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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
2.9%
Stock touched +5.0% ($117.41) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
1.9%
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%)
±2.5%
$109.04 — $114.59

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%.

-14.6% to -12.8%: 1 occurrences (0.2%) -13.7% -12.8% to -11.0%: 0 occurrences (0.0%) -11.0% to -9.2%: 1 occurrences (0.2%) -9.2% to -7.4%: 2 occurrences (0.4%) -8.3% -7.4% to -5.6%: 6 occurrences (1.2%) -5.6% to -3.8%: 7 occurrences (1.3%) -3.8% to -2.0%: 50 occurrences (9.6%) -2.9% -2.0% to -0.2%: 165 occurrences (31.7%) -0.2% to +1.6%: 179 occurrences (34.4%) +1.6% to +3.4%: 80 occurrences (15.4%) 2.5% +3.4% to +5.2%: 21 occurrences (4.0%) +5.2% to +7.0%: 2 occurrences (0.4%) +7.0% to +8.8%: 2 occurrences (0.4%) 7.9% +8.8% to +10.6%: 1 occurrences (0.2%) +10.6% to +12.4%: 2 occurrences (0.4%) +12.4% to +14.2%: 1 occurrences (0.2%) 13.3%
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) 2.9% 1.9% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.6% Adjusts normal bell curve for real-world skewness (0.19) and kurtosis (8.78).
Standard Normal (Black-Scholes / GBM) 4.9% 2.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.5% 1.6% Filters for historical windows that started with volatility similar to current 20-day HV (316 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)

2-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.6%
  • Bottom 10% Move (10th percentile): -2.2%
  • Max Historical Gain (2d): +14.2%
  • Max Historical Loss (2d): -14.6%