Finance

TTWO Move Probability $206.07 -0.65 (-0.3%)

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)
2.7%
Stock touched +5.0% ($216.37) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.0%
$201.98 — $210.16

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-8.2% to -6.8%: 3 occurrences (0.6%) -7.5% -6.8% to -5.4%: 3 occurrences (0.6%) -5.4% to -4.0%: 7 occurrences (1.3%) -4.0% to -2.6%: 16 occurrences (3.1%) -3.3% -2.6% to -1.2%: 63 occurrences (12.1%) -1.2% to +0.2%: 177 occurrences (34.0%) +0.2% to +1.6%: 173 occurrences (33.2%) 0.9% +1.6% to +2.9%: 52 occurrences (10.0%) +2.9% to +4.3%: 13 occurrences (2.5%) +4.3% to +5.7%: 8 occurrences (1.5%) 5.0% +5.7% to +7.1%: 4 occurrences (0.8%) +7.1% to +8.5%: 1 occurrences (0.2%) +8.5% to +9.9%: 0 occurrences (0.0%) 9.2% +9.9% to +11.3%: 0 occurrences (0.0%) +11.3% to +12.7%: 0 occurrences (0.0%) +12.7% to +14.0%: 1 occurrences (0.2%) 13.4%
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) 2.7% 1.3% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.0% Adjusts normal bell curve for real-world skewness (0.21) and kurtosis (5.8).
Standard Normal (Black-Scholes / GBM) 1.4% 0.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.1% 1.7% Filters for historical windows that started with volatility similar to current 20-day HV (350 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.5%
  • Recent 20-Day HV: 29.6%
  • Parkinson Intraday Volatility: 26.3%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.2%
  • Bottom 10% Move (10th percentile): -2.0%
  • Max Historical Gain (1d): +14.0%
  • Max Historical Loss (1d): -8.2%