Finance

MP Move Probability $39.51 +0.46 (+1.2%)

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)
24.0%
Stock touched +5.0% ($41.49) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
13.2%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$37.54 — $41.48

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%.

-12.0% to -8.1%: 15 occurrences (2.9%) -10.1% -8.1% to -4.2%: 62 occurrences (11.9%) -4.2% to -0.3%: 172 occurrences (33.0%) -0.3% to +3.6%: 171 occurrences (32.8%) 1.7% +3.6% to +7.6%: 62 occurrences (11.9%) +7.6% to +11.5%: 27 occurrences (5.2%) +11.5% to +15.4%: 8 occurrences (1.5%) 13.4% +15.4% to +19.3%: 0 occurrences (0.0%) +19.3% to +23.2%: 3 occurrences (0.6%) +23.2% to +27.2%: 0 occurrences (0.0%) 25.2% +27.2% to +31.1%: 0 occurrences (0.0%) +31.1% to +35.0%: 0 occurrences (0.0%) +35.0% to +38.9%: 0 occurrences (0.0%) 37.0% +38.9% to +42.9%: 0 occurrences (0.0%) +42.9% to +46.8%: 0 occurrences (0.0%) +46.8% to +50.7%: 1 occurrences (0.2%) 48.7%
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) 24.0% 13.2% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.0% Adjusts normal bell curve for real-world skewness (1.42) and kurtosis (8.87).
Standard Normal (Black-Scholes / GBM) 32.8% 16.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 22.3% 11.8% Filters for historical windows that started with volatility similar to current 20-day HV (211 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 79.2%
  • Recent 20-Day HV: 50.6%
  • Parkinson Intraday Volatility: 62.9%
  • Vol Trend: Compressed (-36% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +6.4%
  • Bottom 10% Move (10th percentile): -5.3%
  • Max Historical Gain (1d): +50.7%
  • Max Historical Loss (1d): -12.0%