Finance

TJX Move Probability $145.53 -1.46 (-1.0%)

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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Touch Probability (First Passage)
1.9%
Stock touched +5.0% ($152.81) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
3.33x
You are 3.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.7%
$143.01 — $148.05

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%.

-6.9% to -6.0%: 1 occurrences (0.2%) -6.4% -6.0% to -5.2%: 2 occurrences (0.4%) -5.2% to -4.4%: 2 occurrences (0.4%) -4.4% to -3.6%: 6 occurrences (1.2%) -4.0% -3.6% to -2.8%: 13 occurrences (2.5%) -2.8% to -1.9%: 26 occurrences (5.0%) -1.9% to -1.1%: 67 occurrences (12.9%) -1.5% -1.1% to -0.3%: 92 occurrences (17.7%) -0.3% to +0.5%: 112 occurrences (21.5%) +0.5% to +1.3%: 84 occurrences (16.2%) 0.9% +1.3% to +2.1%: 49 occurrences (9.4%) +2.1% to +3.0%: 41 occurrences (7.9%) +3.0% to +3.8%: 12 occurrences (2.3%) 3.4% +3.8% to +4.6%: 8 occurrences (1.5%) +4.6% to +5.4%: 2 occurrences (0.4%) +5.4% to +6.2%: 3 occurrences (0.6%) 5.8%
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) 1.9% 0.6% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.7% Adjusts normal bell curve for real-world skewness (0.0) and kurtosis (2.12).
Standard Normal (Black-Scholes / GBM) 0.5% 0.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.7% 0.2% Filters for historical windows that started with volatility similar to current 20-day HV (417 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 19.5%
  • Recent 20-Day HV: 18.1%
  • Parkinson Intraday Volatility: 17.4%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.3%
  • Bottom 10% Move (10th percentile): -1.9%
  • Max Historical Gain (2d): +6.2%
  • Max Historical Loss (2d): -6.9%