Finance

PG Move Probability $156.84 -2.55 (-1.6%)

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)
0.8%
Stock touched +5.0% ($164.68) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
0.77x
You are 0.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.7%
$154.17 — $159.51

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-7.0% to -6.3%: 1 occurrences (0.2%) -6.6% -6.3% to -5.6%: 0 occurrences (0.0%) -5.6% to -4.8%: 1 occurrences (0.2%) -4.8% to -4.1%: 4 occurrences (0.8%) -4.5% -4.1% to -3.4%: 8 occurrences (1.5%) -3.4% to -2.7%: 15 occurrences (2.9%) -2.7% to -1.9%: 25 occurrences (4.8%) -2.3% -1.9% to -1.2%: 52 occurrences (10.0%) -1.2% to -0.5%: 91 occurrences (17.5%) -0.5% to +0.2%: 91 occurrences (17.5%) -0.1% +0.2% to +0.9%: 82 occurrences (15.8%) +0.9% to +1.7%: 70 occurrences (13.5%) +1.7% to +2.4%: 43 occurrences (8.3%) 2.0% +2.4% to +3.1%: 23 occurrences (4.4%) +3.1% to +3.8%: 9 occurrences (1.7%) +3.8% to +4.6%: 5 occurrences (1.0%) 4.2%
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) 0.8% 0.0% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.4% Adjusts normal bell curve for real-world skewness (-0.27) and kurtosis (1.03).
Standard Normal (Black-Scholes / GBM) 0.4% 0.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.9% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (461 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 19.1%
  • Recent 20-Day HV: 19.9%
  • Parkinson Intraday Volatility: 15.9%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +2.2%
  • Bottom 10% Move (10th percentile): -2.0%
  • Max Historical Gain (2d): +4.6%
  • Max Historical Loss (2d): -7.0%