Finance

QCOM Move Probability $177.91 +2.35 (+1.3%)

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)
12.7%
Stock touched +5.0% ($186.81) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
6.2%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.06x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.1%
$170.68 — $185.14

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%.

-17.3% to -15.0%: 1 occurrences (0.2%) -16.2% -15.0% to -12.7%: 1 occurrences (0.2%) -12.7% to -10.4%: 2 occurrences (0.4%) -10.4% to -8.0%: 8 occurrences (1.5%) -9.2% -8.0% to -5.7%: 15 occurrences (2.9%) -5.7% to -3.4%: 36 occurrences (6.9%) -3.4% to -1.1%: 112 occurrences (21.5%) -2.3% -1.1% to +1.2%: 169 occurrences (32.5%) +1.2% to +3.5%: 120 occurrences (23.1%) +3.5% to +5.9%: 32 occurrences (6.2%) 4.7% +5.9% to +8.2%: 6 occurrences (1.2%) +8.2% to +10.5%: 7 occurrences (1.3%) +10.5% to +12.8%: 4 occurrences (0.8%) 11.7% +12.8% to +15.1%: 3 occurrences (0.6%) +15.1% to +17.5%: 2 occurrences (0.4%) +17.5% to +19.8%: 2 occurrences (0.4%) 18.6%
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) 12.7% 6.2% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.8% Adjusts normal bell curve for real-world skewness (0.11) and kurtosis (4.84).
Standard Normal (Black-Scholes / GBM) 23.0% 11.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 9.2% 4.2% Filters for historical windows that started with volatility similar to current 20-day HV (260 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.6%
  • Recent 20-Day HV: 40.0%
  • Parkinson Intraday Volatility: 37.3%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +3.8%
  • Bottom 10% Move (10th percentile): -4.0%
  • Max Historical Gain (2d): +19.8%
  • Max Historical Loss (2d): -17.3%