Finance

PYPL Move Probability $57.38 +0.18 (+0.3%)

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)
3.1%
Stock touched +5.0% ($60.25) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.0%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
3.20x
You are 3.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.6%
$55.91 — $58.85

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%.

-20.7% to -18.3%: 1 occurrences (0.2%) -19.5% -18.3% to -15.9%: 0 occurrences (0.0%) -15.9% to -13.6%: 0 occurrences (0.0%) -13.6% to -11.2%: 2 occurrences (0.4%) -12.4% -11.2% to -8.8%: 0 occurrences (0.0%) -8.8% to -6.5%: 4 occurrences (0.8%) -6.5% to -4.1%: 9 occurrences (1.7%) -5.3% -4.1% to -1.7%: 68 occurrences (13.0%) -1.7% to +0.6%: 243 occurrences (46.6%) +0.6% to +3.0%: 161 occurrences (30.8%) 1.8% +3.0% to +5.4%: 30 occurrences (5.7%) +5.4% to +7.7%: 2 occurrences (0.4%) +7.7% to +10.1%: 0 occurrences (0.0%) 8.9% +10.1% to +12.5%: 1 occurrences (0.2%) +12.5% to +14.8%: 0 occurrences (0.0%) +14.8% to +17.2%: 1 occurrences (0.2%) 16.0%
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) 3.1% 1.0% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.1% Adjusts normal bell curve for real-world skewness (-1.65) and kurtosis (18.26).
Standard Normal (Black-Scholes / GBM) 5.7% 2.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.5% 0.4% Filters for historical windows that started with volatility similar to current 20-day HV (236 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)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.3%
  • Bottom 10% Move (10th percentile): -2.6%
  • Max Historical Gain (1d): +17.2%
  • Max Historical Loss (1d): -20.7%