Finance

HD Move Probability $314.10 -1.06 (-0.3%)

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)
2.5%
Stock touched +5.0% ($329.80) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
1.0%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.60x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.1%
$307.35 — $320.84

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%.

-7.1% to -6.2%: 2 occurrences (0.4%) -6.7% -6.2% to -5.3%: 1 occurrences (0.2%) -5.3% to -4.4%: 5 occurrences (1.0%) -4.4% to -3.5%: 11 occurrences (2.1%) -4.0% -3.5% to -2.6%: 31 occurrences (6.0%) -2.6% to -1.7%: 54 occurrences (10.4%) -1.7% to -0.8%: 78 occurrences (15.0%) -1.3% -0.8% to +0.1%: 105 occurrences (20.2%) +0.1% to +1.0%: 82 occurrences (15.8%) +1.0% to +1.9%: 71 occurrences (13.7%) 1.4% +1.9% to +2.8%: 35 occurrences (6.7%) +2.8% to +3.7%: 25 occurrences (4.8%) +3.7% to +4.6%: 9 occurrences (1.7%) 4.1% +4.6% to +5.5%: 7 occurrences (1.3%) +5.5% to +6.4%: 2 occurrences (0.4%) +6.4% to +7.3%: 2 occurrences (0.4%) 6.9%
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) 2.5% 1.0% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.0% Adjusts normal bell curve for real-world skewness (0.27) and kurtosis (1.1).
Standard Normal (Black-Scholes / GBM) 2.3% 1.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.6% 1.2% Filters for historical windows that started with volatility similar to current 20-day HV (419 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.1%
  • Recent 20-Day HV: 24.7%
  • Parkinson Intraday Volatility: 20.1%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +2.6%
  • Bottom 10% Move (10th percentile): -2.6%
  • Max Historical Gain (2d): +7.3%
  • Max Historical Loss (2d): -7.1%