Finance

WFC Move Probability $82.42 +0.24 (+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)
51.8%
Stock touched +5.0% ($86.54) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
28.5%
Stock closed at or beyond +5.0% at the end of the 14-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%)
±6.9%
$76.74 — $88.09

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-17.3% to -14.9%: 5 occurrences (1.0%) -16.1% -14.9% to -12.6%: 7 occurrences (1.4%) -12.6% to -10.2%: 16 occurrences (3.1%) -10.2% to -7.8%: 25 occurrences (4.9%) -9.0% -7.8% to -5.4%: 40 occurrences (7.9%) -5.4% to -3.1%: 31 occurrences (6.1%) -3.1% to -0.7%: 64 occurrences (12.6%) -1.9% -0.7% to +1.7%: 77 occurrences (15.2%) +1.7% to +4.0%: 74 occurrences (14.6%) +4.0% to +6.4%: 47 occurrences (9.3%) 5.2% +6.4% to +8.8%: 41 occurrences (8.1%) +8.8% to +11.2%: 31 occurrences (6.1%) +11.2% to +13.5%: 25 occurrences (4.9%) 12.4% +13.5% to +15.9%: 17 occurrences (3.3%) +15.9% to +18.3%: 6 occurrences (1.2%) +18.3% to +20.7%: 2 occurrences (0.4%) 19.5%
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) 51.8% 28.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.0% Adjusts normal bell curve for real-world skewness (0.08) and kurtosis (6.26).
Standard Normal (Black-Scholes / GBM) 47.9% 23.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.9% 25.1% Filters for historical windows that started with volatility similar to current 20-day HV (375 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 29.2%
  • Recent 20-Day HV: 24.2%
  • Parkinson Intraday Volatility: 24.1%
  • Vol Trend: Compressed (-17% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.3%
  • Top 10% Move (90th percentile): +10.7%
  • Bottom 10% Move (10th percentile): -7.8%
  • Max Historical Gain (14d): +20.7%
  • Max Historical Loss (14d): -17.3%