Finance

INFY Move Probability $11.45 +0.62 (+5.8%)

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)
11.4%
Stock touched +5.0% ($12.02) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
6.2%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
1.84x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.7%
$11.03 — $11.87

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%.

-13.0% to -11.2%: 2 occurrences (0.4%) -12.1% -11.2% to -9.5%: 2 occurrences (0.4%) -9.5% to -7.7%: 10 occurrences (1.9%) -7.7% to -5.9%: 13 occurrences (2.5%) -6.8% -5.9% to -4.2%: 34 occurrences (6.6%) -4.2% to -2.4%: 74 occurrences (14.3%) -2.4% to -0.6%: 108 occurrences (20.8%) -1.5% -0.6% to +1.2%: 113 occurrences (21.8%) +1.2% to +2.9%: 88 occurrences (17.0%) +2.9% to +4.7%: 39 occurrences (7.5%) 3.8% +4.7% to +6.5%: 22 occurrences (4.2%) +6.5% to +8.2%: 8 occurrences (1.5%) +8.2% to +10.0%: 3 occurrences (0.6%) 9.1% +10.0% to +11.8%: 0 occurrences (0.0%) +11.8% to +13.5%: 0 occurrences (0.0%) +13.5% to +15.3%: 3 occurrences (0.6%) 14.4%
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) 11.4% 6.2% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.0% Adjusts normal bell curve for real-world skewness (-0.07) and kurtosis (3.28).
Standard Normal (Black-Scholes / GBM) 18.6% 9.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 16.0% 9.3% Filters for historical windows that started with volatility similar to current 20-day HV (281 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.8%
  • Recent 20-Day HV: 38.0%
  • Parkinson Intraday Volatility: 29.6%
  • Vol Trend: Normal / Consistent

3-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +3.8%
  • Bottom 10% Move (10th percentile): -4.4%
  • Max Historical Gain (3d): +15.3%
  • Max Historical Loss (3d): -13.0%