Finance

FLY Move Probability $17.65 +1.33 (+8.2%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
33.0%
Stock touched +5.0% ($18.53) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
18.5%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.6%
$16.48 — $18.82

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 303 historical windows (2025-08-07 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-20.7% to -18.0%: 2 occurrences (0.7%) -19.3% -18.0% to -15.2%: 1 occurrences (0.3%) -15.2% to -12.5%: 8 occurrences (2.6%) -12.5% to -9.8%: 2 occurrences (0.7%) -11.2% -9.8% to -7.1%: 22 occurrences (7.3%) -7.1% to -4.4%: 37 occurrences (12.2%) -4.4% to -1.7%: 55 occurrences (18.2%) -3.0% -1.7% to +1.0%: 65 occurrences (21.5%) +1.0% to +3.7%: 48 occurrences (15.8%) +3.7% to +6.5%: 21 occurrences (6.9%) 5.1% +6.5% to +9.2%: 20 occurrences (6.6%) +9.2% to +11.9%: 7 occurrences (2.3%) +11.9% to +14.6%: 4 occurrences (1.3%) 13.2% +14.6% to +17.3%: 5 occurrences (1.7%) +17.3% to +20.0%: 3 occurrences (1.0%) +20.0% to +22.7%: 3 occurrences (1.0%) 21.4%
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) 33.0% 18.5% Model-free reality across 303 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.1% Adjusts normal bell curve for real-world skewness (0.15) and kurtosis (1.2).
Standard Normal (Black-Scholes / GBM) 46.1% 23.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 29.4% 17.4% Filters for historical windows that started with volatility similar to current 20-day HV (109 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 105.1%
  • Recent 20-Day HV: 69.5%
  • Parkinson Intraday Volatility: 85.2%
  • Vol Trend: Compressed (-34% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -7.2%
  • Max Historical Gain (1d): +22.7%
  • Max Historical Loss (1d): -20.7%