Finance

MRNA Move Probability $245.94 +3.65 (+1.5%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
25.9%
Stock touched +5.0% ($258.24) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
12.5%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.08x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.4%
$230.27 — $261.61

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%.

-23.5% to -11.0%: 3 occurrences (0.6%) -17.3% -11.0% to +1.5%: 349 occurrences (67.0%) +1.5% to +14.0%: 162 occurrences (31.1%) +14.0% to +26.6%: 6 occurrences (1.2%) 20.3% +26.6% to +39.1%: 0 occurrences (0.0%) +39.1% to +51.6%: 0 occurrences (0.0%) +51.6% to +64.2%: 0 occurrences (0.0%) 57.9% +64.2% to +76.7%: 0 occurrences (0.0%) +76.7% to +89.2%: 0 occurrences (0.0%) +89.2% to +101.7%: 0 occurrences (0.0%) 95.5% +101.7% to +114.3%: 0 occurrences (0.0%) +114.3% to +126.8%: 0 occurrences (0.0%) +126.8% to +139.3%: 0 occurrences (0.0%) 133.1% +139.3% to +151.9%: 0 occurrences (0.0%) +151.9% to +164.4%: 0 occurrences (0.0%) +164.4% to +176.9%: 1 occurrences (0.2%) 170.7%
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) 25.9% 12.5% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (7.69) and kurtosis (122.69).
Standard Normal (Black-Scholes / GBM) 44.4% 22.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 28.6% 13.9% Filters for historical windows that started with volatility similar to current 20-day HV (339 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 101.2%
  • Recent 20-Day HV: 86.0%
  • Parkinson Intraday Volatility: 64.8%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +5.6%
  • Bottom 10% Move (10th percentile): -5.0%
  • Max Historical Gain (1d): +176.9%
  • Max Historical Loss (1d): -23.5%