Finance

C Move Probability $123.82 +1.30 (+1.1%)

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)
6.7%
Stock touched +5.0% ($130.01) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
3.3%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.06x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.8%
$120.40 — $127.24

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-19.0% to -17.1%: 1 occurrences (0.2%) -18.1% -17.1% to -15.3%: 0 occurrences (0.0%) -15.3% to -13.4%: 0 occurrences (0.0%) -13.4% to -11.6%: 0 occurrences (0.0%) -12.5% -11.6% to -9.7%: 1 occurrences (0.2%) -9.7% to -7.9%: 2 occurrences (0.4%) -7.9% to -6.0%: 3 occurrences (0.6%) -6.9% -6.0% to -4.1%: 19 occurrences (3.7%) -4.1% to -2.3%: 47 occurrences (9.0%) -2.3% to -0.4%: 107 occurrences (20.6%) -1.4% -0.4% to +1.4%: 169 occurrences (32.5%) +1.4% to +3.3%: 116 occurrences (22.3%) +3.3% to +5.1%: 39 occurrences (7.5%) 4.2% +5.1% to +7.0%: 12 occurrences (2.3%) +7.0% to +8.9%: 3 occurrences (0.6%) +8.9% to +10.7%: 1 occurrences (0.2%) 9.8%
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) 6.7% 3.3% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.5% Adjusts normal bell curve for real-world skewness (-0.61) and kurtosis (5.56).
Standard Normal (Black-Scholes / GBM) 7.7% 3.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 5.8% 2.9% Filters for historical windows that started with volatility similar to current 20-day HV (415 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.0%
  • Recent 20-Day HV: 28.6%
  • Parkinson Intraday Volatility: 25.8%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +3.5%
  • Bottom 10% Move (10th percentile): -3.0%
  • Max Historical Gain (2d): +10.7%
  • Max Historical Loss (2d): -19.0%