Finance

DIA Move Probability $527.70 +3.49 (+0.7%)

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)
0.6%
Stock touched +5.0% ($554.09) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.4%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.50x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.3%
$520.77 — $534.63

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%.

-9.2% to -8.2%: 1 occurrences (0.2%) -8.7% -8.2% to -7.2%: 0 occurrences (0.0%) -7.2% to -6.2%: 1 occurrences (0.2%) -6.2% to -5.2%: 0 occurrences (0.0%) -5.7% -5.2% to -4.2%: 0 occurrences (0.0%) -4.2% to -3.2%: 3 occurrences (0.6%) -3.2% to -2.2%: 9 occurrences (1.7%) -2.7% -2.2% to -1.2%: 36 occurrences (6.9%) -1.2% to -0.2%: 147 occurrences (28.3%) -0.2% to +0.8%: 197 occurrences (37.9%) 0.3% +0.8% to +1.8%: 87 occurrences (16.7%) +1.8% to +2.8%: 31 occurrences (6.0%) +2.8% to +3.8%: 4 occurrences (0.8%) 3.3% +3.8% to +4.8%: 2 occurrences (0.4%) +4.8% to +5.8%: 1 occurrences (0.2%) +5.8% to +6.8%: 1 occurrences (0.2%) 6.3%
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) 0.6% 0.4% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (0.42) and kurtosis (10.55).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (271 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 14.7%
  • Recent 20-Day HV: 9.4%
  • Parkinson Intraday Volatility: 11.4%
  • Vol Trend: Compressed (-36% vs baseline)

2-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.6%
  • Bottom 10% Move (10th percentile): -1.2%
  • Max Historical Gain (2d): +6.8%
  • Max Historical Loss (2d): -9.2%