Finance

PYPL Move Probability $57.24 +0.04 (+0.1%)

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)
47.9%
Stock touched +5.0% ($60.10) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
23.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.05x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.6%
$51.75 — $62.73

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%.

-31.0% to -26.9%: 6 occurrences (1.2%) -28.9% -26.9% to -22.9%: 5 occurrences (1.0%) -22.9% to -18.8%: 2 occurrences (0.4%) -18.8% to -14.8%: 11 occurrences (2.2%) -16.8% -14.8% to -10.7%: 45 occurrences (8.8%) -10.7% to -6.7%: 43 occurrences (8.4%) -6.7% to -2.6%: 85 occurrences (16.7%) -4.6% -2.6% to +1.4%: 103 occurrences (20.2%) +1.4% to +5.5%: 99 occurrences (19.4%) +5.5% to +9.5%: 52 occurrences (10.2%) 7.5% +9.5% to +13.6%: 28 occurrences (5.5%) +13.6% to +17.6%: 14 occurrences (2.8%) +17.6% to +21.7%: 2 occurrences (0.4%) 19.7% +21.7% to +25.7%: 6 occurrences (1.2%) +25.7% to +29.8%: 5 occurrences (1.0%) +29.8% to +33.8%: 3 occurrences (0.6%) 31.8%
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) 47.9% 23.4% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.6% Adjusts normal bell curve for real-world skewness (-1.65) and kurtosis (18.26).
Standard Normal (Black-Scholes / GBM) 61.1% 30.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.6% 20.2% Filters for historical windows that started with volatility similar to current 20-day HV (223 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 40.7%
  • Recent 20-Day HV: 24.4%
  • Parkinson Intraday Volatility: 28.6%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +10.2%
  • Bottom 10% Move (10th percentile): -11.6%
  • Max Historical Gain (14d): +33.8%
  • Max Historical Loss (14d): -31.0%