Finance

XTNT Move Probability $0.31 +0.01 (+3.1%)

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)
57.5%
Stock touched +5.0% ($0.32) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
30.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.87x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.7%
$0.26 — $0.36

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%.

-30.0% to -24.8%: 21 occurrences (4.1%) -27.4% -24.8% to -19.7%: 33 occurrences (6.5%) -19.7% to -14.6%: 39 occurrences (7.7%) -14.6% to -9.5%: 63 occurrences (12.4%) -12.0% -9.5% to -4.4%: 71 occurrences (14.0%) -4.4% to +0.8%: 86 occurrences (16.9%) +0.8% to +5.9%: 46 occurrences (9.1%) 3.3% +5.9% to +11.0%: 52 occurrences (10.2%) +11.0% to +16.1%: 24 occurrences (4.7%) +16.1% to +21.3%: 17 occurrences (3.3%) 18.7% +21.3% to +26.4%: 15 occurrences (3.0%) +26.4% to +31.5%: 17 occurrences (3.3%) +31.5% to +36.6%: 12 occurrences (2.4%) 34.1% +36.6% to +41.7%: 5 occurrences (1.0%) +41.7% to +46.9%: 5 occurrences (1.0%) +46.9% to +52.0%: 2 occurrences (0.4%) 49.4%
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) 57.5% 30.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.3% Adjusts normal bell curve for real-world skewness (0.11) and kurtosis (7.44).
Standard Normal (Black-Scholes / GBM) 77.0% 38.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.8% 27.6% Filters for historical windows that started with volatility similar to current 20-day HV (214 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 70.7%
  • Recent 20-Day HV: 47.0%
  • Parkinson Intraday Volatility: 37.0%
  • Vol Trend: Compressed (-33% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.6%
  • Top 10% Move (90th percentile): +22.9%
  • Bottom 10% Move (10th percentile): -19.8%
  • Max Historical Gain (14d): +52.0%
  • Max Historical Loss (14d): -30.0%