Finance

XPON Move Probability $3.99 +0.07 (+1.8%)

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)
67.5%
Stock touched +5.0% ($4.19) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
32.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.07x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±76.7%
$0.93 — $7.05

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%.

-95.1% to -19.7%: 120 occurrences (23.6%) -57.4% -19.7% to +55.7%: 343 occurrences (67.5%) +55.7% to +131.1%: 16 occurrences (3.1%) +131.1% to +206.5%: 13 occurrences (2.6%) 168.8% +206.5% to +281.9%: 0 occurrences (0.0%) +281.9% to +357.2%: 0 occurrences (0.0%) +357.2% to +432.6%: 0 occurrences (0.0%) 394.9% +432.6% to +508.0%: 0 occurrences (0.0%) +508.0% to +583.4%: 0 occurrences (0.0%) +583.4% to +658.8%: 4 occurrences (0.8%) 621.1% +658.8% to +734.2%: 2 occurrences (0.4%) +734.2% to +809.6%: 7 occurrences (1.4%) +809.6% to +885.0%: 1 occurrences (0.2%) 847.3% +885.0% to +960.4%: 0 occurrences (0.0%) +960.4% to +1035.7%: 0 occurrences (0.0%) +1035.7% to +1111.1%: 2 occurrences (0.4%) 1073.4%
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) 67.5% 32.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.8% Adjusts normal bell curve for real-world skewness (2.89) and kurtosis (111.18).
Standard Normal (Black-Scholes / GBM) 94.9% 47.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.6% 25.2% Filters for historical windows that started with volatility similar to current 20-day HV (143 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 325.4%
  • Recent 20-Day HV: 60.3%
  • Parkinson Intraday Volatility: 101.6%
  • Vol Trend: Compressed (-81% vs baseline)

14-Day Return Quantiles

  • Median Return: -7.0%
  • Top 10% Move (90th percentile): +48.9%
  • Bottom 10% Move (10th percentile): -29.9%
  • Max Historical Gain (14d): +1111.1%
  • Max Historical Loss (14d): -95.1%