Finance

RXRX Move Probability $3.63 -0.03 (-0.8%)

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)
29.8%
Stock touched +5.0% ($3.82) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
14.2%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.09x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.3%
$3.44 — $3.83

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%.

-16.6% to -13.9%: 2 occurrences (0.4%) -15.3% -13.9% to -11.1%: 5 occurrences (1.0%) -11.1% to -8.4%: 13 occurrences (2.5%) -8.4% to -5.7%: 35 occurrences (6.7%) -7.0% -5.7% to -2.9%: 91 occurrences (17.5%) -2.9% to -0.2%: 128 occurrences (24.6%) -0.2% to +2.6%: 109 occurrences (20.9%) 1.2% +2.6% to +5.3%: 70 occurrences (13.4%) +5.3% to +8.0%: 38 occurrences (7.3%) +8.0% to +10.8%: 13 occurrences (2.5%) 9.4% +10.8% to +13.5%: 7 occurrences (1.3%) +13.5% to +16.3%: 3 occurrences (0.6%) +16.3% to +19.0%: 3 occurrences (0.6%) 17.6% +19.0% to +21.7%: 2 occurrences (0.4%) +21.7% to +24.5%: 1 occurrences (0.2%) +24.5% to +27.2%: 1 occurrences (0.2%) 25.8%
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) 29.8% 14.2% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.1% Adjusts normal bell curve for real-world skewness (0.48) and kurtosis (1.95).
Standard Normal (Black-Scholes / GBM) 35.7% 17.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 37.9% 17.2% Filters for historical windows that started with volatility similar to current 20-day HV (203 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 84.0%
  • Recent 20-Day HV: 123.0%
  • Parkinson Intraday Volatility: 74.4%
  • Vol Trend: Expanded (+46% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +6.4%
  • Bottom 10% Move (10th percentile): -5.9%
  • Max Historical Gain (1d): +27.2%
  • Max Historical Loss (1d): -16.6%