Finance

TMDX Move Probability $88.22 +19.31 (+28.0%)

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)
45.6%
Stock touched +5.0% ($92.63) at least once during 4 trading days.
Median first touch: Day 2 of 4
Expiration Close Probability
25.1%
Stock closed at or beyond +5.0% at the end of the 4-day window.
The Touch Multiple
1.82x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.4%
$80.78 — $95.65

Historical 4-Day Return Distribution

Frequency of rolling 4-day percentage returns over 517 historical windows (2024-10-10 to 2026-11-06). The colored bar indicates the win zone for +5.0%.

-34.7% to -30.5%: 4 occurrences (0.8%) -32.6% -30.5% to -26.3%: 3 occurrences (0.6%) -26.3% to -22.1%: 2 occurrences (0.4%) -22.1% to -17.9%: 2 occurrences (0.4%) -20.0% -17.9% to -13.7%: 6 occurrences (1.2%) -13.7% to -9.4%: 28 occurrences (5.4%) -9.4% to -5.2%: 74 occurrences (14.3%) -7.3% -5.2% to -1.0%: 121 occurrences (23.4%) -1.0% to +3.2%: 111 occurrences (21.5%) +3.2% to +7.4%: 86 occurrences (16.6%) 5.3% +7.4% to +11.6%: 49 occurrences (9.5%) +11.6% to +15.8%: 17 occurrences (3.3%) +15.8% to +20.0%: 5 occurrences (1.0%) 17.9% +20.0% to +24.2%: 2 occurrences (0.4%) +24.2% to +28.4%: 5 occurrences (1.0%) +28.4% to +32.6%: 2 occurrences (0.4%) 30.5%
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) 45.6% 25.1% Model-free reality across 517 historical 4-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.5% Adjusts normal bell curve for real-world skewness (-1.12) and kurtosis (14.63).
Standard Normal (Black-Scholes / GBM) 56.2% 28.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 45.9% 27.8% Filters for historical windows that started with volatility similar to current 20-day HV (133 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 66.9%
  • Recent 20-Day HV: 105.0%
  • Parkinson Intraday Volatility: 48.8%
  • Vol Trend: Expanded (+57% vs baseline)

4-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +9.0%
  • Bottom 10% Move (10th percentile): -9.0%
  • Max Historical Gain (4d): +32.6%
  • Max Historical Loss (4d): -34.7%