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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
1.3%
Stock touched +5.0% ($153.91) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.1%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.17x
You are 1.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.0%
$143.69 — $149.47

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 523 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-13.2% to -12.0%: 1 occurrences (0.2%) -12.6% -12.0% to -10.8%: 1 occurrences (0.2%) -10.8% to -9.6%: 1 occurrences (0.2%) -9.6% to -8.3%: 0 occurrences (0.0%) -8.9% -8.3% to -7.1%: 2 occurrences (0.4%) -7.1% to -5.9%: 1 occurrences (0.2%) -5.9% to -4.7%: 2 occurrences (0.4%) -5.3% -4.7% to -3.4%: 10 occurrences (1.9%) -3.4% to -2.2%: 32 occurrences (6.1%) -2.2% to -1.0%: 74 occurrences (14.1%) -1.6% -1.0% to +0.2%: 166 occurrences (31.7%) +0.2% to +1.5%: 154 occurrences (29.4%) +1.5% to +2.7%: 54 occurrences (10.3%) 2.1% +2.7% to +3.9%: 17 occurrences (3.3%) +3.9% to +5.1%: 3 occurrences (0.6%) +5.1% to +6.3%: 5 occurrences (1.0%) 5.7%
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) 1.3% 1.1% Model-free reality across 523 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.4% Adjusts normal bell curve for real-world skewness (-1.61) and kurtosis (9.77).
Standard Normal (Black-Scholes / GBM) 1.3% 0.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.0% 2.0% Filters for historical windows that started with volatility similar to current 20-day HV (50 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)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.0%
  • Bottom 10% Move (10th percentile): -2.2%
  • Max Historical Gain (1d): +6.3%
  • Max Historical Loss (1d): -13.2%