Finance

YTRA Move Probability $0.95 +0.01 (+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.

← Back to YTRA Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
44.5%
Stock touched +5.0% ($0.99) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
27.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.64x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.4%
$0.82 — $1.07

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%.

-32.2% to -26.5%: 3 occurrences (0.6%) -29.3% -26.5% to -20.8%: 16 occurrences (3.1%) -20.8% to -15.2%: 47 occurrences (9.3%) -15.2% to -9.5%: 70 occurrences (13.8%) -12.3% -9.5% to -3.8%: 90 occurrences (17.7%) -3.8% to +1.8%: 99 occurrences (19.5%) +1.8% to +7.5%: 71 occurrences (14.0%) 4.6% +7.5% to +13.1%: 52 occurrences (10.2%) +13.1% to +18.8%: 29 occurrences (5.7%) +18.8% to +24.5%: 9 occurrences (1.8%) 21.6% +24.5% to +30.1%: 3 occurrences (0.6%) +30.1% to +35.8%: 2 occurrences (0.4%) +35.8% to +41.5%: 5 occurrences (1.0%) 38.6% +41.5% to +47.1%: 3 occurrences (0.6%) +47.1% to +52.8%: 2 occurrences (0.4%) +52.8% to +58.5%: 7 occurrences (1.4%) 55.6%
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) 44.5% 27.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.7% Adjusts normal bell curve for real-world skewness (-0.11) and kurtosis (4.26).
Standard Normal (Black-Scholes / GBM) 71.6% 35.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 42.6% 20.8% Filters for historical windows that started with volatility similar to current 20-day HV (331 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 56.9%
  • Recent 20-Day HV: 61.9%
  • Parkinson Intraday Volatility: 27.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.9%
  • Top 10% Move (90th percentile): +15.5%
  • Bottom 10% Move (10th percentile): -16.9%
  • Max Historical Gain (14d): +58.5%
  • Max Historical Loss (14d): -32.2%