Finance

JNJ Move Probability $257.63 -1.79 (-0.7%)

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)
36.4%
Stock touched +5.0% ($270.51) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
23.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.54x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.6%
$245.71 — $269.55

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-9.1% to -7.7%: 4 occurrences (0.8%) -8.4% -7.7% to -6.3%: 12 occurrences (2.4%) -6.3% to -4.9%: 25 occurrences (4.9%) -4.9% to -3.5%: 27 occurrences (5.3%) -4.2% -3.5% to -2.1%: 43 occurrences (8.5%) -2.1% to -0.7%: 58 occurrences (11.4%) -0.7% to +0.7%: 69 occurrences (13.6%) -0.0% +0.7% to +2.1%: 58 occurrences (11.4%) +2.1% to +3.5%: 43 occurrences (8.5%) +3.5% to +4.9%: 48 occurrences (9.4%) 4.2% +4.9% to +6.3%: 31 occurrences (6.1%) +6.3% to +7.7%: 43 occurrences (8.5%) +7.7% to +9.1%: 19 occurrences (3.7%) 8.4% +9.1% to +10.5%: 17 occurrences (3.3%) +10.5% to +11.9%: 9 occurrences (1.8%) +11.9% to +13.3%: 2 occurrences (0.4%) 12.6%
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) 36.4% 23.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.1% Adjusts normal bell curve for real-world skewness (-0.51) and kurtosis (5.16).
Standard Normal (Black-Scholes / GBM) 29.2% 14.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.6% 27.3% Filters for historical windows that started with volatility similar to current 20-day HV (161 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 19.6%
  • Recent 20-Day HV: 29.8%
  • Parkinson Intraday Volatility: 16.6%
  • Vol Trend: Expanded (+52% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.3%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -4.4%
  • Max Historical Gain (14d): +13.3%
  • Max Historical Loss (14d): -9.1%