Finance

META Move Probability $673.59 +3.10 (+0.5%)

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)
49.3%
Stock touched +5.0% ($707.27) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
29.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.8%
$614.05 — $733.13

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-08-19 to 2026-09-16). The colored bar indicates the win zone for +5.0%.

-20.5% to -17.3%: 7 occurrences (1.4%) -18.9% -17.3% to -14.1%: 13 occurrences (2.6%) -14.1% to -10.8%: 24 occurrences (4.7%) -10.8% to -7.6%: 41 occurrences (8.1%) -9.2% -7.6% to -4.4%: 48 occurrences (9.5%) -4.4% to -1.2%: 81 occurrences (16.0%) -1.2% to +2.0%: 78 occurrences (15.4%) 0.4% +2.0% to +5.2%: 70 occurrences (13.8%) +5.2% to +8.5%: 39 occurrences (7.7%) +8.5% to +11.7%: 48 occurrences (9.5%) 10.1% +11.7% to +14.9%: 24 occurrences (4.7%) +14.9% to +18.1%: 20 occurrences (3.9%) +18.1% to +21.3%: 5 occurrences (1.0%) 19.7% +21.3% to +24.5%: 5 occurrences (1.0%) +24.5% to +27.8%: 2 occurrences (0.4%) +27.8% to +31.0%: 2 occurrences (0.4%) 29.4%
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) 49.3% 29.4% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.8% Adjusts normal bell curve for real-world skewness (0.18) and kurtosis (5.68).
Standard Normal (Black-Scholes / GBM) 58.1% 29.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.2% 25.1% Filters for historical windows that started with volatility similar to current 20-day HV (263 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.5%
  • Recent 20-Day HV: 27.3%
  • Parkinson Intraday Volatility: 27.7%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +12.4%
  • Bottom 10% Move (10th percentile): -10.1%
  • Max Historical Gain (14d): +31.0%
  • Max Historical Loss (14d): -20.5%