Finance

DVN Move Probability $49.88 -0.51 (-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.

← Back to DVN Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
3.3%
Stock touched +5.0% ($52.37) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.70x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.4%
$48.69 — $51.06

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%.

-12.6% to -10.8%: 2 occurrences (0.4%) -11.7% -10.8% to -9.0%: 1 occurrences (0.2%) -9.0% to -7.2%: 1 occurrences (0.2%) -7.2% to -5.5%: 2 occurrences (0.4%) -6.4% -5.5% to -3.7%: 18 occurrences (3.5%) -3.7% to -1.9%: 52 occurrences (10.0%) -1.9% to -0.2%: 154 occurrences (29.6%) -1.1% -0.2% to +1.6%: 170 occurrences (32.6%) +1.6% to +3.4%: 90 occurrences (17.3%) +3.4% to +5.1%: 22 occurrences (4.2%) 4.3% +5.1% to +6.9%: 7 occurrences (1.3%) +6.9% to +8.7%: 1 occurrences (0.2%) +8.7% to +10.5%: 0 occurrences (0.0%) 9.6% +10.5% to +12.2%: 0 occurrences (0.0%) +12.2% to +14.0%: 0 occurrences (0.0%) +14.0% to +15.8%: 1 occurrences (0.2%) 14.9%
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) 3.3% 1.9% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.8% Adjusts normal bell curve for real-world skewness (-0.41) and kurtosis (6.26).
Standard Normal (Black-Scholes / GBM) 4.1% 2.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.7% 1.4% Filters for historical windows that started with volatility similar to current 20-day HV (349 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.9%
  • Recent 20-Day HV: 27.1%
  • Parkinson Intraday Volatility: 30.0%
  • Vol Trend: Compressed (-28% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.7%
  • Bottom 10% Move (10th percentile): -2.7%
  • Max Historical Gain (1d): +15.8%
  • Max Historical Loss (1d): -12.6%