Finance

WMT Move Probability $107.51 -0.59 (-0.5%)

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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Touch Probability (First Passage)
43.0%
Stock touched +5.0% ($112.89) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
23.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.85x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.9%
$101.20 — $113.82

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-08-19 to 2026-09-16). 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 (3.2%) -8.7% -7.6% to -5.5%: 25 occurrences (4.9%) -5.5% to -3.5%: 24 occurrences (4.7%) -3.5% to -1.4%: 72 occurrences (14.2%) -2.4% -1.4% to +0.7%: 74 occurrences (14.6%) +0.7% to +2.8%: 77 occurrences (15.2%) +2.8% to +4.9%: 75 occurrences (14.8%) 3.8% +4.9% to +6.9%: 54 occurrences (10.7%) +6.9% to +9.0%: 30 occurrences (5.9%) +9.0% to +11.1%: 23 occurrences (4.5%) 10.1% +11.1% to +13.2%: 9 occurrences (1.8%) +13.2% to +15.2%: 6 occurrences (1.2%) +15.2% to +17.3%: 1 occurrences (0.2%) 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) 43.0% 23.3% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.4% Adjusts normal bell curve for real-world skewness (-0.43) and kurtosis (6.53).
Standard Normal (Black-Scholes / GBM) 40.5% 20.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 34.6% 18.5% Filters for historical windows that started with volatility similar to current 20-day HV (130 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.9%
  • Recent 20-Day HV: 40.2%
  • Parkinson Intraday Volatility: 20.0%
  • Vol Trend: Expanded (+62% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.3%
  • Top 10% Move (90th percentile): +8.3%
  • Bottom 10% Move (10th percentile): -6.4%
  • Max Historical Gain (14d): +17.3%
  • Max Historical Loss (14d): -15.9%