Finance

TXN Move Probability $281.68 -3.02 (-1.1%)

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)
50.7%
Stock touched +5.0% ($295.76) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
32.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.56x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.5%
$254.97 — $308.39

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-20.4% to -16.3%: 9 occurrences (1.8%) -18.4% -16.3% to -12.3%: 24 occurrences (4.7%) -12.3% to -8.2%: 38 occurrences (7.5%) -8.2% to -4.1%: 79 occurrences (15.5%) -6.1% -4.1% to -0.0%: 103 occurrences (20.2%) -0.0% to +4.1%: 74 occurrences (14.5%) +4.1% to +8.1%: 56 occurrences (11.0%) 6.1% +8.1% to +12.2%: 61 occurrences (12.0%) +12.2% to +16.3%: 32 occurrences (6.3%) +16.3% to +20.4%: 14 occurrences (2.8%) 18.3% +20.4% to +24.5%: 3 occurrences (0.6%) +24.5% to +28.5%: 8 occurrences (1.6%) +28.5% to +32.6%: 5 occurrences (1.0%) 30.6% +32.6% to +36.7%: 1 occurrences (0.2%) +36.7% to +40.8%: 1 occurrences (0.2%) +40.8% to +44.9%: 1 occurrences (0.2%) 42.8%
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) 50.7% 32.4% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.6% Adjusts normal bell curve for real-world skewness (0.55) and kurtosis (9.16).
Standard Normal (Black-Scholes / GBM) 60.7% 30.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 44.7% 30.8% Filters for historical windows that started with volatility similar to current 20-day HV (295 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 40.2%
  • Recent 20-Day HV: 28.0%
  • Parkinson Intraday Volatility: 28.3%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +14.1%
  • Bottom 10% Move (10th percentile): -10.1%
  • Max Historical Gain (14d): +44.9%
  • Max Historical Loss (14d): -20.4%