Finance

LOW Move Probability $196.54 -2.05 (-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)
4.2%
Stock touched +5.0% ($206.37) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
1.2%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
3.67x
You are 3.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.3%
$192.04 — $201.05

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%.

-6.3% to -5.4%: 2 occurrences (0.4%) -5.9% -5.4% to -4.5%: 10 occurrences (1.9%) -4.5% to -3.6%: 16 occurrences (3.1%) -3.6% to -2.7%: 28 occurrences (5.4%) -3.2% -2.7% to -1.8%: 53 occurrences (10.2%) -1.8% to -0.9%: 71 occurrences (13.7%) -0.9% to +0.0%: 96 occurrences (18.5%) -0.4% +0.0% to +0.9%: 77 occurrences (14.8%) +0.9% to +1.8%: 75 occurrences (14.4%) +1.8% to +2.7%: 35 occurrences (6.7%) 2.3% +2.7% to +3.6%: 25 occurrences (4.8%) +3.6% to +4.5%: 20 occurrences (3.8%) +4.5% to +5.4%: 7 occurrences (1.3%) 5.0% +5.4% to +6.3%: 2 occurrences (0.4%) +6.3% to +7.2%: 2 occurrences (0.4%) +7.2% to +8.1%: 1 occurrences (0.2%) 7.7%
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) 4.2% 1.2% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.7% Adjusts normal bell curve for real-world skewness (0.19) and kurtosis (0.74).
Standard Normal (Black-Scholes / GBM) 3.3% 1.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.4% 1.3% Filters for historical windows that started with volatility similar to current 20-day HV (458 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.7%
  • Recent 20-Day HV: 26.5%
  • Parkinson Intraday Volatility: 20.9%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +2.8%
  • Bottom 10% Move (10th percentile): -2.8%
  • Max Historical Gain (2d): +8.1%
  • Max Historical Loss (2d): -6.3%