Finance

MCHP Move Probability $77.13 +1.33 (+1.8%)

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)
8.6%
Stock touched +5.0% ($80.99) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
5.2%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.3%
$74.56 — $79.70

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.8% to -14.1%: 1 occurrences (0.2%) -15.4% -14.1% to -11.3%: 1 occurrences (0.2%) -11.3% to -8.6%: 3 occurrences (0.6%) -8.6% to -5.9%: 8 occurrences (1.5%) -7.3% -5.9% to -3.2%: 47 occurrences (9.0%) -3.2% to -0.5%: 161 occurrences (30.9%) -0.5% to +2.2%: 209 occurrences (40.1%) 0.9% +2.2% to +5.0%: 64 occurrences (12.3%) +5.0% to +7.7%: 17 occurrences (3.3%) +7.7% to +10.4%: 4 occurrences (0.8%) 9.0% +10.4% to +13.1%: 4 occurrences (0.8%) +13.1% to +15.8%: 1 occurrences (0.2%) +15.8% to +18.5%: 0 occurrences (0.0%) 17.2% +18.5% to +21.3%: 0 occurrences (0.0%) +21.3% to +24.0%: 0 occurrences (0.0%) +24.0% to +26.7%: 1 occurrences (0.2%) 25.3%
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) 8.6% 5.2% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.7% Adjusts normal bell curve for real-world skewness (0.46) and kurtosis (8.05).
Standard Normal (Black-Scholes / GBM) 14.4% 7.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 7.8% 4.9% Filters for historical windows that started with volatility similar to current 20-day HV (348 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 53.0%
  • Recent 20-Day HV: 39.6%
  • Parkinson Intraday Volatility: 39.6%
  • Vol Trend: Compressed (-25% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +3.4%
  • Bottom 10% Move (10th percentile): -3.4%
  • Max Historical Gain (1d): +26.7%
  • Max Historical Loss (1d): -16.8%