Finance

QDEL Move Probability $13.87 -0.26 (-1.8%)

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)
36.8%
Stock touched +5.0% ($14.56) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
17.5%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
2.10x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.5%
$12.69 — $15.05

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-30.1% to -25.1%: 4 occurrences (0.8%) -27.6% -25.1% to -20.1%: 5 occurrences (1.0%) -20.1% to -15.2%: 7 occurrences (1.3%) -15.2% to -10.2%: 30 occurrences (5.8%) -12.7% -10.2% to -5.3%: 71 occurrences (13.7%) -5.3% to -0.3%: 151 occurrences (29.1%) -0.3% to +4.7%: 152 occurrences (29.3%) 2.2% +4.7% to +9.6%: 57 occurrences (11.0%) +9.6% to +14.6%: 23 occurrences (4.4%) +14.6% to +19.6%: 7 occurrences (1.3%) 17.1% +19.6% to +24.5%: 3 occurrences (0.6%) +24.5% to +29.5%: 2 occurrences (0.4%) +29.5% to +34.5%: 4 occurrences (0.8%) 32.0% +34.5% to +39.4%: 0 occurrences (0.0%) +39.4% to +44.4%: 1 occurrences (0.2%) +44.4% to +49.3%: 2 occurrences (0.4%) 46.9%
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) 36.8% 17.5% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.7% Adjusts normal bell curve for real-world skewness (-0.04) and kurtosis (12.47).
Standard Normal (Black-Scholes / GBM) 56.7% 28.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 39.3% 19.8% Filters for historical windows that started with volatility similar to current 20-day HV (308 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 78.2%
  • Recent 20-Day HV: 66.6%
  • Parkinson Intraday Volatility: 54.2%
  • Vol Trend: Normal / Consistent

3-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +8.1%
  • Bottom 10% Move (10th percentile): -9.2%
  • Max Historical Gain (3d): +49.3%
  • Max Historical Loss (3d): -30.1%