Finance

WMT Move Probability $117.73 -0.17 (-0.1%)

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)
3.5%
Stock touched +5.0% ($123.62) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
1.9%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.80x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.2%
$115.09 — $120.37

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%.

-9.9% to -8.6%: 4 occurrences (0.8%) -9.2% -8.6% to -7.3%: 2 occurrences (0.4%) -7.3% to -6.0%: 2 occurrences (0.4%) -6.0% to -4.7%: 3 occurrences (0.6%) -5.4% -4.7% to -3.4%: 12 occurrences (2.3%) -3.4% to -2.1%: 42 occurrences (8.1%) -2.1% to -0.9%: 84 occurrences (16.2%) -1.5% -0.9% to +0.4%: 132 occurrences (25.4%) +0.4% to +1.7%: 128 occurrences (24.6%) +1.7% to +3.0%: 69 occurrences (13.3%) 2.4% +3.0% to +4.3%: 26 occurrences (5.0%) +4.3% to +5.6%: 10 occurrences (1.9%) +5.6% to +6.9%: 3 occurrences (0.6%) 6.2% +6.9% to +8.1%: 2 occurrences (0.4%) +8.1% to +9.4%: 0 occurrences (0.0%) +9.4% to +10.7%: 1 occurrences (0.2%) 10.1%
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) 3.5% 1.9% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.8% Adjusts normal bell curve for real-world skewness (-0.4) and kurtosis (6.19).
Standard Normal (Black-Scholes / GBM) 2.9% 1.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.0% 2.1% Filters for historical windows that started with volatility similar to current 20-day HV (329 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.2%
  • Recent 20-Day HV: 24.6%
  • Parkinson Intraday Volatility: 20.2%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +2.8%
  • Bottom 10% Move (10th percentile): -2.4%
  • Max Historical Gain (2d): +10.7%
  • Max Historical Loss (2d): -9.9%