Finance

INTC Move Probability $101.02 +3.90 (+4.0%)

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)
69.7%
Stock touched -3.5% ($97.48) at least once during 10 trading days.
Median first touch: Day 2 of 10
Expiration Close Probability
31.7%
Stock closed at or beyond -3.5% at the end of the 10-day window.
The Touch Multiple
2.20x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.6%
$87.33 — $114.71

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 511 historical windows (2024-08-19 to 2026-09-16). The colored bar indicates the win zone for -3.5%.

-26.2% to -20.0%: 9 occurrences (1.8%) -23.1% -20.0% to -13.8%: 26 occurrences (5.1%) -13.8% to -7.6%: 72 occurrences (14.1%) -7.6% to -1.3%: 88 occurrences (17.2%) -4.5% -1.3% to +4.9%: 117 occurrences (22.9%) +4.9% to +11.1%: 73 occurrences (14.3%) +11.1% to +17.3%: 40 occurrences (7.8%) 14.2% +17.3% to +23.5%: 33 occurrences (6.5%) +23.5% to +29.7%: 20 occurrences (3.9%) +29.7% to +35.9%: 11 occurrences (2.2%) 32.8% +35.9% to +42.1%: 6 occurrences (1.2%) +42.1% to +48.4%: 9 occurrences (1.8%) +48.4% to +54.6%: 3 occurrences (0.6%) 51.5% +54.6% to +60.8%: 1 occurrences (0.2%) +60.8% to +67.0%: 2 occurrences (0.4%) +67.0% to +73.2%: 1 occurrences (0.2%) 70.1%
Historical returns Target move zone (-3.5%+) 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) 69.7% 31.7% Model-free reality across 511 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 40.1% Adjusts normal bell curve for real-world skewness (0.63) and kurtosis (3.11).
Standard Normal (Black-Scholes / GBM) 79.3% 39.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.4% 31.9% 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: 68.1%
  • Recent 20-Day HV: 57.5%
  • Parkinson Intraday Volatility: 50.7%
  • Vol Trend: Compressed (-16% vs baseline)

10-Day Return Quantiles

  • Median Return: +1.3%
  • Top 10% Move (90th percentile): +24.2%
  • Bottom 10% Move (10th percentile): -12.1%
  • Max Historical Gain (10d): +73.2%
  • Max Historical Loss (10d): -26.2%