Finance

JPM Move Probability $335.11 -0.16 (-0.0%)

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)
2.7%
Stock touched +5.0% ($351.87) 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
2.80x
You are 2.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.2%
$327.79 — $342.43

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%.

-13.9% to -12.3%: 1 occurrences (0.2%) -13.1% -12.3% to -10.6%: 0 occurrences (0.0%) -10.6% to -9.0%: 0 occurrences (0.0%) -9.0% to -7.3%: 0 occurrences (0.0%) -8.1% -7.3% to -5.7%: 2 occurrences (0.4%) -5.7% to -4.0%: 16 occurrences (3.1%) -4.0% to -2.4%: 24 occurrences (4.6%) -3.2% -2.4% to -0.7%: 97 occurrences (18.7%) -0.7% to +0.9%: 195 occurrences (37.5%) +0.9% to +2.6%: 130 occurrences (25.0%) 1.7% +2.6% to +4.2%: 46 occurrences (8.8%) +4.2% to +5.8%: 6 occurrences (1.2%) +5.8% to +7.5%: 1 occurrences (0.2%) 6.7% +7.5% to +9.1%: 0 occurrences (0.0%) +9.1% to +10.8%: 1 occurrences (0.2%) +10.8% to +12.4%: 1 occurrences (0.2%) 11.6%
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) 2.7% 1.0% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.2% Adjusts normal bell curve for real-world skewness (0.14) and kurtosis (7.49).
Standard Normal (Black-Scholes / GBM) 2.6% 1.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.5% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (196 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.5%
  • Recent 20-Day HV: 14.5%
  • Parkinson Intraday Volatility: 20.7%
  • Vol Trend: Compressed (-41% vs baseline)

2-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +2.6%
  • Bottom 10% Move (10th percentile): -2.1%
  • Max Historical Gain (2d): +12.4%
  • Max Historical Loss (2d): -13.9%