Finance

WRAP Move Probability $1.35 +0.00 (+0.0%)

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)
74.0%
Stock touched +5.0% ($1.42) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
31.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.32x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.5%
$1.07 — $1.63

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%.

-46.3% to -36.6%: 2 occurrences (0.4%) -41.5% -36.6% to -27.0%: 21 occurrences (4.1%) -27.0% to -17.3%: 35 occurrences (6.9%) -17.3% to -7.7%: 101 occurrences (19.9%) -12.5% -7.7% to +2.0%: 149 occurrences (29.3%) +2.0% to +11.6%: 95 occurrences (18.7%) +11.6% to +21.3%: 34 occurrences (6.7%) 16.4% +21.3% to +30.9%: 36 occurrences (7.1%) +30.9% to +40.6%: 14 occurrences (2.8%) +40.6% to +50.2%: 8 occurrences (1.6%) 45.4% +50.2% to +59.8%: 1 occurrences (0.2%) +59.8% to +69.5%: 4 occurrences (0.8%) +69.5% to +79.1%: 2 occurrences (0.4%) 74.3% +79.1% to +88.8%: 2 occurrences (0.4%) +88.8% to +98.4%: 2 occurrences (0.4%) +98.4% to +108.1%: 2 occurrences (0.4%) 103.3%
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) 74.0% 31.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.3% Adjusts normal bell curve for real-world skewness (1.25) and kurtosis (6.45).
Standard Normal (Black-Scholes / GBM) 81.2% 40.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.2% 28.5% Filters for historical windows that started with volatility similar to current 20-day HV (312 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 87.0%
  • Recent 20-Day HV: 68.8%
  • Parkinson Intraday Volatility: 68.9%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.3%
  • Top 10% Move (90th percentile): +26.2%
  • Bottom 10% Move (10th percentile): -18.2%
  • Max Historical Gain (14d): +108.1%
  • Max Historical Loss (14d): -46.3%