Finance

BULL Move Probability $7.68 -1.01 (-11.6%)

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)
17.1%
Stock touched +5.0% ($8.06) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
7.1%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.41x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.2%
$7.05 — $8.31

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 520 historical windows (2024-08-19 to 2026-09-16). The colored bar indicates the win zone for +5.0%.

-27.1% to -1.0%: 165 occurrences (31.7%) -14.1% -1.0% to +25.1%: 354 occurrences (68.1%) +25.1% to +51.3%: 0 occurrences (0.0%) +51.3% to +77.4%: 0 occurrences (0.0%) 64.4% +77.4% to +103.6%: 0 occurrences (0.0%) +103.6% to +129.7%: 0 occurrences (0.0%) +129.7% to +155.9%: 0 occurrences (0.0%) 142.8% +155.9% to +182.0%: 0 occurrences (0.0%) +182.0% to +208.2%: 0 occurrences (0.0%) +208.2% to +234.3%: 0 occurrences (0.0%) 221.2% +234.3% to +260.5%: 0 occurrences (0.0%) +260.5% to +286.6%: 0 occurrences (0.0%) +286.6% to +312.7%: 0 occurrences (0.0%) 299.7% +312.7% to +338.9%: 0 occurrences (0.0%) +338.9% to +365.0%: 0 occurrences (0.0%) +365.0% to +391.2%: 1 occurrences (0.2%) 378.1%
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) 17.1% 7.1% Model-free reality across 520 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (14.1) and kurtosis (274.88).
Standard Normal (Black-Scholes / GBM) 55.0% 27.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.3% 9.2% Filters for historical windows that started with volatility similar to current 20-day HV (217 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 129.7%
  • Recent 20-Day HV: 81.8%
  • Parkinson Intraday Volatility: 80.7%
  • Vol Trend: Compressed (-37% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +4.1%
  • Bottom 10% Move (10th percentile): -4.7%
  • Max Historical Gain (1d): +391.2%
  • Max Historical Loss (1d): -27.1%