Finance

TTD Move Probability $13.17 +0.58 (+4.6%)

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)
10.0%
Stock touched +5.0% ($13.83) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
5.6%
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%)
±4.1%
$12.63 — $13.71

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-38.6% to -34.9%: 1 occurrences (0.2%) -36.8% -34.9% to -31.3%: 0 occurrences (0.0%) -31.3% to -27.7%: 0 occurrences (0.0%) -27.7% to -24.0%: 0 occurrences (0.0%) -25.8% -24.0% to -20.4%: 1 occurrences (0.2%) -20.4% to -16.8%: 0 occurrences (0.0%) -16.8% to -13.1%: 0 occurrences (0.0%) -14.9% -13.1% to -9.5%: 3 occurrences (0.6%) -9.5% to -5.8%: 17 occurrences (3.3%) -5.8% to -2.2%: 96 occurrences (18.4%) -4.0% -2.2% to +1.4%: 272 occurrences (52.1%) +1.4% to +5.1%: 104 occurrences (19.9%) +5.1% to +8.7%: 24 occurrences (4.6%) 6.9% +8.7% to +12.3%: 1 occurrences (0.2%) +12.3% to +16.0%: 0 occurrences (0.0%) +16.0% to +19.6%: 3 occurrences (0.6%) 17.8%
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) 10.0% 5.6% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (-3.3) and kurtosis (41.05).
Standard Normal (Black-Scholes / GBM) 23.1% 11.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 8.3% 5.2% Filters for historical windows that started with volatility similar to current 20-day HV (349 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 64.7%
  • Recent 20-Day HV: 45.9%
  • Parkinson Intraday Volatility: 44.0%
  • Vol Trend: Compressed (-29% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +3.4%
  • Bottom 10% Move (10th percentile): -3.8%
  • Max Historical Gain (1d): +19.6%
  • Max Historical Loss (1d): -38.6%