Finance

WMT Move Probability $126.16 +2.65 (+2.1%)

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)
44.3%
Stock touched +5.0% ($132.47) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.77x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.0%
$118.64 — $133.68

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-15.9% to -13.8%: 2 occurrences (0.4%) -14.9% -13.8% to -11.8%: 4 occurrences (0.8%) -11.8% to -9.7%: 15 occurrences (3.0%) -9.7% to -7.6%: 16 occurrences (3.1%) -8.7% -7.6% to -5.5%: 25 occurrences (4.9%) -5.5% to -3.5%: 25 occurrences (4.9%) -3.5% to -1.4%: 75 occurrences (14.8%) -2.4% -1.4% to +0.7%: 69 occurrences (13.6%) +0.7% to +2.8%: 74 occurrences (14.6%) +2.8% to +4.9%: 72 occurrences (14.2%) 3.8% +4.9% to +6.9%: 48 occurrences (9.4%) +6.9% to +9.0%: 33 occurrences (6.5%) +9.0% to +11.1%: 27 occurrences (5.3%) 10.1% +11.1% to +13.2%: 13 occurrences (2.6%) +13.2% to +15.2%: 8 occurrences (1.6%) +15.2% to +17.3%: 2 occurrences (0.4%) 16.3%
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) 44.3% 25.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.3% Adjusts normal bell curve for real-world skewness (-0.4) and kurtosis (6.04).
Standard Normal (Black-Scholes / GBM) 41.3% 20.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.8% 27.5% Filters for historical windows that started with volatility similar to current 20-day HV (346 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.3%
  • Recent 20-Day HV: 21.0%
  • Parkinson Intraday Volatility: 20.3%
  • Vol Trend: Compressed (-17% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.5%
  • Top 10% Move (90th percentile): +8.9%
  • Bottom 10% Move (10th percentile): -6.4%
  • Max Historical Gain (14d): +17.3%
  • Max Historical Loss (14d): -15.9%