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.

← Back to MCD Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
1.0%
Stock touched +5.0% ($258.56) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.2%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
5.00x
You are 5.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.7%
$242.12 — $250.37

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%.

-5.8% to -5.1%: 4 occurrences (0.8%) -5.5% -5.1% to -4.4%: 3 occurrences (0.6%) -4.4% to -3.7%: 3 occurrences (0.6%) -3.7% to -3.0%: 8 occurrences (1.5%) -3.4% -3.0% to -2.3%: 12 occurrences (2.3%) -2.3% to -1.6%: 40 occurrences (7.7%) -1.6% to -0.9%: 63 occurrences (12.1%) -1.3% -0.9% to -0.2%: 93 occurrences (17.9%) -0.2% to +0.5%: 109 occurrences (21.0%) +0.5% to +1.2%: 73 occurrences (14.0%) 0.8% +1.2% to +1.8%: 55 occurrences (10.6%) +1.8% to +2.5%: 34 occurrences (6.5%) +2.5% to +3.2%: 17 occurrences (3.3%) 2.9% +3.2% to +3.9%: 3 occurrences (0.6%) +3.9% to +4.6%: 1 occurrences (0.2%) +4.6% to +5.3%: 2 occurrences (0.4%) 5.0%
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) 1.0% 0.2% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.3% Adjusts normal bell curve for real-world skewness (-0.33) and kurtosis (2.73).
Standard Normal (Black-Scholes / GBM) 0.4% 0.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.6% 0.3% 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)

2-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +1.9%
  • Bottom 10% Move (10th percentile): -2.0%
  • Max Historical Gain (2d): +5.3%
  • Max Historical Loss (2d): -5.8%