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)
4.0%
Stock touched +5.0% ($86.54) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
2.3%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.6%
$80.27 — $84.56

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-15.6% to -13.8%: 1 occurrences (0.2%) -14.7% -13.8% to -11.9%: 0 occurrences (0.0%) -11.9% to -10.1%: 0 occurrences (0.0%) -10.1% to -8.3%: 0 occurrences (0.0%) -9.2% -8.3% to -6.4%: 5 occurrences (1.0%) -6.4% to -4.6%: 12 occurrences (2.3%) -4.6% to -2.7%: 37 occurrences (7.1%) -3.6% -2.7% to -0.9%: 97 occurrences (18.7%) -0.9% to +1.0%: 179 occurrences (34.4%) +1.0% to +2.8%: 131 occurrences (25.2%) 1.9% +2.8% to +4.6%: 43 occurrences (8.3%) +4.6% to +6.5%: 7 occurrences (1.3%) +6.5% to +8.3%: 4 occurrences (0.8%) 7.4% +8.3% to +10.2%: 3 occurrences (0.6%) +10.2% to +12.0%: 0 occurrences (0.0%) +12.0% to +13.9%: 1 occurrences (0.2%) 12.9%
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) 4.0% 2.3% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.6% Adjusts normal bell curve for real-world skewness (0.08) and kurtosis (6.26).
Standard Normal (Black-Scholes / GBM) 6.1% 3.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.8% 1.8% Filters for historical windows that started with volatility similar to current 20-day HV (387 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)

2-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +2.9%
  • Bottom 10% Move (10th percentile): -2.8%
  • Max Historical Gain (2d): +13.9%
  • Max Historical Loss (2d): -15.6%