Finance

RNG Move Probability $84.80 +5.41 (+6.8%)

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)
10.3%
Stock touched +5.0% ($89.04) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
6.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.54x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.7%
$81.67 — $87.93

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 523 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-12.4% to -9.5%: 1 occurrences (0.2%) -11.0% -9.5% to -6.6%: 11 occurrences (2.1%) -6.6% to -3.6%: 40 occurrences (7.6%) -3.6% to -0.7%: 150 occurrences (28.7%) -2.2% -0.7% to +2.2%: 216 occurrences (41.3%) +2.2% to +5.2%: 74 occurrences (14.1%) +5.2% to +8.1%: 23 occurrences (4.4%) 6.7% +8.1% to +11.1%: 1 occurrences (0.2%) +11.1% to +14.0%: 4 occurrences (0.8%) +14.0% to +16.9%: 0 occurrences (0.0%) 15.5% +16.9% to +19.9%: 0 occurrences (0.0%) +19.9% to +22.8%: 0 occurrences (0.0%) +22.8% to +25.8%: 1 occurrences (0.2%) 24.3% +25.8% to +28.7%: 1 occurrences (0.2%) +28.7% to +31.6%: 0 occurrences (0.0%) +31.6% to +34.6%: 1 occurrences (0.2%) 33.1%
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) 10.3% 6.7% Model-free reality across 523 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.6% Adjusts normal bell curve for real-world skewness (1.89) and kurtosis (13.23).
Standard Normal (Black-Scholes / GBM) 18.6% 9.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 11.7% 8.0% Filters for historical windows that started with volatility similar to current 20-day HV (324 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.6%
  • Recent 20-Day HV: 53.4%
  • Parkinson Intraday Volatility: 41.8%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +4.1%
  • Bottom 10% Move (10th percentile): -3.6%
  • Max Historical Gain (1d): +34.6%
  • Max Historical Loss (1d): -12.4%