Finance

META Move Probability $698.54 +4.63 (+0.7%)

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)
3.6%
Stock touched +5.0% ($733.47) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
2.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.4%
$681.48 — $715.60

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%.

-11.4% to -9.8%: 1 occurrences (0.2%) -10.6% -9.8% to -8.1%: 3 occurrences (0.6%) -8.1% to -6.5%: 2 occurrences (0.4%) -6.5% to -4.9%: 5 occurrences (1.0%) -5.7% -4.9% to -3.3%: 21 occurrences (4.0%) -3.3% to -1.6%: 64 occurrences (12.3%) -1.6% to -0.0%: 155 occurrences (29.8%) -0.8% -0.0% to +1.6%: 167 occurrences (32.1%) +1.6% to +3.2%: 68 occurrences (13.1%) +3.2% to +4.9%: 23 occurrences (4.4%) 4.0% +4.9% to +6.5%: 3 occurrences (0.6%) +6.5% to +8.1%: 4 occurrences (0.8%) +8.1% to +9.7%: 1 occurrences (0.2%) 8.9% +9.7% to +11.4%: 2 occurrences (0.4%) +11.4% to +13.0%: 1 occurrences (0.2%) +13.0% to +14.6%: 1 occurrences (0.2%) 13.8%
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) 3.6% 2.3% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.9% Adjusts normal bell curve for real-world skewness (0.32) and kurtosis (5.41).
Standard Normal (Black-Scholes / GBM) 4.6% 2.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.3% 3.0% Filters for historical windows that started with volatility similar to current 20-day HV (329 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 38.8%
  • Recent 20-Day HV: 40.4%
  • Parkinson Intraday Volatility: 28.3%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.5%
  • Bottom 10% Move (10th percentile): -2.4%
  • Max Historical Gain (1d): +14.6%
  • Max Historical Loss (1d): -11.4%