Finance

F Move Probability $11.88 -0.26 (-2.1%)

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)
3.1%
Stock touched +5.0% ($12.48) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.5%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.2%
$11.62 — $12.15

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%.

-8.7% to -7.3%: 1 occurrences (0.2%) -8.0% -7.3% to -5.9%: 3 occurrences (0.6%) -5.9% to -4.5%: 5 occurrences (1.0%) -4.5% to -3.1%: 17 occurrences (3.3%) -3.8% -3.1% to -1.8%: 53 occurrences (10.2%) -1.8% to -0.4%: 141 occurrences (27.1%) -0.4% to +1.0%: 150 occurrences (28.8%) 0.3% +1.0% to +2.4%: 95 occurrences (18.2%) +2.4% to +3.8%: 38 occurrences (7.3%) +3.8% to +5.1%: 10 occurrences (1.9%) 4.5% +5.1% to +6.5%: 4 occurrences (0.8%) +6.5% to +7.9%: 0 occurrences (0.0%) +7.9% to +9.3%: 1 occurrences (0.2%) 8.6% +9.3% to +10.7%: 1 occurrences (0.2%) +10.7% to +12.0%: 0 occurrences (0.0%) +12.0% to +13.4%: 2 occurrences (0.4%) 12.7%
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) 3.1% 1.5% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.6% Adjusts normal bell curve for real-world skewness (0.55) and kurtosis (4.55).
Standard Normal (Black-Scholes / GBM) 2.7% 1.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.7% 0.7% Filters for historical windows that started with volatility similar to current 20-day HV (291 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.0%
  • Recent 20-Day HV: 23.7%
  • Parkinson Intraday Volatility: 28.0%
  • Vol Trend: Compressed (-32% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.5%
  • Bottom 10% Move (10th percentile): -2.4%
  • Max Historical Gain (1d): +13.4%
  • Max Historical Loss (1d): -8.7%