Finance

U Move Probability $41.21 +1.05 (+2.6%)

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)
21.5%
Stock touched +5.0% ($43.27) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
11.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.6%
$39.31 — $43.11

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%.

-26.3% to -22.8%: 2 occurrences (0.4%) -24.6% -22.8% to -19.3%: 0 occurrences (0.0%) -19.3% to -15.7%: 0 occurrences (0.0%) -15.7% to -12.2%: 1 occurrences (0.2%) -14.0% -12.2% to -8.7%: 6 occurrences (1.2%) -8.7% to -5.1%: 34 occurrences (6.5%) -5.1% to -1.6%: 113 occurrences (21.7%) -3.4% -1.6% to +1.9%: 219 occurrences (42.0%) +1.9% to +5.5%: 93 occurrences (17.9%) +5.5% to +9.0%: 39 occurrences (7.5%) 7.2% +9.0% to +12.6%: 8 occurrences (1.5%) +12.6% to +16.1%: 3 occurrences (0.6%) +16.1% to +19.6%: 2 occurrences (0.4%) 17.9% +19.6% to +23.2%: 0 occurrences (0.0%) +23.2% to +26.7%: 0 occurrences (0.0%) +26.7% to +30.2%: 1 occurrences (0.2%) 28.5%
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) 21.5% 11.9% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.2% Adjusts normal bell curve for real-world skewness (-0.39) and kurtosis (8.15).
Standard Normal (Black-Scholes / GBM) 29.0% 14.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.7% 12.0% Filters for historical windows that started with volatility similar to current 20-day HV (382 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 73.2%
  • Recent 20-Day HV: 68.8%
  • Parkinson Intraday Volatility: 59.8%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +5.5%
  • Bottom 10% Move (10th percentile): -4.7%
  • Max Historical Gain (1d): +30.2%
  • Max Historical Loss (1d): -26.3%