Finance

OPEN Move Probability $1.95 -0.10 (-5.1%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
32.4%
Stock touched +5.0% ($2.04) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
17.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.4%
$1.80 — $2.09

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%.

-24.8% to -18.3%: 3 occurrences (0.6%) -21.5% -18.3% to -11.9%: 8 occurrences (1.5%) -11.9% to -5.4%: 75 occurrences (14.4%) -5.4% to +1.0%: 231 occurrences (44.3%) -2.2% +1.0% to +7.4%: 158 occurrences (30.3%) +7.4% to +13.9%: 22 occurrences (4.2%) +13.9% to +20.3%: 16 occurrences (3.1%) 17.1% +20.3% to +26.7%: 3 occurrences (0.6%) +26.7% to +33.2%: 0 occurrences (0.0%) +33.2% to +39.6%: 2 occurrences (0.4%) 36.4% +39.6% to +46.0%: 2 occurrences (0.4%) +46.0% to +52.5%: 0 occurrences (0.0%) +52.5% to +58.9%: 0 occurrences (0.0%) 55.7% +58.9% to +65.4%: 0 occurrences (0.0%) +65.4% to +71.8%: 0 occurrences (0.0%) +71.8% to +78.2%: 1 occurrences (0.2%) 75.0%
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) 32.4% 17.3% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.8% Adjusts normal bell curve for real-world skewness (1.6) and kurtosis (10.37).
Standard Normal (Black-Scholes / GBM) 50.8% 25.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 28.2% 14.0% Filters for historical windows that started with volatility similar to current 20-day HV (365 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 117.1%
  • Recent 20-Day HV: 77.4%
  • Parkinson Intraday Volatility: 97.2%
  • Vol Trend: Compressed (-34% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +6.8%
  • Bottom 10% Move (10th percentile): -7.2%
  • Max Historical Gain (1d): +78.2%
  • Max Historical Loss (1d): -24.8%