Finance

FSLY Move Probability $24.42 +1.97 (+8.8%)

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)
25.6%
Stock touched +5.0% ($25.64) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
13.8%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.1%
$22.94 — $25.90

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 523 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-38.3% to -31.4%: 1 occurrences (0.2%) -34.9% -31.4% to -24.6%: 0 occurrences (0.0%) -24.6% to -17.7%: 2 occurrences (0.4%) -17.7% to -10.8%: 4 occurrences (0.8%) -14.2% -10.8% to -3.9%: 71 occurrences (13.6%) -3.9% to +3.0%: 321 occurrences (61.4%) +3.0% to +9.8%: 102 occurrences (19.5%) 6.4% +9.8% to +16.7%: 16 occurrences (3.1%) +16.7% to +23.6%: 3 occurrences (0.6%) +23.6% to +30.5%: 1 occurrences (0.2%) 27.1% +30.5% to +37.4%: 1 occurrences (0.2%) +37.4% to +44.3%: 0 occurrences (0.0%) +44.3% to +51.1%: 0 occurrences (0.0%) 47.7% +51.1% to +58.0%: 0 occurrences (0.0%) +58.0% to +64.9%: 0 occurrences (0.0%) +64.9% to +71.8%: 1 occurrences (0.2%) 68.4%
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) 25.6% 13.8% Model-free reality across 523 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.7% Adjusts normal bell curve for real-world skewness (0.65) and kurtosis (21.14).
Standard Normal (Black-Scholes / GBM) 42.1% 21.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.3% 12.7% Filters for historical windows that started with volatility similar to current 20-day HV (276 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 96.2%
  • Recent 20-Day HV: 94.8%
  • Parkinson Intraday Volatility: 66.3%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +6.1%
  • Bottom 10% Move (10th percentile): -4.8%
  • Max Historical Gain (1d): +71.8%
  • Max Historical Loss (1d): -38.3%