Finance

TEAM Move Probability $225.46 +4.39 (+2.0%)

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)
14.0%
Stock touched +5.0% ($236.73) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
7.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.0%
$216.34 — $234.58

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%.

-11.5% to -8.5%: 8 occurrences (1.5%) -10.0% -8.5% to -5.6%: 23 occurrences (4.4%) -5.6% to -2.7%: 62 occurrences (11.9%) -2.7% to +0.2%: 191 occurrences (36.7%) -1.2% +0.2% to +3.1%: 156 occurrences (29.9%) +3.1% to +6.0%: 52 occurrences (10.0%) +6.0% to +9.0%: 20 occurrences (3.8%) 7.5% +9.0% to +11.9%: 3 occurrences (0.6%) +11.9% to +14.8%: 1 occurrences (0.2%) +14.8% to +17.7%: 2 occurrences (0.4%) 16.3% +17.7% to +20.6%: 1 occurrences (0.2%) +20.6% to +23.5%: 0 occurrences (0.0%) +23.5% to +26.5%: 0 occurrences (0.0%) 25.0% +26.5% to +29.4%: 0 occurrences (0.0%) +29.4% to +32.3%: 1 occurrences (0.2%) +32.3% to +35.2%: 1 occurrences (0.2%) 33.8%
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) 14.0% 7.3% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.5% Adjusts normal bell curve for real-world skewness (1.41) and kurtosis (9.53).
Standard Normal (Black-Scholes / GBM) 22.8% 11.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 8.5% 5.5% Filters for historical windows that started with volatility similar to current 20-day HV (293 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 64.2%
  • Recent 20-Day HV: 49.2%
  • Parkinson Intraday Volatility: 45.3%
  • Vol Trend: Compressed (-23% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +4.1%
  • Bottom 10% Move (10th percentile): -4.2%
  • Max Historical Gain (1d): +35.2%
  • Max Historical Loss (1d): -11.5%