Finance

CMCSA Move Probability $22.07 -0.32 (-1.5%)

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)
4.8%
Stock touched +5.0% ($23.17) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
1.9%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.50x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.7%
$21.47 — $22.66

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%.

-13.0% to -11.6%: 1 occurrences (0.2%) -12.3% -11.6% to -10.2%: 1 occurrences (0.2%) -10.2% to -8.9%: 1 occurrences (0.2%) -8.9% to -7.5%: 4 occurrences (0.8%) -8.2% -7.5% to -6.1%: 7 occurrences (1.3%) -6.1% to -4.7%: 6 occurrences (1.2%) -4.7% to -3.3%: 17 occurrences (3.3%) -4.0% -3.3% to -1.9%: 58 occurrences (11.2%) -1.9% to -0.5%: 113 occurrences (21.7%) -0.5% to +0.9%: 147 occurrences (28.3%) 0.2% +0.9% to +2.3%: 101 occurrences (19.4%) +2.3% to +3.6%: 38 occurrences (7.3%) +3.6% to +5.0%: 16 occurrences (3.1%) 4.3% +5.0% to +6.4%: 4 occurrences (0.8%) +6.4% to +7.8%: 2 occurrences (0.4%) +7.8% to +9.2%: 4 occurrences (0.8%) 8.5%
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) 4.8% 1.9% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.1% Adjusts normal bell curve for real-world skewness (-1.43) and kurtosis (9.75).
Standard Normal (Black-Scholes / GBM) 7.0% 3.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 5.0% 1.9% Filters for historical windows that started with volatility similar to current 20-day HV (322 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.2%
  • Recent 20-Day HV: 22.4%
  • Parkinson Intraday Volatility: 25.6%
  • Vol Trend: Compressed (-26% vs baseline)

2-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.5%
  • Bottom 10% Move (10th percentile): -2.7%
  • Max Historical Gain (2d): +9.2%
  • Max Historical Loss (2d): -13.0%