Finance

PANW Move Probability $357.63 +10.42 (+3.0%)

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)
6.1%
Stock touched +5.0% ($375.51) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
3.3%
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%)
±2.7%
$348.11 — $367.15

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-9.3% to -7.9%: 1 occurrences (0.2%) -8.6% -7.9% to -6.5%: 8 occurrences (1.5%) -6.5% to -5.0%: 11 occurrences (2.1%) -5.0% to -3.6%: 17 occurrences (3.3%) -4.3% -3.6% to -2.2%: 33 occurrences (6.3%) -2.2% to -0.8%: 92 occurrences (17.6%) -0.8% to +0.6%: 135 occurrences (25.9%) -0.1% +0.6% to +2.0%: 129 occurrences (24.7%) +2.0% to +3.4%: 56 occurrences (10.7%) +3.4% to +4.8%: 20 occurrences (3.8%) 4.1% +4.8% to +6.2%: 12 occurrences (2.3%) +6.2% to +7.7%: 3 occurrences (0.6%) +7.7% to +9.1%: 0 occurrences (0.0%) 8.4% +9.1% to +10.5%: 2 occurrences (0.4%) +10.5% to +11.9%: 0 occurrences (0.0%) +11.9% to +13.3%: 3 occurrences (0.6%) 12.6%
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) 6.1% 3.3% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.6% Adjusts normal bell curve for real-world skewness (0.18) and kurtosis (2.98).
Standard Normal (Black-Scholes / GBM) 6.7% 3.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 11.4% 6.6% Filters for historical windows that started with volatility similar to current 20-day HV (228 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)

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +2.9%
  • Bottom 10% Move (10th percentile): -3.0%
  • Max Historical Gain (1d): +13.3%
  • Max Historical Loss (1d): -9.3%