Finance

MCD Move Probability $246.25 -0.21 (-0.1%)

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)
18.5%
Stock touched +5.0% ($258.56) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
5.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.36x
You are 3.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.4%
$235.33 — $257.16

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-10.2% to -8.9%: 4 occurrences (0.8%) -9.5% -8.9% to -7.6%: 13 occurrences (2.6%) -7.6% to -6.3%: 17 occurrences (3.3%) -6.3% to -5.1%: 24 occurrences (4.7%) -5.7% -5.1% to -3.8%: 38 occurrences (7.5%) -3.8% to -2.5%: 50 occurrences (9.8%) -2.5% to -1.2%: 63 occurrences (12.4%) -1.9% -1.2% to +0.0%: 71 occurrences (14.0%) +0.0% to +1.3%: 59 occurrences (11.6%) +1.3% to +2.6%: 56 occurrences (11.0%) 2.0% +2.6% to +3.9%: 47 occurrences (9.3%) +3.9% to +5.2%: 42 occurrences (8.3%) +5.2% to +6.4%: 14 occurrences (2.8%) 5.8% +6.4% to +7.7%: 6 occurrences (1.2%) +7.7% to +9.0%: 2 occurrences (0.4%) +9.0% to +10.3%: 2 occurrences (0.4%) 9.6%
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) 18.5% 5.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.2% Adjusts normal bell curve for real-world skewness (-0.33) and kurtosis (2.73).
Standard Normal (Black-Scholes / GBM) 27.1% 13.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 14.8% 5.9% Filters for historical windows that started with volatility similar to current 20-day HV (357 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 18.8%
  • Recent 20-Day HV: 15.3%
  • Parkinson Intraday Volatility: 16.2%
  • Vol Trend: Compressed (-19% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +4.3%
  • Bottom 10% Move (10th percentile): -5.3%
  • Max Historical Gain (14d): +10.3%
  • Max Historical Loss (14d): -10.2%