Finance

AVGO Move Probability $337.87 +3.40 (+1.0%)

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)
10.0%
Stock touched +5.0% ($354.76) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
4.2%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.36x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.2%
$327.03 — $348.71

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%.

-17.1% to -14.5%: 1 occurrences (0.2%) -15.8% -14.5% to -11.9%: 1 occurrences (0.2%) -11.9% to -9.3%: 2 occurrences (0.4%) -9.3% to -6.8%: 3 occurrences (0.6%) -8.1% -6.8% to -4.2%: 25 occurrences (4.8%) -4.2% to -1.6%: 86 occurrences (16.5%) -1.6% to +1.0%: 223 occurrences (42.8%) -0.3% +1.0% to +3.6%: 132 occurrences (25.3%) +3.6% to +6.2%: 34 occurrences (6.5%) +6.2% to +8.7%: 7 occurrences (1.3%) 7.5% +8.7% to +11.3%: 5 occurrences (1.0%) +11.3% to +13.9%: 0 occurrences (0.0%) +13.9% to +16.5%: 0 occurrences (0.0%) 15.2% +16.5% to +19.1%: 1 occurrences (0.2%) +19.1% to +21.7%: 0 occurrences (0.0%) +21.7% to +24.2%: 1 occurrences (0.2%) 23.0%
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) 10.0% 4.2% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.6% Adjusts normal bell curve for real-world skewness (0.3) and kurtosis (8.06).
Standard Normal (Black-Scholes / GBM) 12.8% 6.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 9.7% 4.7% Filters for historical windows that started with volatility similar to current 20-day HV (321 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.9%
  • Recent 20-Day HV: 36.0%
  • Parkinson Intraday Volatility: 36.8%
  • Vol Trend: Compressed (-29% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +3.4%
  • Bottom 10% Move (10th percentile): -3.3%
  • Max Historical Gain (1d): +24.2%
  • Max Historical Loss (1d): -17.1%