Finance

TPR Move Probability $115.12 -2.45 (-2.1%)

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)
4.8%
Stock touched +5.0% ($120.88) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
2.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.7%
$112.00 — $118.24

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%.

-16.3% to -14.5%: 2 occurrences (0.4%) -15.4% -14.5% to -12.6%: 1 occurrences (0.2%) -12.6% to -10.7%: 1 occurrences (0.2%) -10.7% to -8.9%: 1 occurrences (0.2%) -9.8% -8.9% to -7.0%: 0 occurrences (0.0%) -7.0% to -5.1%: 2 occurrences (0.4%) -5.1% to -3.3%: 19 occurrences (3.6%) -4.2% -3.3% to -1.4%: 79 occurrences (15.2%) -1.4% to +0.5%: 183 occurrences (35.1%) +0.5% to +2.3%: 151 occurrences (29.0%) 1.4% +2.3% to +4.2%: 62 occurrences (11.9%) +4.2% to +6.1%: 12 occurrences (2.3%) +6.1% to +7.9%: 3 occurrences (0.6%) 7.0% +7.9% to +9.8%: 0 occurrences (0.0%) +9.8% to +11.7%: 2 occurrences (0.4%) +11.7% to +13.5%: 3 occurrences (0.6%) 12.6%
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) 4.8% 2.7% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.1% Adjusts normal bell curve for real-world skewness (-0.97) and kurtosis (10.67).
Standard Normal (Black-Scholes / GBM) 7.2% 3.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.5% 3.4% Filters for historical windows that started with volatility similar to current 20-day HV (292 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.1%
  • Recent 20-Day HV: 28.7%
  • Parkinson Intraday Volatility: 30.0%
  • Vol Trend: Compressed (-33% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +2.9%
  • Bottom 10% Move (10th percentile): -2.4%
  • Max Historical Gain (1d): +13.5%
  • Max Historical Loss (1d): -16.3%