Finance

DIA Move Probability $522.36 +5.36 (+1.0%)

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)
10.8%
Stock touched +5.0% ($548.48) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
6.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.72x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.5%
$504.16 — $540.56

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-10.3% to -9.1%: 1 occurrences (0.2%) -9.7% -9.1% to -7.8%: 3 occurrences (0.6%) -7.8% to -6.6%: 2 occurrences (0.4%) -6.6% to -5.3%: 14 occurrences (2.8%) -6.0% -5.3% to -4.1%: 17 occurrences (3.3%) -4.1% to -2.9%: 26 occurrences (5.1%) -2.9% to -1.6%: 40 occurrences (7.9%) -2.2% -1.6% to -0.4%: 50 occurrences (9.8%) -0.4% to +0.9%: 87 occurrences (17.1%) +0.9% to +2.1%: 111 occurrences (21.9%) 1.5% +2.1% to +3.3%: 76 occurrences (15.0%) +3.3% to +4.6%: 40 occurrences (7.9%) +4.6% to +5.8%: 25 occurrences (4.9%) 5.2% +5.8% to +7.1%: 11 occurrences (2.2%) +7.1% to +8.3%: 3 occurrences (0.6%) +8.3% to +9.5%: 2 occurrences (0.4%) 8.9%
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) 10.8% 6.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.5% Adjusts normal bell curve for real-world skewness (0.41) and kurtosis (10.4).
Standard Normal (Black-Scholes / GBM) 16.1% 8.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 8.1% 3.9% Filters for historical windows that started with volatility similar to current 20-day HV (335 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 14.8%
  • Recent 20-Day HV: 10.6%
  • Parkinson Intraday Volatility: 11.4%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +4.1%
  • Bottom 10% Move (10th percentile): -3.3%
  • Max Historical Gain (14d): +9.5%
  • Max Historical Loss (14d): -10.3%