Finance

DFH Move Probability $7.42 -1.81 (-19.6%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to DFH Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
25.2%
Stock touched +5.0% ($7.79) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
11.5%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.18x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.2%
$7.03 — $7.80

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-18.1% to -15.9%: 3 occurrences (0.6%) -17.0% -15.9% to -13.7%: 0 occurrences (0.0%) -13.7% to -11.5%: 2 occurrences (0.4%) -11.5% to -9.3%: 10 occurrences (1.9%) -10.4% -9.3% to -7.1%: 15 occurrences (2.9%) -7.1% to -4.9%: 43 occurrences (8.3%) -4.9% to -2.7%: 95 occurrences (18.3%) -3.8% -2.7% to -0.5%: 107 occurrences (20.6%) -0.5% to +1.7%: 107 occurrences (20.6%) +1.7% to +3.9%: 53 occurrences (10.2%) 2.8% +3.9% to +6.0%: 42 occurrences (8.1%) +6.0% to +8.2%: 18 occurrences (3.5%) +8.2% to +10.4%: 6 occurrences (1.2%) 9.3% +10.4% to +12.6%: 8 occurrences (1.5%) +12.6% to +14.8%: 5 occurrences (1.0%) +14.8% to +17.0%: 6 occurrences (1.2%) 15.9%
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) 25.2% 11.5% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.5% Adjusts normal bell curve for real-world skewness (0.0) and kurtosis (3.87).
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) 30.9% 8.6% Filters for historical windows that started with volatility similar to current 20-day HV (162 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.6%
  • Recent 20-Day HV: 92.0%
  • Parkinson Intraday Volatility: 42.5%
  • Vol Trend: Expanded (+57% vs baseline)

2-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +5.8%
  • Bottom 10% Move (10th percentile): -5.9%
  • Max Historical Gain (2d): +17.0%
  • Max Historical Loss (2d): -18.1%