Finance

TGT Move Probability $152.36 -1.65 (-1.1%)

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)
2.1%
Stock touched +5.0% ($159.98) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.8%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.75x
You are 2.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.3%
$148.90 — $155.82

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%.

-21.5% to -19.5%: 1 occurrences (0.2%) -20.5% -19.5% to -17.5%: 0 occurrences (0.0%) -17.5% to -15.6%: 0 occurrences (0.0%) -15.6% to -13.6%: 0 occurrences (0.0%) -14.6% -13.6% to -11.7%: 0 occurrences (0.0%) -11.7% to -9.7%: 1 occurrences (0.2%) -9.7% to -7.7%: 0 occurrences (0.0%) -8.7% -7.7% to -5.8%: 2 occurrences (0.4%) -5.8% to -3.8%: 11 occurrences (2.1%) -3.8% to -1.8%: 58 occurrences (11.1%) -2.8% -1.8% to +0.1%: 193 occurrences (37.0%) +0.1% to +2.1%: 175 occurrences (33.6%) +2.1% to +4.0%: 67 occurrences (12.9%) 3.1% +4.0% to +6.0%: 11 occurrences (2.1%) +6.0% to +8.0%: 1 occurrences (0.2%) +8.0% to +9.9%: 1 occurrences (0.2%) 9.0%
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) 2.1% 0.8% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.1% Adjusts normal bell curve for real-world skewness (-2.45) and kurtosis (25.31).
Standard Normal (Black-Scholes / GBM) 3.2% 1.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.4% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (144 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 36.0%
  • Recent 20-Day HV: 19.7%
  • Parkinson Intraday Volatility: 27.0%
  • Vol Trend: Compressed (-45% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.5%
  • Bottom 10% Move (10th percentile): -2.5%
  • Max Historical Gain (1d): +9.9%
  • Max Historical Loss (1d): -21.5%