Finance

QSI Move Probability $1.22 +0.05 (+4.7%)

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)
33.8%
Stock touched +5.0% ($1.28) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
17.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.6%
$1.11 — $1.33

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%.

-27.4% to -18.0%: 4 occurrences (0.8%) -22.7% -18.0% to -8.6%: 27 occurrences (5.2%) -8.6% to +0.8%: 298 occurrences (57.2%) +0.8% to +10.2%: 154 occurrences (29.6%) 5.5% +10.2% to +19.6%: 22 occurrences (4.2%) +19.6% to +29.0%: 9 occurrences (1.7%) +29.0% to +38.4%: 2 occurrences (0.4%) 33.7% +38.4% to +47.8%: 0 occurrences (0.0%) +47.8% to +57.2%: 1 occurrences (0.2%) +57.2% to +66.6%: 3 occurrences (0.6%) 61.9% +66.6% to +76.0%: 0 occurrences (0.0%) +76.0% to +85.4%: 0 occurrences (0.0%) +85.4% to +94.8%: 0 occurrences (0.0%) 90.1% +94.8% to +104.2%: 0 occurrences (0.0%) +104.2% to +113.6%: 0 occurrences (0.0%) +113.6% to +123.0%: 1 occurrences (0.2%) 118.3%
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) 33.8% 17.9% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.1% Adjusts normal bell curve for real-world skewness (2.8) and kurtosis (20.39).
Standard Normal (Black-Scholes / GBM) 57.3% 28.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.0% 19.0% Filters for historical windows that started with volatility similar to current 20-day HV (79 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 137.3%
  • Recent 20-Day HV: 188.4%
  • Parkinson Intraday Volatility: 102.1%
  • Vol Trend: Expanded (+37% vs baseline)

1-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -6.8%
  • Max Historical Gain (1d): +123.0%
  • Max Historical Loss (1d): -27.4%