Finance

PCT Move Probability $2.76 -0.16 (-5.5%)

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)
25.0%
Stock touched +5.0% ($2.90) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
12.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.94x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.1%
$2.62 — $2.90

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%.

-22.3% to -19.1%: 1 occurrences (0.2%) -20.7% -19.1% to -15.8%: 1 occurrences (0.2%) -15.8% to -12.6%: 1 occurrences (0.2%) -12.6% to -9.3%: 5 occurrences (1.0%) -10.9% -9.3% to -6.1%: 44 occurrences (8.4%) -6.1% to -2.8%: 93 occurrences (17.9%) -2.8% to +0.4%: 158 occurrences (30.3%) -1.2% +0.4% to +3.7%: 126 occurrences (24.2%) +3.7% to +6.9%: 58 occurrences (11.1%) +6.9% to +10.2%: 17 occurrences (3.3%) 8.5% +10.2% to +13.4%: 9 occurrences (1.7%) +13.4% to +16.7%: 2 occurrences (0.4%) +16.7% to +19.9%: 4 occurrences (0.8%) 18.3% +19.9% to +23.2%: 1 occurrences (0.2%) +23.2% to +26.4%: 0 occurrences (0.0%) +26.4% to +29.6%: 1 occurrences (0.2%) 28.0%
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) 25.0% 12.9% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.2% Adjusts normal bell curve for real-world skewness (0.45) and kurtosis (3.18).
Standard Normal (Black-Scholes / GBM) 33.6% 16.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.7% 9.3% Filters for historical windows that started with volatility similar to current 20-day HV (237 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 80.5%
  • Recent 20-Day HV: 57.7%
  • Parkinson Intraday Volatility: 68.6%
  • Vol Trend: Compressed (-28% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +5.9%
  • Bottom 10% Move (10th percentile): -6.0%
  • Max Historical Gain (1d): +29.6%
  • Max Historical Loss (1d): -22.3%