Finance

DXCM Move Probability $80.26 -5.48 (-6.4%)

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)
13.5%
Stock touched +5.0% ($84.27) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
7.7%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.7%
$77.31 — $83.21

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 -12.6%: 1 occurrences (0.2%) -13.6% -12.6% to -10.6%: 5 occurrences (1.0%) -10.6% to -8.7%: 2 occurrences (0.4%) -8.7% to -6.7%: 6 occurrences (1.2%) -7.7% -6.7% to -4.7%: 20 occurrences (3.8%) -4.7% to -2.7%: 56 occurrences (10.8%) -2.7% to -0.7%: 107 occurrences (20.6%) -1.7% -0.7% to +1.3%: 155 occurrences (29.8%) +1.3% to +3.2%: 92 occurrences (17.7%) +3.2% to +5.2%: 40 occurrences (7.7%) 4.2% +5.2% to +7.2%: 20 occurrences (3.8%) +7.2% to +9.2%: 8 occurrences (1.5%) +9.2% to +11.2%: 4 occurrences (0.8%) 10.2% +11.2% to +13.1%: 1 occurrences (0.2%) +13.1% to +15.1%: 2 occurrences (0.4%) +15.1% to +17.1%: 1 occurrences (0.2%) 16.1%
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) 13.5% 7.7% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.6% Adjusts normal bell curve for real-world skewness (-0.06) and kurtosis (6.84).
Standard Normal (Black-Scholes / GBM) 18.4% 9.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 12.4% 6.9% Filters for historical windows that started with volatility similar to current 20-day HV (364 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.3%
  • Recent 20-Day HV: 36.7%
  • Parkinson Intraday Volatility: 32.5%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +4.4%
  • Bottom 10% Move (10th percentile): -3.8%
  • Max Historical Gain (2d): +17.1%
  • Max Historical Loss (2d): -14.6%