Finance

METU Move Probability $28.04 +0.30 (+1.1%)

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)
31.7%
Stock touched +5.0% ($29.44) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
18.5%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.72x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.9%
$26.10 — $29.98

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%.

-26.9% to -23.5%: 2 occurrences (0.4%) -25.2% -23.5% to -20.0%: 2 occurrences (0.4%) -20.0% to -16.6%: 4 occurrences (0.8%) -16.6% to -13.1%: 5 occurrences (1.0%) -14.8% -13.1% to -9.7%: 12 occurrences (2.3%) -9.7% to -6.2%: 45 occurrences (8.7%) -6.2% to -2.8%: 81 occurrences (15.6%) -4.5% -2.8% to +0.6%: 135 occurrences (26.0%) +0.6% to +4.1%: 116 occurrences (22.3%) +4.1% to +7.5%: 66 occurrences (12.7%) 5.8% +7.5% to +11.0%: 20 occurrences (3.8%) +11.0% to +14.4%: 16 occurrences (3.1%) +14.4% to +17.9%: 7 occurrences (1.3%) 16.1% +17.9% to +21.3%: 6 occurrences (1.2%) +21.3% to +24.8%: 2 occurrences (0.4%) +24.8% to +28.2%: 1 occurrences (0.2%) 26.5%
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) 31.7% 18.5% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.4% Adjusts normal bell curve for real-world skewness (0.08) and kurtosis (5.37).
Standard Normal (Black-Scholes / GBM) 48.1% 24.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 36.4% 22.6% Filters for historical windows that started with volatility similar to current 20-day HV (319 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 77.7%
  • Recent 20-Day HV: 80.3%
  • Parkinson Intraday Volatility: 50.5%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +7.5%
  • Bottom 10% Move (10th percentile): -7.5%
  • Max Historical Gain (2d): +28.2%
  • Max Historical Loss (2d): -26.9%