Finance

AMAT Move Probability $477.10 -20.47 (-4.1%)

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)
30.6%
Stock touched +5.0% ($500.96) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
18.1%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.8%
$449.64 — $504.56

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-18.6% to -16.3%: 2 occurrences (0.4%) -17.5% -16.3% to -14.0%: 4 occurrences (0.8%) -14.0% to -11.6%: 5 occurrences (1.0%) -11.6% to -9.3%: 9 occurrences (1.7%) -10.5% -9.3% to -7.0%: 14 occurrences (2.7%) -7.0% to -4.7%: 39 occurrences (7.5%) -4.7% to -2.3%: 59 occurrences (11.4%) -3.5% -2.3% to -0.0%: 100 occurrences (19.3%) -0.0% to +2.3%: 97 occurrences (18.7%) +2.3% to +4.6%: 85 occurrences (16.4%) 3.5% +4.6% to +7.0%: 48 occurrences (9.2%) +7.0% to +9.3%: 26 occurrences (5.0%) +9.3% to +11.6%: 14 occurrences (2.7%) 10.5% +11.6% to +14.0%: 12 occurrences (2.3%) +14.0% to +16.3%: 1 occurrences (0.2%) +16.3% to +18.6%: 4 occurrences (0.8%) 17.4%
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) 30.6% 18.1% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.1% Adjusts normal bell curve for real-world skewness (-0.13) and kurtosis (2.9).
Standard Normal (Black-Scholes / GBM) 39.7% 19.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 28.0% 17.9% Filters for historical windows that started with volatility similar to current 20-day HV (364 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 52.7%
  • Recent 20-Day HV: 42.0%
  • Parkinson Intraday Volatility: 36.8%
  • Vol Trend: Compressed (-20% vs baseline)

3-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +7.8%
  • Bottom 10% Move (10th percentile): -5.6%
  • Max Historical Gain (3d): +18.6%
  • Max Historical Loss (3d): -18.6%