Finance

ABNB Move Probability $176.38 +2.69 (+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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
3.1%
Stock touched +5.0% ($185.20) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.29x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.3%
$172.30 — $180.46

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-8.7% to -7.1%: 4 occurrences (0.8%) -7.9% -7.1% to -5.4%: 7 occurrences (1.3%) -5.4% to -3.8%: 9 occurrences (1.7%) -3.8% to -2.2%: 34 occurrences (6.5%) -3.0% -2.2% to -0.5%: 138 occurrences (26.4%) -0.5% to +1.1%: 184 occurrences (35.2%) +1.1% to +2.7%: 102 occurrences (19.5%) 1.9% +2.7% to +4.4%: 34 occurrences (6.5%) +4.4% to +6.0%: 7 occurrences (1.3%) +6.0% to +7.6%: 0 occurrences (0.0%) 6.8% +7.6% to +9.3%: 0 occurrences (0.0%) +9.3% to +10.9%: 0 occurrences (0.0%) +10.9% to +12.5%: 0 occurrences (0.0%) 11.7% +12.5% to +14.2%: 0 occurrences (0.0%) +14.2% to +15.8%: 2 occurrences (0.4%) +15.8% to +17.5%: 1 occurrences (0.2%) 16.6%
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) 3.1% 1.3% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.6% Adjusts normal bell curve for real-world skewness (0.83) and kurtosis (9.17).
Standard Normal (Black-Scholes / GBM) 3.5% 1.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.0% 1.3% Filters for historical windows that started with volatility similar to current 20-day HV (299 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 36.7%
  • Recent 20-Day HV: 26.1%
  • Parkinson Intraday Volatility: 28.3%
  • Vol Trend: Compressed (-29% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.6%
  • Bottom 10% Move (10th percentile): -2.2%
  • Max Historical Gain (1d): +17.5%
  • Max Historical Loss (1d): -8.7%