Finance

DE Move Probability $638.59 +2.08 (+0.3%)

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)
2.3%
Stock touched +5.0% ($670.52) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.33x
You are 1.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.9%
$626.39 — $650.79

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-6.8% to -5.6%: 2 occurrences (0.4%) -6.2% -5.6% to -4.5%: 7 occurrences (1.3%) -4.5% to -3.3%: 5 occurrences (1.0%) -3.3% to -2.2%: 22 occurrences (4.2%) -2.7% -2.2% to -1.0%: 102 occurrences (19.5%) -1.0% to +0.2%: 147 occurrences (28.2%) +0.2% to +1.3%: 129 occurrences (24.7%) 0.7% +1.3% to +2.5%: 66 occurrences (12.6%) +2.5% to +3.6%: 23 occurrences (4.4%) +3.6% to +4.8%: 9 occurrences (1.7%) 4.2% +4.8% to +5.9%: 5 occurrences (1.0%) +5.9% to +7.1%: 2 occurrences (0.4%) +7.1% to +8.2%: 1 occurrences (0.2%) 7.7% +8.2% to +9.4%: 0 occurrences (0.0%) +9.4% to +10.5%: 1 occurrences (0.2%) +10.5% to +11.7%: 1 occurrences (0.2%) 11.1%
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) 2.3% 1.7% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.7% Adjusts normal bell curve for real-world skewness (0.7) and kurtosis (4.02).
Standard Normal (Black-Scholes / GBM) 1.1% 0.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.1% 2.4% Filters for historical windows that started with volatility similar to current 20-day HV (382 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.3%
  • Recent 20-Day HV: 30.3%
  • Parkinson Intraday Volatility: 24.0%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.2%
  • Bottom 10% Move (10th percentile): -1.9%
  • Max Historical Gain (1d): +11.7%
  • Max Historical Loss (1d): -6.8%