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)
2.1%
Stock touched +5.0% ($270.51) 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
2.20x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.7%
$253.12 — $262.14

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%.

-6.4% to -5.6%: 3 occurrences (0.6%) -6.0% -5.6% to -4.9%: 2 occurrences (0.4%) -4.9% to -4.1%: 1 occurrences (0.2%) -4.1% to -3.4%: 6 occurrences (1.2%) -3.8% -3.4% to -2.6%: 14 occurrences (2.7%) -2.6% to -1.9%: 21 occurrences (4.0%) -1.9% to -1.2%: 45 occurrences (8.7%) -1.5% -1.2% to -0.4%: 87 occurrences (16.7%) -0.4% to +0.3%: 105 occurrences (20.2%) +0.3% to +1.1%: 86 occurrences (16.5%) 0.7% +1.1% to +1.8%: 69 occurrences (13.3%) +1.8% to +2.6%: 46 occurrences (8.8%) +2.6% to +3.3%: 13 occurrences (2.5%) 3.0% +3.3% to +4.1%: 8 occurrences (1.5%) +4.1% to +4.8%: 9 occurrences (1.7%) +4.8% to +5.6%: 5 occurrences (1.0%) 5.2%
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) 2.1% 1.0% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.2% Adjusts normal bell curve for real-world skewness (-0.51) and kurtosis (5.16).
Standard Normal (Black-Scholes / GBM) 0.5% 0.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.0% 1.2% Filters for historical windows that started with volatility similar to current 20-day HV (166 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)

2-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +2.2%
  • Bottom 10% Move (10th percentile): -1.8%
  • Max Historical Gain (2d): +5.6%
  • Max Historical Loss (2d): -6.4%