Finance

COST Move Probability $998.59 +4.26 (+0.4%)

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)
2.1%
Stock touched +5.0% ($1048.52) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
3.67x
You are 3.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.8%
$980.17 — $1017.01

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%.

-9.0% to -8.1%: 1 occurrences (0.2%) -8.5% -8.1% to -7.1%: 1 occurrences (0.2%) -7.1% to -6.1%: 0 occurrences (0.0%) -6.1% to -5.2%: 1 occurrences (0.2%) -5.7% -5.2% to -4.2%: 8 occurrences (1.5%) -4.2% to -3.2%: 8 occurrences (1.5%) -3.2% to -2.3%: 30 occurrences (5.8%) -2.8% -2.3% to -1.3%: 54 occurrences (10.4%) -1.3% to -0.4%: 106 occurrences (20.4%) -0.4% to +0.6%: 116 occurrences (22.3%) 0.1% +0.6% to +1.6%: 95 occurrences (18.3%) +1.6% to +2.5%: 57 occurrences (11.0%) +2.5% to +3.5%: 27 occurrences (5.2%) 3.0% +3.5% to +4.5%: 11 occurrences (2.1%) +4.5% to +5.4%: 3 occurrences (0.6%) +5.4% to +6.4%: 2 occurrences (0.4%) 5.9%
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) 2.1% 0.6% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.1% Adjusts normal bell curve for real-world skewness (-0.28) and kurtosis (2.53).
Standard Normal (Black-Scholes / GBM) 0.8% 0.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.5% 0.3% Filters for historical windows that started with volatility similar to current 20-day HV (399 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 20.7%
  • Recent 20-Day HV: 17.2%
  • Parkinson Intraday Volatility: 17.8%
  • Vol Trend: Compressed (-17% vs baseline)

2-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.3%
  • Bottom 10% Move (10th percentile): -2.2%
  • Max Historical Gain (2d): +6.4%
  • Max Historical Loss (2d): -9.0%