Finance

PANW Move Probability $361.60 +14.39 (+4.1%)

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)
61.3%
Stock touched +5.0% ($379.68) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
36.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.0%
$325.57 — $397.63

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-18.6% to -14.9%: 13 occurrences (2.6%) -16.7% -14.9% to -11.1%: 28 occurrences (5.5%) -11.1% to -7.4%: 35 occurrences (6.9%) -7.4% to -3.6%: 60 occurrences (11.8%) -5.5% -3.6% to +0.1%: 71 occurrences (13.9%) +0.1% to +3.8%: 93 occurrences (18.3%) +3.8% to +7.6%: 68 occurrences (13.4%) 5.7% +7.6% to +11.3%: 61 occurrences (12.0%) +11.3% to +15.0%: 28 occurrences (5.5%) +15.0% to +18.8%: 17 occurrences (3.3%) 16.9% +18.8% to +22.5%: 13 occurrences (2.6%) +22.5% to +26.3%: 5 occurrences (1.0%) +26.3% to +30.0%: 1 occurrences (0.2%) 28.1% +30.0% to +33.7%: 6 occurrences (1.2%) +33.7% to +37.5%: 4 occurrences (0.8%) +37.5% to +41.2%: 6 occurrences (1.2%) 39.3%
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) 61.3% 36.3% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.9% Adjusts normal bell curve for real-world skewness (0.18) and kurtosis (2.98).
Standard Normal (Black-Scholes / GBM) 62.4% 31.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.5% 57.2% Filters for historical windows that started with volatility similar to current 20-day HV (215 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 42.3%
  • Recent 20-Day HV: 56.1%
  • Parkinson Intraday Volatility: 34.1%
  • Vol Trend: Expanded (+33% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.0%
  • Top 10% Move (90th percentile): +15.2%
  • Bottom 10% Move (10th percentile): -9.7%
  • Max Historical Gain (14d): +41.2%
  • Max Historical Loss (14d): -18.6%