Finance

TMUS Move Probability $146.58 -12.24 (-7.7%)

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)
38.2%
Stock touched +5.0% ($153.91) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
17.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.17x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.4%
$135.77 — $157.39

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-12.4% to -10.2%: 12 occurrences (2.4%) -11.3% -10.2% to -8.0%: 27 occurrences (5.3%) -8.0% to -5.9%: 47 occurrences (9.2%) -5.9% to -3.7%: 85 occurrences (16.7%) -4.8% -3.7% to -1.5%: 90 occurrences (17.6%) -1.5% to +0.6%: 59 occurrences (11.6%) +0.6% to +2.8%: 49 occurrences (9.6%) 1.7% +2.8% to +5.0%: 51 occurrences (10.0%) +5.0% to +7.2%: 38 occurrences (7.5%) +7.2% to +9.3%: 18 occurrences (3.5%) 8.2% +9.3% to +11.5%: 8 occurrences (1.6%) +11.5% to +13.7%: 11 occurrences (2.2%) +13.7% to +15.8%: 7 occurrences (1.4%) 14.7% +15.8% to +18.0%: 2 occurrences (0.4%) +18.0% to +20.2%: 4 occurrences (0.8%) +20.2% to +22.3%: 2 occurrences (0.4%) 21.3%
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) 38.2% 17.6% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.7% Adjusts normal bell curve for real-world skewness (-1.61) and kurtosis (9.77).
Standard Normal (Black-Scholes / GBM) 50.8% 25.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 32.5% 2.5% Filters for historical windows that started with volatility similar to current 20-day HV (40 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.3%
  • Recent 20-Day HV: 64.0%
  • Parkinson Intraday Volatility: 22.8%
  • Vol Trend: Expanded (+104% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.7%
  • Top 10% Move (90th percentile): +7.2%
  • Bottom 10% Move (10th percentile): -7.3%
  • Max Historical Gain (14d): +22.3%
  • Max Historical Loss (14d): -12.4%