2% 22.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.1% Adjusts normal bell curve for real-world skewness (0.37) and kurtosis (6.97).
Standard Normal (Black-Scholes / GBM) 59.4% 29.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.6% 27.9% Filters for historical windows that started with volatility similar to current 20-day HV (208 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 38.8%
  • Recent 20-Day HV: 25.1%
  • Parkinson Intraday Volatility: 28.1%
  • Vol Trend: Compressed (-35% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +9.7%
  • Bottom 10% Move (10th percentile): -10.2%
  • Max Historical Gain (14d): +30.4%
  • Max Historical Loss (14d): -21.6%