Finance

WVE Move Probability $3.38 -0.05 (-1.5%)

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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Touch Probability (First Passage)
71.3%
Stock touched +5.0% ($3.55) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
28.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.46x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±33.5%
$2.25 — $4.51

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%.

-44.0% to -16.2%: 64 occurrences (12.6%) -30.1% -16.2% to +11.6%: 345 occurrences (67.9%) +11.6% to +39.5%: 54 occurrences (10.6%) +39.5% to +67.3%: 6 occurrences (1.2%) 53.4% +67.3% to +95.1%: 11 occurrences (2.2%) +95.1% to +123.0%: 5 occurrences (1.0%) +123.0% to +150.8%: 5 occurrences (1.0%) 136.9% +150.8% to +178.7%: 2 occurrences (0.4%) +178.7% to +206.5%: 2 occurrences (0.4%) +206.5% to +234.3%: 0 occurrences (0.0%) 220.4% +234.3% to +262.2%: 1 occurrences (0.2%) +262.2% to +290.0%: 4 occurrences (0.8%) +290.0% to +317.9%: 2 occurrences (0.4%) 303.9% +317.9% to +345.7%: 0 occurrences (0.0%) +345.7% to +373.5%: 3 occurrences (0.6%) +373.5% to +401.4%: 4 occurrences (0.8%) 387.5%
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) 71.3% 28.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.3% Adjusts normal bell curve for real-world skewness (9.61) and kurtosis (130.65).
Standard Normal (Black-Scholes / GBM) 88.4% 44.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.5% 26.1% Filters for historical windows that started with volatility similar to current 20-day HV (322 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 142.1%
  • Recent 20-Day HV: 57.6%
  • Parkinson Intraday Volatility: 67.4%
  • Vol Trend: Compressed (-60% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.5%
  • Top 10% Move (90th percentile): +24.3%
  • Bottom 10% Move (10th percentile): -18.4%
  • Max Historical Gain (14d): +401.4%
  • Max Historical Loss (14d): -44.0%