Finance

TSLA Move Probability $358.13 +1.45 (+0.4%)

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)
67.9%
Stock touched -3.5% ($345.60) at least once during 10 trading days.
Median first touch: Day 2 of 10
Expiration Close Probability
32.7%
Stock closed at or beyond -3.5% at the end of the 10-day window.
The Touch Multiple
2.08x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.9%
$315.67 — $400.59

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 511 historical windows (2024-08-19 to 2026-09-16). 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 (2.2%) -19.3% to -14.8%: 12 occurrences (2.3%) -17.0% -14.8% to -10.3%: 37 occurrences (7.2%) -10.3% to -5.7%: 61 occurrences (11.9%) -5.7% to -1.2%: 96 occurrences (18.8%) -3.5% -1.2% to +3.3%: 84 occurrences (16.4%) +3.3% to +7.8%: 69 occurrences (13.5%) +7.8% to +12.3%: 53 occurrences (10.4%) 10.1% +12.3% to +16.8%: 39 occurrences (7.6%) +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) 67.9% 32.7% Model-free reality across 511 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.6% Adjusts normal bell curve for real-world skewness (0.22) and kurtosis (4.37).
Standard Normal (Black-Scholes / GBM) 76.4% 38.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.7% 37.1% Filters for historical windows that started with volatility similar to current 20-day HV (364 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 59.5%
  • Recent 20-Day HV: 50.9%
  • Parkinson Intraday Volatility: 45.0%
  • Vol Trend: Normal / Consistent

10-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +15.4%
  • Bottom 10% Move (10th percentile): -11.4%
  • Max Historical Gain (10d): +39.4%
  • Max Historical Loss (10d): -32.9%