Finance

SPOT Move Probability $581.18 +56.19 (+10.7%)

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)
7.1%
Stock touched +5.0% ($610.24) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
3.6%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.8%
$564.68 — $597.68

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-12.4% to -10.7%: 2 occurrences (0.4%) -11.5% -10.7% to -9.0%: 1 occurrences (0.2%) -9.0% to -7.3%: 3 occurrences (0.6%) -7.3% to -5.6%: 6 occurrences (1.1%) -6.4% -5.6% to -3.9%: 18 occurrences (3.4%) -3.9% to -2.2%: 55 occurrences (10.5%) -2.2% to -0.5%: 115 occurrences (22.0%) -1.3% -0.5% to +1.2%: 166 occurrences (31.8%) +1.2% to +2.9%: 100 occurrences (19.2%) +2.9% to +4.6%: 32 occurrences (6.1%) 3.8% +4.6% to +6.3%: 14 occurrences (2.7%) +6.3% to +8.0%: 4 occurrences (0.8%) +8.0% to +9.7%: 1 occurrences (0.2%) 8.9% +9.7% to +11.4%: 1 occurrences (0.2%) +11.4% to +13.1%: 2 occurrences (0.4%) +13.1% to +14.8%: 2 occurrences (0.4%) 14.0%
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) 7.1% 3.6% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.5% Adjusts normal bell curve for real-world skewness (0.12) and kurtosis (4.23).
Standard Normal (Black-Scholes / GBM) 8.6% 4.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 6.7% 3.5% Filters for historical windows that started with volatility similar to current 20-day HV (344 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.1%
  • Recent 20-Day HV: 47.4%
  • Parkinson Intraday Volatility: 36.0%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +3.0%
  • Bottom 10% Move (10th percentile): -3.0%
  • Max Historical Gain (1d): +14.8%
  • Max Historical Loss (1d): -12.4%