Finance

TSLA Move Probability $386.63 +13.01 (+3.5%)

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)
24.6%
Stock touched +5.0% ($405.96) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
14.4%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.2%
$366.44 — $406.82

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-17.3% to -14.6%: 5 occurrences (1.0%) -15.9% -14.6% to -11.9%: 3 occurrences (0.6%) -11.9% to -9.2%: 4 occurrences (0.8%) -9.2% to -6.5%: 23 occurrences (4.4%) -7.8% -6.5% to -3.8%: 57 occurrences (11.0%) -3.8% to -1.1%: 117 occurrences (22.5%) -1.1% to +1.6%: 132 occurrences (25.4%) 0.3% +1.6% to +4.3%: 89 occurrences (17.1%) +4.3% to +7.0%: 46 occurrences (8.8%) +7.0% to +9.7%: 19 occurrences (3.7%) 8.4% +9.7% to +12.4%: 14 occurrences (2.7%) +12.4% to +15.1%: 3 occurrences (0.6%) +15.1% to +17.8%: 2 occurrences (0.4%) 16.5% +17.8% to +20.5%: 5 occurrences (1.0%) +20.5% to +23.2%: 0 occurrences (0.0%) +23.2% to +25.9%: 1 occurrences (0.2%) 24.6%
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) 24.6% 14.4% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.3% Adjusts normal bell curve for real-world skewness (0.25) and kurtosis (4.71).
Standard Normal (Black-Scholes / GBM) 35.0% 17.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 21.7% 12.6% Filters for historical windows that started with volatility similar to current 20-day HV (198 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.6%
  • Recent 20-Day HV: 35.0%
  • Parkinson Intraday Volatility: 44.4%
  • Vol Trend: Compressed (-40% vs baseline)

2-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +6.4%
  • Bottom 10% Move (10th percentile): -5.5%
  • Max Historical Gain (2d): +25.9%
  • Max Historical Loss (2d): -17.3%