Finance

FUN Move Probability $10.16 -1.76 (-14.8%)

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)
32.9%
Stock touched +5.0% ($10.67) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
16.4%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.8%
$9.47 — $10.85

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-22.5% to -19.3%: 3 occurrences (0.6%) -20.9% -19.3% to -16.1%: 5 occurrences (1.0%) -16.1% to -12.9%: 9 occurrences (1.7%) -12.9% to -9.7%: 22 occurrences (4.2%) -11.3% -9.7% to -6.5%: 39 occurrences (7.5%) -6.5% to -3.3%: 81 occurrences (15.6%) -3.3% to -0.1%: 106 occurrences (20.4%) -1.7% -0.1% to +3.0%: 133 occurrences (25.6%) +3.0% to +6.2%: 57 occurrences (11.0%) +6.2% to +9.4%: 32 occurrences (6.2%) 7.8% +9.4% to +12.6%: 18 occurrences (3.5%) +12.6% to +15.8%: 9 occurrences (1.7%) +15.8% to +19.0%: 2 occurrences (0.4%) 17.4% +19.0% to +22.2%: 2 occurrences (0.4%) +22.2% to +25.4%: 0 occurrences (0.0%) +25.4% to +28.5%: 1 occurrences (0.2%) 27.0%
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) 32.9% 16.4% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.9% Adjusts normal bell curve for real-world skewness (-0.51) and kurtosis (4.62).
Standard Normal (Black-Scholes / GBM) 47.2% 23.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 37.9% 19.1% Filters for historical windows that started with volatility similar to current 20-day HV (298 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.2%
  • Recent 20-Day HV: 80.6%
  • Parkinson Intraday Volatility: 49.0%
  • Vol Trend: Expanded (+30% vs baseline)

3-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +7.4%
  • Bottom 10% Move (10th percentile): -7.9%
  • Max Historical Gain (3d): +28.5%
  • Max Historical Loss (3d): -22.5%