Finance

QQQ Move Probability $725.25 +8.04 (+1.1%)

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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Touch Probability (First Passage)
0.2%
Stock touched +5.0% ($761.51) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.2%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.3%
$715.53 — $734.97

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-6.0% to -4.9%: 2 occurrences (0.4%) -5.5% -4.9% to -3.8%: 2 occurrences (0.4%) -3.8% to -2.7%: 8 occurrences (1.5%) -2.7% to -1.6%: 36 occurrences (6.9%) -2.2% -1.6% to -0.5%: 83 occurrences (15.9%) -0.5% to +0.6%: 214 occurrences (41.1%) +0.6% to +1.7%: 139 occurrences (26.7%) 1.1% +1.7% to +2.8%: 27 occurrences (5.2%) +2.8% to +3.9%: 8 occurrences (1.5%) +3.9% to +5.0%: 1 occurrences (0.2%) 4.4% +5.0% to +6.1%: 0 occurrences (0.0%) +6.1% to +7.2%: 0 occurrences (0.0%) +7.2% to +8.3%: 0 occurrences (0.0%) 7.8% +8.3% to +9.4%: 0 occurrences (0.0%) +9.4% to +10.5%: 0 occurrences (0.0%) +10.5% to +11.6%: 1 occurrences (0.2%) 11.1%
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) 0.2% 0.2% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (0.45) and kurtosis (9.6).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (338 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.3%
  • Recent 20-Day HV: 16.0%
  • Parkinson Intraday Volatility: 16.2%
  • Vol Trend: Compressed (-25% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.5%
  • Bottom 10% Move (10th percentile): -1.5%
  • Max Historical Gain (1d): +11.6%
  • Max Historical Loss (1d): -6.0%