Finance

AVGO Move Probability $327.00 +0.85 (+0.3%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
65.8%
Stock touched -3.5% ($315.56) at least once during 10 trading days.
Median first touch: Day 3 of 10
Expiration Close Probability
27.7%
Stock closed at or beyond -3.5% at the end of the 10-day window.
The Touch Multiple
2.37x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.2%
$293.63 — $360.37

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 512 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for -3.5%.

-23.6% to -19.0%: 6 occurrences (1.2%) -21.3% -19.0% to -14.4%: 11 occurrences (2.1%) -14.4% to -9.8%: 30 occurrences (5.9%) -9.8% to -5.2%: 70 occurrences (13.7%) -7.5% -5.2% to -0.6%: 96 occurrences (18.8%) -0.6% to +4.0%: 121 occurrences (23.6%) +4.0% to +8.7%: 91 occurrences (17.8%) 6.4% +8.7% to +13.3%: 38 occurrences (7.4%) +13.3% to +17.9%: 18 occurrences (3.5%) +17.9% to +22.5%: 14 occurrences (2.7%) 20.2% +22.5% to +27.1%: 4 occurrences (0.8%) +27.1% to +31.7%: 7 occurrences (1.4%) +31.7% to +36.3%: 2 occurrences (0.4%) 34.0% +36.3% to +40.9%: 2 occurrences (0.4%) +40.9% to +45.5%: 1 occurrences (0.2%) +45.5% to +50.1%: 1 occurrences (0.2%) 47.8%
Historical returns Target move zone (-3.5%+) 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) 65.8% 27.7% Model-free reality across 512 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.4% Adjusts normal bell curve for real-world skewness (0.29) and kurtosis (7.86).
Standard Normal (Black-Scholes / GBM) 72.7% 36.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.5% 27.0% Filters for historical windows that started with volatility similar to current 20-day HV (371 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.2%
  • Recent 20-Day HV: 44.9%
  • Parkinson Intraday Volatility: 36.8%
  • Vol Trend: Normal / Consistent

10-Day Return Quantiles

  • Median Return: +1.5%
  • Top 10% Move (90th percentile): +13.0%
  • Bottom 10% Move (10th percentile): -9.4%
  • Max Historical Gain (10d): +50.1%
  • Max Historical Loss (10d): -23.6%