Finance

WTM Move Probability $2206.41 -16.31 (-0.7%)

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)
25.6%
Stock touched +5.0% ($2316.73) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
15.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.65x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$2096.96 — $2315.86

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%.

-9.7% to -8.1%: 10 occurrences (2.0%) -8.9% -8.1% to -6.6%: 9 occurrences (1.8%) -6.6% to -5.1%: 16 occurrences (3.1%) -5.1% to -3.6%: 31 occurrences (6.1%) -4.4% -3.6% to -2.1%: 64 occurrences (12.6%) -2.1% to -0.6%: 67 occurrences (13.2%) -0.6% to +0.9%: 91 occurrences (17.9%) 0.1% +0.9% to +2.4%: 59 occurrences (11.6%) +2.4% to +3.9%: 56 occurrences (11.0%) +3.9% to +5.4%: 32 occurrences (6.3%) 4.7% +5.4% to +6.9%: 29 occurrences (5.7%) +6.9% to +8.4%: 25 occurrences (4.9%) +8.4% to +9.9%: 10 occurrences (2.0%) 9.2% +9.9% to +11.4%: 7 occurrences (1.4%) +11.4% to +12.9%: 1 occurrences (0.2%) +12.9% to +14.5%: 1 occurrences (0.2%) 13.7%
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) 25.6% 15.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.0% Adjusts normal bell curve for real-world skewness (0.89) and kurtosis (8.62).
Standard Normal (Black-Scholes / GBM) 32.5% 16.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 27.2% 20.2% Filters for historical windows that started with volatility similar to current 20-day HV (213 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.0%
  • Recent 20-Day HV: 14.5%
  • Parkinson Intraday Volatility: 10.9%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +6.4%
  • Bottom 10% Move (10th percentile): -4.5%
  • Max Historical Gain (14d): +14.5%
  • Max Historical Loss (14d): -9.7%