Finance

TSLL Move Probability $10.53 +0.66 (+6.7%)

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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Touch Probability (First Passage)
49.4%
Stock touched +5.0% ($11.06) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
26.7%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.85x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.4%
$9.43 — $11.63

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%.

-33.5% to -28.1%: 5 occurrences (1.0%) -30.8% -28.1% to -22.7%: 4 occurrences (0.8%) -22.7% to -17.3%: 6 occurrences (1.2%) -17.3% to -11.9%: 29 occurrences (5.6%) -14.6% -11.9% to -6.4%: 72 occurrences (13.8%) -6.4% to -1.0%: 120 occurrences (23.1%) -1.0% to +4.4%: 135 occurrences (26.0%) 1.7% +4.4% to +9.8%: 74 occurrences (14.2%) +9.8% to +15.3%: 36 occurrences (6.9%) +15.3% to +20.7%: 19 occurrences (3.7%) 18.0% +20.7% to +26.1%: 10 occurrences (1.9%) +26.1% to +31.5%: 3 occurrences (0.6%) +31.5% to +36.9%: 2 occurrences (0.4%) 34.2% +36.9% to +42.4%: 4 occurrences (0.8%) +42.4% to +47.8%: 0 occurrences (0.0%) +47.8% to +53.2%: 1 occurrences (0.2%) 50.5%
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) 49.4% 26.7% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.1% Adjusts normal bell curve for real-world skewness (-0.11) and kurtosis (4.6).
Standard Normal (Black-Scholes / GBM) 64.0% 32.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 47.4% 26.3% Filters for historical windows that started with volatility similar to current 20-day HV (190 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 117.1%
  • Recent 20-Day HV: 69.2%
  • Parkinson Intraday Volatility: 88.5%
  • Vol Trend: Compressed (-41% vs baseline)

2-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +12.8%
  • Bottom 10% Move (10th percentile): -10.8%
  • Max Historical Gain (2d): +53.2%
  • Max Historical Loss (2d): -33.5%