Finance

AAPL Move Probability $343.94 +4.27 (+1.3%)

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)
1.2%
Stock touched +5.0% ($361.13) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.8%
$337.85 — $350.02

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-9.3% to -7.8%: 1 occurrences (0.2%) -8.5% -7.8% to -6.3%: 2 occurrences (0.4%) -6.3% to -4.8%: 4 occurrences (0.8%) -4.8% to -3.3%: 11 occurrences (2.1%) -4.0% -3.3% to -1.7%: 34 occurrences (6.5%) -1.7% to -0.2%: 138 occurrences (26.5%) -0.2% to +1.3%: 238 occurrences (45.7%) 0.5% +1.3% to +2.8%: 69 occurrences (13.2%) +2.8% to +4.3%: 19 occurrences (3.6%) +4.3% to +5.8%: 3 occurrences (0.6%) 5.0% +5.8% to +7.3%: 1 occurrences (0.2%) +7.3% to +8.8%: 0 occurrences (0.0%) +8.8% to +10.3%: 0 occurrences (0.0%) 9.6% +10.3% to +11.8%: 0 occurrences (0.0%) +11.8% to +13.3%: 0 occurrences (0.0%) +13.3% to +14.9%: 1 occurrences (0.2%) 14.1%
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) 1.2% 0.6% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 99.6% Adjusts normal bell curve for real-world skewness (0.18) and kurtosis (9.86).
Standard Normal (Black-Scholes / GBM) 0.6% 0.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.4% 0.4% Filters for historical windows that started with volatility similar to current 20-day HV (223 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 28.1%
  • Recent 20-Day HV: 16.7%
  • Parkinson Intraday Volatility: 23.2%
  • Vol Trend: Compressed (-41% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.9%
  • Bottom 10% Move (10th percentile): -1.7%
  • Max Historical Gain (1d): +14.9%
  • Max Historical Loss (1d): -9.3%