Finance

AMZN Move Probability $262.37 -0.41 (-0.2%)

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)
3.3%
Stock touched +5.0% ($275.48) 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
2.43x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.1%
$256.85 — $267.88

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%.

-9.0% to -7.5%: 2 occurrences (0.4%) -8.3% -7.5% to -6.0%: 0 occurrences (0.0%) -6.0% to -4.5%: 7 occurrences (1.3%) -4.5% to -3.0%: 19 occurrences (3.6%) -3.7% -3.0% to -1.5%: 68 occurrences (13.1%) -1.5% to +0.1%: 168 occurrences (32.2%) +0.1% to +1.6%: 158 occurrences (30.3%) 0.8% +1.6% to +3.1%: 69 occurrences (13.2%) +3.1% to +4.6%: 22 occurrences (4.2%) +4.6% to +6.1%: 3 occurrences (0.6%) 5.3% +6.1% to +7.6%: 1 occurrences (0.2%) +7.6% to +9.1%: 1 occurrences (0.2%) +9.1% to +10.6%: 1 occurrences (0.2%) 9.9% +10.6% to +12.1%: 1 occurrences (0.2%) +12.1% to +13.6%: 0 occurrences (0.0%) +13.6% to +15.1%: 1 occurrences (0.2%) 14.4%
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) 3.3% 1.3% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.6% Adjusts normal bell curve for real-world skewness (0.69) and kurtosis (6.45).
Standard Normal (Black-Scholes / GBM) 2.0% 1.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.6% 1.6% Filters for historical windows that started with volatility similar to current 20-day HV (387 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.4%
  • Recent 20-Day HV: 27.5%
  • Parkinson Intraday Volatility: 25.1%
  • Vol Trend: Compressed (-18% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.3%
  • Bottom 10% Move (10th percentile): -2.2%
  • Max Historical Gain (1d): +15.1%
  • Max Historical Loss (1d): -9.0%