Finance

JPM Move Probability $340.59 +3.45 (+1.0%)

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)
39.6%
Stock touched +5.0% ($357.62) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
24.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.8%
$320.86 — $360.32

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-18.0% to -15.9%: 2 occurrences (0.4%) -16.9% -15.9% to -13.8%: 2 occurrences (0.4%) -13.8% to -11.7%: 1 occurrences (0.2%) -11.7% to -9.6%: 4 occurrences (0.8%) -10.6% -9.6% to -7.4%: 14 occurrences (2.8%) -7.4% to -5.3%: 27 occurrences (5.3%) -5.3% to -3.2%: 50 occurrences (9.8%) -4.3% -3.2% to -1.1%: 57 occurrences (11.2%) -1.1% to +1.0%: 72 occurrences (14.2%) +1.0% to +3.1%: 74 occurrences (14.6%) 2.0% +3.1% to +5.2%: 88 occurrences (17.3%) +5.2% to +7.3%: 49 occurrences (9.6%) +7.3% to +9.4%: 36 occurrences (7.1%) 8.3% +9.4% to +11.5%: 24 occurrences (4.7%) +11.5% to +13.6%: 7 occurrences (1.4%) +13.6% to +15.7%: 1 occurrences (0.2%) 14.6%
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) 39.6% 24.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.5% Adjusts normal bell curve for real-world skewness (0.12) and kurtosis (7.4).
Standard Normal (Black-Scholes / GBM) 40.0% 20.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 27.9% 15.8% Filters for historical windows that started with volatility similar to current 20-day HV (240 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.6%
  • Recent 20-Day HV: 15.6%
  • Parkinson Intraday Volatility: 20.7%
  • Vol Trend: Compressed (-36% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.8%
  • Top 10% Move (90th percentile): +8.3%
  • Bottom 10% Move (10th percentile): -5.2%
  • Max Historical Gain (14d): +15.7%
  • Max Historical Loss (14d): -18.0%