Finance

MAR Move Probability $403.96 +6.71 (+1.7%)

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)
4.6%
Stock touched +5.0% ($424.16) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
2.3%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.5%
$394.06 — $413.86

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%.

-11.6% to -10.3%: 1 occurrences (0.2%) -10.9% -10.3% to -9.0%: 0 occurrences (0.0%) -9.0% to -7.6%: 0 occurrences (0.0%) -7.6% to -6.3%: 2 occurrences (0.4%) -7.0% -6.3% to -5.0%: 6 occurrences (1.2%) -5.0% to -3.7%: 11 occurrences (2.1%) -3.7% to -2.4%: 36 occurrences (6.9%) -3.1% -2.4% to -1.1%: 85 occurrences (16.3%) -1.1% to +0.2%: 103 occurrences (19.8%) +0.2% to +1.5%: 134 occurrences (25.8%) 0.8% +1.5% to +2.8%: 78 occurrences (15.0%) +2.8% to +4.1%: 30 occurrences (5.8%) +4.1% to +5.4%: 23 occurrences (4.4%) 4.7% +5.4% to +6.7%: 4 occurrences (0.8%) +6.7% to +8.0%: 5 occurrences (1.0%) +8.0% to +9.3%: 2 occurrences (0.4%) 8.6%
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) 4.6% 2.3% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.0% Adjusts normal bell curve for real-world skewness (0.27) and kurtosis (3.98).
Standard Normal (Black-Scholes / GBM) 4.7% 2.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 5.8% 2.6% Filters for historical windows that started with volatility similar to current 20-day HV (274 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 27.5%
  • Recent 20-Day HV: 19.1%
  • Parkinson Intraday Volatility: 21.1%
  • Vol Trend: Compressed (-31% vs baseline)

2-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +3.0%
  • Bottom 10% Move (10th percentile): -2.5%
  • Max Historical Gain (2d): +9.3%
  • Max Historical Loss (2d): -11.6%