Finance

TXN Move Probability $279.66 -5.04 (-1.8%)

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)
4.4%
Stock touched +5.0% ($293.64) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
2.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.64x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.5%
$272.57 — $286.75

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%.

-13.3% to -11.3%: 1 occurrences (0.2%) -12.3% -11.3% to -9.2%: 0 occurrences (0.0%) -9.2% to -7.2%: 6 occurrences (1.1%) -7.2% to -5.1%: 3 occurrences (0.6%) -6.2% -5.1% to -3.1%: 21 occurrences (4.0%) -3.1% to -1.0%: 107 occurrences (20.5%) -1.0% to +1.0%: 238 occurrences (45.6%) -0.0% +1.0% to +3.1%: 106 occurrences (20.3%) +3.1% to +5.1%: 29 occurrences (5.6%) +5.1% to +7.1%: 6 occurrences (1.1%) 6.1% +7.1% to +9.2%: 2 occurrences (0.4%) +9.2% to +11.2%: 1 occurrences (0.2%) +11.2% to +13.3%: 0 occurrences (0.0%) 12.3% +13.3% to +15.3%: 0 occurrences (0.0%) +15.3% to +17.4%: 1 occurrences (0.2%) +17.4% to +19.4%: 1 occurrences (0.2%) 18.4%
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) 4.4% 2.7% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.5% Adjusts normal bell curve for real-world skewness (0.55) and kurtosis (9.14).
Standard Normal (Black-Scholes / GBM) 5.4% 2.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.5% 1.9% Filters for historical windows that started with volatility similar to current 20-day HV (310 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 40.2%
  • Recent 20-Day HV: 28.6%
  • Parkinson Intraday Volatility: 28.3%
  • Vol Trend: Compressed (-29% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.7%
  • Bottom 10% Move (10th percentile): -2.3%
  • Max Historical Gain (1d): +19.4%
  • Max Historical Loss (1d): -13.3%