Finance

INTC Move Probability $92.91 +1.26 (+1.4%)

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)
35.2%
Stock touched +5.0% ($97.56) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
19.2%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.83x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.1%
$87.27 — $98.55

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%.

-21.8% to -18.7%: 1 occurrences (0.2%) -20.3% -18.7% to -15.7%: 1 occurrences (0.2%) -15.7% to -12.6%: 2 occurrences (0.4%) -12.6% to -9.5%: 10 occurrences (1.9%) -11.1% -9.5% to -6.5%: 33 occurrences (6.3%) -6.5% to -3.4%: 66 occurrences (12.7%) -3.4% to -0.3%: 137 occurrences (26.3%) -1.9% -0.3% to +2.7%: 117 occurrences (22.5%) +2.7% to +5.8%: 69 occurrences (13.3%) +5.8% to +8.9%: 26 occurrences (5.0%) 7.3% +8.9% to +11.9%: 30 occurrences (5.8%) +11.9% to +15.0%: 13 occurrences (2.5%) +15.0% to +18.1%: 9 occurrences (1.7%) 16.5% +18.1% to +21.1%: 3 occurrences (0.6%) +21.1% to +24.2%: 1 occurrences (0.2%) +24.2% to +27.3%: 2 occurrences (0.4%) 25.7%
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) 35.2% 19.2% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.7% Adjusts normal bell curve for real-world skewness (0.67) and kurtosis (3.1).
Standard Normal (Black-Scholes / GBM) 42.2% 21.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 31.1% 17.9% Filters for historical windows that started with volatility similar to current 20-day HV (257 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 68.2%
  • Recent 20-Day HV: 48.0%
  • Parkinson Intraday Volatility: 50.7%
  • Vol Trend: Compressed (-30% vs baseline)

2-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +9.2%
  • Bottom 10% Move (10th percentile): -6.0%
  • Max Historical Gain (2d): +27.3%
  • Max Historical Loss (2d): -21.8%