Finance

KO Move Probability $92.67 -0.84 (-0.9%)

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)
1.3%
Stock touched +5.0% ($97.30) 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
1.40x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.6%
$91.19 — $94.15

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%.

-6.6% to -5.7%: 1 occurrences (0.2%) -6.2% -5.7% to -4.9%: 0 occurrences (0.0%) -4.9% to -4.0%: 0 occurrences (0.0%) -4.0% to -3.1%: 4 occurrences (0.8%) -3.6% -3.1% to -2.2%: 18 occurrences (3.5%) -2.2% to -1.4%: 56 occurrences (10.8%) -1.4% to -0.5%: 99 occurrences (19.0%) -0.9% -0.5% to +0.4%: 134 occurrences (25.8%) +0.4% to +1.3%: 99 occurrences (19.0%) +1.3% to +2.1%: 60 occurrences (11.5%) 1.7% +2.1% to +3.0%: 31 occurrences (6.0%) +3.0% to +3.9%: 6 occurrences (1.2%) +3.9% to +4.7%: 7 occurrences (1.3%) 4.3% +4.7% to +5.6%: 1 occurrences (0.2%) +5.6% to +6.5%: 3 occurrences (0.6%) +6.5% to +7.4%: 1 occurrences (0.2%) 6.9%
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) 1.3% 1.0% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.5% Adjusts normal bell curve for real-world skewness (0.44) and kurtosis (1.93).
Standard Normal (Black-Scholes / GBM) 0.2% 0.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.2% 0.7% Filters for historical windows that started with volatility similar to current 20-day HV (406 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 17.9%
  • Recent 20-Day HV: 16.3%
  • Parkinson Intraday Volatility: 15.3%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.1%
  • Bottom 10% Move (10th percentile): -1.7%
  • Max Historical Gain (2d): +7.4%
  • Max Historical Loss (2d): -6.6%