Finance

TSLA Move Probability $407.15 +7.35 (+1.8%)

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)
68.4%
Stock touched -3.5% ($392.90) at least once during 10 trading days.
Median first touch: Day 2 of 10
Expiration Close Probability
31.1%
Stock closed at or beyond -3.5% at the end of the 10-day window.
The Touch Multiple
2.20x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.7%
$359.55 — $454.75

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 512 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for -3.5%.

-32.9% to -28.3%: 1 occurrences (0.2%) -30.6% -28.3% to -23.8%: 3 occurrences (0.6%) -23.8% to -19.3%: 11 occurrences (2.1%) -19.3% to -14.8%: 9 occurrences (1.8%) -17.0% -14.8% to -10.3%: 36 occurrences (7.0%) -10.3% to -5.7%: 59 occurrences (11.5%) -5.7% to -1.2%: 97 occurrences (18.9%) -3.5% -1.2% to +3.3%: 96 occurrences (18.8%) +3.3% to +7.8%: 71 occurrences (13.9%) +7.8% to +12.3%: 51 occurrences (10.0%) 10.1% +12.3% to +16.8%: 33 occurrences (6.4%) +16.8% to +21.4%: 14 occurrences (2.7%) +21.4% to +25.9%: 18 occurrences (3.5%) 23.6% +25.9% to +30.4%: 8 occurrences (1.6%) +30.4% to +34.9%: 1 occurrences (0.2%) +34.9% to +39.4%: 4 occurrences (0.8%) 37.2%
Historical returns Target move zone (-3.5%+) 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) 68.4% 31.1% Model-free reality across 512 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.1% Adjusts normal bell curve for real-world skewness (0.24) and kurtosis (4.67).
Standard Normal (Black-Scholes / GBM) 76.1% 38.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.3% 32.3% Filters for historical windows that started with volatility similar to current 20-day HV (229 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.7%
  • Recent 20-Day HV: 36.5%
  • Parkinson Intraday Volatility: 44.4%
  • Vol Trend: Compressed (-38% vs baseline)

10-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +15.3%
  • Bottom 10% Move (10th percentile): -11.2%
  • Max Historical Gain (10d): +39.4%
  • Max Historical Loss (10d): -32.9%