Finance

MA Move Probability $622.57 +2.05 (+0.3%)

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)
2.3%
Stock touched +5.0% ($653.69) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.4%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
6.00x
You are 6.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.0%
$610.26 — $634.87

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%.

-10.5% to -9.4%: 1 occurrences (0.2%) -10.0% -9.4% to -8.4%: 1 occurrences (0.2%) -8.4% to -7.3%: 0 occurrences (0.0%) -7.3% to -6.3%: 1 occurrences (0.2%) -6.8% -6.3% to -5.2%: 3 occurrences (0.6%) -5.2% to -4.2%: 4 occurrences (0.8%) -4.2% to -3.1%: 14 occurrences (2.7%) -3.7% -3.1% to -2.1%: 30 occurrences (5.8%) -2.1% to -1.0%: 71 occurrences (13.7%) -1.0% to +0.0%: 110 occurrences (21.2%) -0.5% +0.0% to +1.1%: 139 occurrences (26.7%) +1.1% to +2.1%: 83 occurrences (16.0%) +2.1% to +3.2%: 40 occurrences (7.7%) 2.7% +3.2% to +4.2%: 15 occurrences (2.9%) +4.2% to +5.3%: 6 occurrences (1.2%) +5.3% to +6.3%: 2 occurrences (0.4%) 5.8%
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) 2.3% 0.4% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.0% Adjusts normal bell curve for real-world skewness (-0.42) and kurtosis (4.24).
Standard Normal (Black-Scholes / GBM) 1.4% 0.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.7% 0.3% Filters for historical windows that started with volatility similar to current 20-day HV (349 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 22.2%
  • Recent 20-Day HV: 17.4%
  • Parkinson Intraday Volatility: 18.7%
  • Vol Trend: Compressed (-22% vs baseline)

2-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +2.3%
  • Bottom 10% Move (10th percentile): -2.2%
  • Max Historical Gain (2d): +6.3%
  • Max Historical Loss (2d): -10.5%