Finance

WEN Move Probability $6.29 -0.23 (-3.6%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to WEN Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
6.5%
Stock touched +5.0% ($6.60) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
3.1%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.12x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.0%
$6.10 — $6.47

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%.

-13.6% to -11.1%: 1 occurrences (0.2%) -12.4% -11.1% to -8.7%: 1 occurrences (0.2%) -8.7% to -6.2%: 7 occurrences (1.3%) -6.2% to -3.8%: 27 occurrences (5.2%) -5.0% -3.8% to -1.3%: 117 occurrences (22.5%) -1.3% to +1.2%: 238 occurrences (45.7%) +1.2% to +3.6%: 93 occurrences (17.9%) 2.4% +3.6% to +6.1%: 30 occurrences (5.8%) +6.1% to +8.5%: 3 occurrences (0.6%) +8.5% to +11.0%: 0 occurrences (0.0%) 9.8% +11.0% to +13.5%: 0 occurrences (0.0%) +13.5% to +15.9%: 1 occurrences (0.2%) +15.9% to +18.4%: 2 occurrences (0.4%) 17.2% +18.4% to +20.8%: 0 occurrences (0.0%) +20.8% to +23.3%: 0 occurrences (0.0%) +23.3% to +25.8%: 1 occurrences (0.2%) 24.5%
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) 6.5% 3.1% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.1% Adjusts normal bell curve for real-world skewness (1.26) and kurtosis (10.9).
Standard Normal (Black-Scholes / GBM) 10.1% 5.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.3% 1.5% Filters for historical windows that started with volatility similar to current 20-day HV (325 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.3%
  • Recent 20-Day HV: 33.2%
  • Parkinson Intraday Volatility: 38.7%
  • Vol Trend: Compressed (-30% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +3.1%
  • Bottom 10% Move (10th percentile): -3.0%
  • Max Historical Gain (1d): +25.8%
  • Max Historical Loss (1d): -13.6%