Finance

DIS Move Probability $111.81 +0.16 (+0.1%)

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)
33.7%
Stock touched +5.0% ($117.41) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
18.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.6%
$104.49 — $119.14

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-18.4% to -15.5%: 6 occurrences (1.2%) -17.0% -15.5% to -12.6%: 5 occurrences (1.0%) -12.6% to -9.7%: 11 occurrences (2.2%) -9.7% to -6.7%: 21 occurrences (4.1%) -8.2% -6.7% to -3.8%: 67 occurrences (13.2%) -3.8% to -0.9%: 119 occurrences (23.4%) -0.9% to +2.0%: 110 occurrences (21.7%) 0.6% +2.0% to +5.0%: 77 occurrences (15.2%) +5.0% to +7.9%: 33 occurrences (6.5%) +7.9% to +10.8%: 24 occurrences (4.7%) 9.4% +10.8% to +13.8%: 6 occurrences (1.2%) +13.8% to +16.7%: 5 occurrences (1.0%) +16.7% to +19.6%: 8 occurrences (1.6%) 18.1% +19.6% to +22.5%: 6 occurrences (1.2%) +22.5% to +25.5%: 5 occurrences (1.0%) +25.5% to +28.4%: 5 occurrences (1.0%) 26.9%
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) 33.7% 18.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.8% Adjusts normal bell curve for real-world skewness (0.19) and kurtosis (8.78).
Standard Normal (Black-Scholes / GBM) 45.7% 22.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 32.6% 14.1% Filters for historical windows that started with volatility similar to current 20-day HV (304 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 27.8%
  • Recent 20-Day HV: 20.1%
  • Parkinson Intraday Volatility: 21.1%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +8.5%
  • Bottom 10% Move (10th percentile): -6.3%
  • Max Historical Gain (14d): +28.4%
  • Max Historical Loss (14d): -18.4%