Finance

DAVE Move Probability $376.66 +11.67 (+3.2%)

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)
26.7%
Stock touched +5.0% ($395.49) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
15.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.74x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.2%
$357.00 — $396.32

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-17.5% to -13.7%: 3 occurrences (0.6%) -15.6% -13.7% to -9.8%: 10 occurrences (1.9%) -9.8% to -5.9%: 23 occurrences (4.4%) -5.9% to -2.0%: 111 occurrences (21.3%) -3.9% -2.0% to +1.9%: 188 occurrences (36.1%) +1.9% to +5.8%: 127 occurrences (24.4%) +5.8% to +9.7%: 45 occurrences (8.6%) 7.7% +9.7% to +13.6%: 8 occurrences (1.5%) +13.6% to +17.4%: 1 occurrences (0.2%) +17.4% to +21.3%: 2 occurrences (0.4%) 19.4% +21.3% to +25.2%: 1 occurrences (0.2%) +25.2% to +29.1%: 0 occurrences (0.0%) +29.1% to +33.0%: 0 occurrences (0.0%) 31.0% +33.0% to +36.9%: 0 occurrences (0.0%) +36.9% to +40.8%: 0 occurrences (0.0%) +40.8% to +44.7%: 2 occurrences (0.4%) 42.7%
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) 26.7% 15.4% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.9% Adjusts normal bell curve for real-world skewness (0.97) and kurtosis (8.26).
Standard Normal (Black-Scholes / GBM) 35.0% 17.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 23.4% 13.0% Filters for historical windows that started with volatility similar to current 20-day HV (192 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 82.9%
  • Recent 20-Day HV: 50.1%
  • Parkinson Intraday Volatility: 59.9%
  • Vol Trend: Compressed (-39% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +6.2%
  • Bottom 10% Move (10th percentile): -5.2%
  • Max Historical Gain (1d): +44.7%
  • Max Historical Loss (1d): -17.5%