Finance

DNUT Move Probability $2.87 -0.09 (-3.2%)

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)
15.2%
Stock touched +5.0% ($3.01) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
7.1%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.14x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.2%
$2.75 — $2.99

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-24.4% to -21.1%: 2 occurrences (0.4%) -22.8% -21.1% to -17.9%: 0 occurrences (0.0%) -17.9% to -14.7%: 2 occurrences (0.4%) -14.7% to -11.5%: 0 occurrences (0.0%) -13.1% -11.5% to -8.3%: 5 occurrences (1.0%) -8.3% to -5.0%: 30 occurrences (5.8%) -5.0% to -1.8%: 121 occurrences (23.2%) -3.4% -1.8% to +1.4%: 215 occurrences (41.3%) +1.4% to +4.6%: 101 occurrences (19.4%) +4.6% to +7.8%: 29 occurrences (5.6%) 6.2% +7.8% to +11.1%: 11 occurrences (2.1%) +11.1% to +14.3%: 2 occurrences (0.4%) +14.3% to +17.5%: 1 occurrences (0.2%) 15.9% +17.5% to +20.7%: 0 occurrences (0.0%) +20.7% to +23.9%: 0 occurrences (0.0%) +23.9% to +27.1%: 2 occurrences (0.4%) 25.5%
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) 15.2% 7.1% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.5% Adjusts normal bell curve for real-world skewness (-0.22) and kurtosis (9.89).
Standard Normal (Black-Scholes / GBM) 24.9% 12.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 10.4% 6.2% Filters for historical windows that started with volatility similar to current 20-day HV (144 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 67.2%
  • Recent 20-Day HV: 34.5%
  • Parkinson Intraday Volatility: 56.0%
  • Vol Trend: Compressed (-49% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +4.1%
  • Bottom 10% Move (10th percentile): -4.1%
  • Max Historical Gain (1d): +27.1%
  • Max Historical Loss (1d): -24.4%