Finance

NET Move Probability $307.40 +15.83 (+5.4%)

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)
12.1%
Stock touched +5.0% ($322.77) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
7.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.54x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.7%
$296.06 — $318.74

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%.

-23.9% to -21.3%: 1 occurrences (0.2%) -22.6% -21.3% to -18.7%: 0 occurrences (0.0%) -18.7% to -16.1%: 0 occurrences (0.0%) -16.1% to -13.5%: 1 occurrences (0.2%) -14.8% -13.5% to -10.9%: 0 occurrences (0.0%) -10.9% to -8.3%: 6 occurrences (1.2%) -8.3% to -5.7%: 13 occurrences (2.5%) -7.0% -5.7% to -3.0%: 38 occurrences (7.3%) -3.0% to -0.4%: 149 occurrences (28.6%) -0.4% to +2.2%: 188 occurrences (36.1%) 0.9% +2.2% to +4.8%: 83 occurrences (15.9%) +4.8% to +7.4%: 25 occurrences (4.8%) +7.4% to +10.0%: 10 occurrences (1.9%) 8.7% +10.0% to +12.6%: 4 occurrences (0.8%) +12.6% to +15.2%: 1 occurrences (0.2%) +15.2% to +17.8%: 2 occurrences (0.4%) 16.5%
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) 12.1% 7.9% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.9% Adjusts normal bell curve for real-world skewness (-0.61) and kurtosis (7.45).
Standard Normal (Black-Scholes / GBM) 18.6% 9.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 11.3% 7.1% Filters for historical windows that started with volatility similar to current 20-day HV (326 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.5%
  • Recent 20-Day HV: 51.4%
  • Parkinson Intraday Volatility: 45.2%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +4.2%
  • Bottom 10% Move (10th percentile): -3.2%
  • Max Historical Gain (1d): +17.8%
  • Max Historical Loss (1d): -23.9%