Finance

WRBY Move Probability $25.62 +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)
70.7%
Stock touched +5.0% ($26.91) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
44.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.57x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.5%
$21.66 — $29.59

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%.

-26.8% to -20.2%: 30 occurrences (5.9%) -23.5% -20.2% to -13.7%: 47 occurrences (9.3%) -13.7% to -7.2%: 63 occurrences (12.4%) -7.2% to -0.6%: 63 occurrences (12.4%) -3.9% -0.6% to +5.9%: 94 occurrences (18.5%) +5.9% to +12.4%: 109 occurrences (21.5%) +12.4% to +19.0%: 49 occurrences (9.6%) 15.7% +19.0% to +25.5%: 21 occurrences (4.1%) +25.5% to +32.0%: 15 occurrences (3.0%) +32.0% to +38.6%: 10 occurrences (2.0%) 35.3% +38.6% to +45.1%: 4 occurrences (0.8%) +45.1% to +51.6%: 1 occurrences (0.2%) +51.6% to +58.2%: 0 occurrences (0.0%) 54.9% +58.2% to +64.7%: 0 occurrences (0.0%) +64.7% to +71.2%: 1 occurrences (0.2%) +71.2% to +77.8%: 1 occurrences (0.2%) 74.5%
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) 70.7% 44.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.4% Adjusts normal bell curve for real-world skewness (0.9) and kurtosis (4.79).
Standard Normal (Black-Scholes / GBM) 75.2% 37.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.6% 45.7% Filters for historical windows that started with volatility similar to current 20-day HV (280 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 65.6%
  • Recent 20-Day HV: 78.6%
  • Parkinson Intraday Volatility: 55.2%
  • Vol Trend: Expanded (+20% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.7%
  • Top 10% Move (90th percentile): +19.3%
  • Bottom 10% Move (10th percentile): -17.1%
  • Max Historical Gain (14d): +77.8%
  • Max Historical Loss (14d): -26.8%