Finance

JPM Move Probability $349.02 -3.87 (-1.1%)

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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Touch Probability (First Passage)
41.6%
Stock touched +5.0% ($366.47) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
25.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.61x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.8%
$328.62 — $369.42

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-08-19 to 2026-09-16). 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%: 25 occurrences (4.9%) -5.3% to -3.2%: 50 occurrences (9.9%) -4.3% -3.2% to -1.1%: 55 occurrences (10.8%) -1.1% to +1.0%: 69 occurrences (13.6%) +1.0% to +3.1%: 73 occurrences (14.4%) 2.0% +3.1% to +5.2%: 87 occurrences (17.2%) +5.2% to +7.3%: 53 occurrences (10.5%) +7.3% to +9.4%: 40 occurrences (7.9%) 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) 41.6% 25.8% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.8% Adjusts normal bell curve for real-world skewness (0.07) and kurtosis (7.28).
Standard Normal (Black-Scholes / GBM) 40.4% 20.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.0% 21.1% Filters for historical windows that started with volatility similar to current 20-day HV (237 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.8%
  • Recent 20-Day HV: 16.0%
  • Parkinson Intraday Volatility: 20.9%
  • Vol Trend: Compressed (-35% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +8.4%
  • Bottom 10% Move (10th percentile): -5.1%
  • Max Historical Gain (14d): +15.7%
  • Max Historical Loss (14d): -18.0%