Finance

T Move Probability $21.91 -1.55 (-6.6%)

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)
2.5%
Stock touched +5.0% ($23.01) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
1.3%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.3%
$21.42 — $22.41

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-8.9% to -7.8%: 3 occurrences (0.6%) -8.3% -7.8% to -6.6%: 1 occurrences (0.2%) -6.6% to -5.5%: 6 occurrences (1.2%) -5.5% to -4.3%: 8 occurrences (1.5%) -4.9% -4.3% to -3.2%: 15 occurrences (2.9%) -3.2% to -2.1%: 40 occurrences (7.7%) -2.1% to -0.9%: 75 occurrences (14.4%) -1.5% -0.9% to +0.2%: 114 occurrences (21.9%) +0.2% to +1.4%: 119 occurrences (22.9%) +1.4% to +2.5%: 83 occurrences (16.0%) 1.9% +2.5% to +3.6%: 37 occurrences (7.1%) +3.6% to +4.8%: 9 occurrences (1.7%) +4.8% to +5.9%: 5 occurrences (1.0%) 5.3% +5.9% to +7.1%: 1 occurrences (0.2%) +7.1% to +8.2%: 2 occurrences (0.4%) +8.2% to +9.3%: 2 occurrences (0.4%) 8.8%
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) 2.5% 1.3% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.8% Adjusts normal bell curve for real-world skewness (-0.88) and kurtosis (5.33).
Standard Normal (Black-Scholes / GBM) 3.1% 1.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.8% 1.2% Filters for historical windows that started with volatility similar to current 20-day HV (84 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.4%
  • Recent 20-Day HV: 47.4%
  • Parkinson Intraday Volatility: 21.7%
  • Vol Trend: Expanded (+87% vs baseline)

2-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +2.6%
  • Bottom 10% Move (10th percentile): -2.3%
  • Max Historical Gain (2d): +9.3%
  • Max Historical Loss (2d): -8.9%