Finance

KVUE Move Probability $19.05 -0.25 (-1.3%)

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)
1.3%
Stock touched +5.0% ($20.00) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.33x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.8%
$18.70 — $19.39

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-13.3% to -11.7%: 1 occurrences (0.2%) -12.5% -11.7% to -10.1%: 0 occurrences (0.0%) -10.1% to -8.5%: 1 occurrences (0.2%) -8.5% to -6.9%: 1 occurrences (0.2%) -7.7% -6.9% to -5.3%: 2 occurrences (0.4%) -5.3% to -3.6%: 6 occurrences (1.2%) -3.6% to -2.0%: 31 occurrences (6.0%) -2.8% -2.0% to -0.4%: 141 occurrences (27.1%) -0.4% to +1.2%: 246 occurrences (47.2%) +1.2% to +2.8%: 73 occurrences (14.0%) 2.0% +2.8% to +4.4%: 14 occurrences (2.7%) +4.4% to +6.0%: 3 occurrences (0.6%) +6.0% to +7.6%: 0 occurrences (0.0%) 6.8% +7.6% to +9.2%: 1 occurrences (0.2%) +9.2% to +10.9%: 0 occurrences (0.0%) +10.9% to +12.5%: 1 occurrences (0.2%) 11.7%
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% 0.6% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 99.0% Adjusts normal bell curve for real-world skewness (-0.74) and kurtosis (12.85).
Standard Normal (Black-Scholes / GBM) 0.7% 0.3% 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 (380 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 28.7%
  • Recent 20-Day HV: 21.5%
  • Parkinson Intraday Volatility: 25.1%
  • Vol Trend: Compressed (-25% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +1.8%
  • Bottom 10% Move (10th percentile): -1.9%
  • Max Historical Gain (1d): +12.5%
  • Max Historical Loss (1d): -13.3%