Finance

MSFT Move Probability $532.80 +0.78 (+0.1%)

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)
1.5%
Stock touched +5.0% ($559.44) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.0%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.60x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.8%
$523.28 — $542.32

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%.

-10.1% to -8.5%: 1 occurrences (0.2%) -9.3% -8.5% to -6.9%: 0 occurrences (0.0%) -6.9% to -5.3%: 2 occurrences (0.4%) -5.3% to -3.7%: 6 occurrences (1.2%) -4.5% -3.7% to -2.1%: 35 occurrences (6.7%) -2.1% to -0.5%: 128 occurrences (24.6%) -0.5% to +1.1%: 246 occurrences (47.2%) 0.3% +1.1% to +2.7%: 80 occurrences (15.4%) +2.7% to +4.3%: 16 occurrences (3.1%) +4.3% to +5.9%: 4 occurrences (0.8%) 5.1% +5.9% to +7.5%: 0 occurrences (0.0%) +7.5% to +9.1%: 1 occurrences (0.2%) +9.1% to +10.7%: 1 occurrences (0.2%) 9.9% +10.7% to +12.3%: 0 occurrences (0.0%) +12.3% to +13.9%: 0 occurrences (0.0%) +13.9% to +15.5%: 1 occurrences (0.2%) 14.7%
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) 1.5% 1.0% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (0.81) and kurtosis (11.91).
Standard Normal (Black-Scholes / GBM) 0.6% 0.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.4% 1.0% Filters for historical windows that started with volatility similar to current 20-day HV (286 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 28.4%
  • Recent 20-Day HV: 21.7%
  • Parkinson Intraday Volatility: 20.6%
  • Vol Trend: Compressed (-24% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.9%
  • Bottom 10% Move (10th percentile): -1.8%
  • Max Historical Gain (1d): +15.5%
  • Max Historical Loss (1d): -10.1%